This is a summary of links featured on Quantocracy on Tuesday, 02/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
- Fractional Differencing Derivation Walkthrough (FD Part 2) [Kid Quant]Just a quick warning before I start, this post is going to be math heavy. Those who are not brave enough to traverse these waters, be forewarned! Let's get right to it: To recap, last time I talked about a few basic statistical concepts regarding time series. Stationarity, Memory and reconciling them both using an idea called fractional differencing. This post walks through how we do this