Beginner's Guide to Time Series Analysis

quantstart.com

81 points·tomaskazemekas··7 comments

I'm not really sure this article is a great one. I don't mean that to demean the author, the rest of his blog is a decent resource for people who want a good 1000 foot view of the basics of quant finance as it relates to trading, you won't find much useful for pricing for instance. This article on the same site is a follow up and does a better job explaining the material IMHO....

https://www.quantstart.com/articles/Serial-Correlation-in-Ti...

If you want a good beginner tutorial, these are the ones I recommend most to people.

http://a-little-book-of-r-for-time-series.readthedocs.org/en...

http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm

and if you want a bit more rigorous presentation then I recommend this book:

http://www.springer.com/us/book/9780387759661

Related to your 3rd link [0], we used Time Series Analysis and Its Applications [1] in my undergraduate time series class. They have a free version [2].

[0] http://www.stat.pitt.edu/stoffer/tsa3/R_toot.htm

[1] http://www.stat.pitt.edu/stoffer/tsa3/

[2] http://www.stat.pitt.edu/stoffer/tsa3/tsa3EZ.pdf

And one more here: http://www.stat.pitt.edu/stoffer/tsa3/tsa3.pdf

This is posted as a pointer to the start of the series of posts on the time series analytics. There are already three articles in this series posted, I find them to be good and the upcoming posts expected to be of value as well.

Thanks for those links. The first link was especially useful! (Wish I'd seen this a few months ago hah)

As one of the comments on the page pointed out, the article skips one of the most important time series analysis, namely symbolic aggregate approximation (SAX - http://www.cs.ucr.edu/~eamonn/SAX.htm)

Don't let GE find out about this.

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