Math/statistics/data science question for a million dollar (stock market corellations/cointegration series of data)
Hi. math/data science question for a million dollar, for geniuses with iq 160+ probably
We have 4 series of data - graphs that go somewhat randomly, we know that they are correlated and cointegrated, i.e. in some time frame they move almost the same/very similar - i.e. they go up/down together and move away and get closer to some reasonable distance, that's what we have calculated by the Johansen test, etc. (so it is almost 100% certain that they were and will be co-integrated and correlated) For example, the prices of similar / dependent commodities.
01. The question: How do we find out that one of the graphs/price has moved significantly away from the others, but at the same time there is a high probability that the distance will no longer increase significantly and, on the contrary, it is taking the opposite course - that is, it is already starting to approach the other 3 graphs.
02. If we were to use classic percentages, and the distance in percentages, how do we calculate it since all values are dynamic?
constantly with each other are not static numbers. If we also normalize the graphs to the percentage normalized range 0-100, it is always for the selected time period, but by changing the time range-period, the proportions will also change and it will be scattered. At the same time, how do we determine which of the prices / graphs is overpriced and which is underpriced compared to the others?
03. If we enter a trade, how do we know that the deviation is sufficient and will not increase further? of course, we never know exactly, but how do we determine a statistically significant deviation and at the same time a statistically high probability that the deviation will no longer increase, but on the contrary decrease - so we can enter the trade. well thank you
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- Pro Bono
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Questions at this level should be offered a good bounty.
of course, if you know the answer how much would you like to get? or we are seeking partners for team where you can make much more (not salary/employment but partnership)
Your offer should be high enough to motivate " geniuses with iq 160+ " to spend time on the question. Think about how long one may need to spend on this question and what a fair hourly rate for such person is. That would give you a pretty good idea for a fair bounty.
OK But you didnt replied to my question please "of course, if you know the answer how much would you like to get? or we are seeking partners for team where you can make much more (not salary/employment but partnership)" If you know the answer we can discuss price of course
Tbh, I have not even fully read your question, but I know that it can not be answered in 5-10 minutes. I suggest you to post and smaller and more manageable question and offer a fair bounty so your questions gets more attention. Users who answer questions here, do not get notifications for pro bono questions.
Hello, I wrote this here in the summer when there probably weren't many people on PC, so I'll try to remember if there is anyone who is interested in this area. Well thank you