Research method
ARIMA
ARIMA is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive6 readings
1982Construct ARIMA forecasts from lag diagnostics1985Evaluating ARIMA envelopes as entry, exit and stop rules1985Daily ARIMA range as a filter for intraday stochastic divergence1990Constructing a short-horizon ARIMA from differenced wheat closes2014ARIMA earnings forecasts versus the announcement-window price reactionWhat an early ARIMA commodity forecast teaches about model limits
This registry entry describes a research method. It is not investment advice and does not make a performance claim.