Trading Models and Distributed Lags

January 9, 2017

(This article was first published on Econometrics Beat: Dave Giles' Blog, and kindly contributed to R-bloggers)

Yesterday, I received an email from Robert Hillman.

Robert wrote:
“I’ve thoroughly enjoyed your recent posts and associated links on distributed lags. I’d like to throw in a slightly different perspective.

 To give you some brief background on myself: I did a PhD in econometrics 1993-1998 at Southampton University. ………… I now manage capital and am heavily influenced by my study of econometrics and in particular exploring the historical foundations of many things that today that look new and funky but are probably old but no less funky!

I wanted to draw attention to the fact that many finance practitioners have long used ‘models’ that in my view are robust and heuristic versions of nonlinear ADL models. I’m not sure this interpretation is as widely recognised as it could be.”

With Robert’s permission, you can access the full contents of what Robert had to say, here

Robert provides some interesting and useful insights into the connections between certain trading models and ARDL models, and I thought that these would be useful to readers of this blog.

Thanks, Robert!

© 2017, David E. Giles

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