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Time Series Analysis for Quant Finance

Roman Paolucci

40,053 views

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🪐 Jupyter Notebook
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TL;DW Executive Summary
Time series analysis and model limitations are generally misunderstood
There tends to be a disconnect between the classroom and the office
Analysis and decomposition is only useful if status quo persists
There is no such thing as a "prediction" just an expectation if status quo
Incorrect models can still be used to make optimal choices in uncertainty
Composite models of exogenous factors can improve forecasts

I hope you enjoyed!

Roman
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📖 Chapters:
00:00 - Introduction
03:19 - Basic Time Series
06:41 - Time Series Decomposition
11:48 - Time Series Tasks
14:58 - Time Series Forecasting
18:36 - Modeling Assumptions
21:19 - Intuitive Examples
28:46 - Market-Making Example
33:25 - The Big Short Example
36:09 - Illiquid Pricing Example
39:22 - Closing Thoughts and Future Topics
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🗣️ Shout Outs

A special thank you to my members on YouTube for supporting my channel and enabling me to continue to create videos just like this one!

⭐ Quant Guild Directors
Dr. Jason Pirozzolo
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20 Comments

@parabolic_33 1 year ago Pinned

this is my quant

@escanor747-74 1 year ago

Bro casually flexing a 350 bench mid explanation XD

@kautao2871 1 year ago

Roman, your videos are awesome. It's great how you take "simple" topics and give them the attention they deserve. Your publishing frequency is also remarkable. Keep up the great work. Watching your channel makes me want to hit the books even more. Thank you!

@AhmedMohamed-vj4kk 1 year ago

The highest quality information I've ever seen in the YouTube trading community. Seriously, your on another level

@Rebzel-ns7jy 1 year ago

I WAS WAITING FOR THIS. YouTube members are so lucky 😢

@Alkhwarizmi-Bequest 1 year ago

I've been searching for someone like you for months. A couple of months ago, I decided to reverse-engineer an indicator for learning purposes. I succeeded, but what's interesting is that when I tried to improve it, I applied various types of filtering, one of which was the Kalman filter. To my surprise, it delivered, and the indicator performed ten times better, relatively speaking. Kalman filtering is amazing, and it's great to find someone who discusses these fascinating tools.

@BladeAurora 1 year ago

36:26 interested in a video on kalman filters applications in finance!

@jimmyhydrox 7 months ago

thanks for making yt a slightly better place

@mohammedouazini 1 year ago

Yes, now videos of this quality are being uploaded—just after I finished my 3rd-year thesis on drought forecasting. Honestly, I feel a bit ashamed that such valuable information is often only being discovered by seasonal teens trying to become day traders and not understanding the core skills like CS and systems building basics.
But I have to say, I’m truly in love with your content. It inspires me not only in my journey to build that “holy grail” of trading strategies but also in shaping my academic career and making it more professional over the next three years.
I really feel like you’re about to change the entire course of my life. Thank you so much for all your effort, for sharing your wisdom, and for guiding us closer to the truth. sending much love from Morocco

@Pandaquantai 7 months ago

Really solid overview! Seeing time series analysis broken down like this makes it feel a lot more approachable, especially for those of us digging into more complex models. Definitely gives me some ideas for how to refine my backtesting process.

@VictorTradesFX 1 year ago

Kudos for actually offering value. Great videos, Roman!

@Josh-ov7td 10 months ago

Hey Roman just wanted to give you a shout out, im learning a ton from your videos and appreciate the sweat you put into them.

@chechelc 1 year ago

This is awesome! Thanks ❤

@raghav9000 1 year ago

hey thanks man roman

@MaskedPixel 1 year ago

Thanks!

@somdev_sheel 1 year ago

You are the best Sir, Thank you for this type of educational videos.

@murators4732 1 year ago

Well explained mate. Thanks a million!

@YakoCollins 11 months ago

This is definitely my favorite guy when it comes to learning, but does he say his “O’s” funny. Definitely can watch his videos all day

@brianfruman123 1 year ago

Again great presentation.

@LorenzoAgenlli 7 months ago

Hey great video! I have to say that assumption usually are there to simplify the proof of a statistical property more then as the minimal needed characteristics of the time series. You can use more primitive assumptions, but then you need a more difficult proof for consistency for example.