Autoregressive

  

Categories: Metrics, Stocks, Bonds, Investing

Autoregressive models are used by analysts and statisticians (so you know it must be fun) to try to predict future securities prices based on a history of previous prices. While this may not always be a dependable way to forecast ("past performance is no guarantee of future results" after all), they can also take into account trends, cycles and moving averages.

It's not an in-depth way to review a company (it's like trying to judge the quality of a baseball team by yesterday's score), so you may not want to rely on an autoregressive model to choose a stock. But in addition to analyzing a company’s financials, you could use the model to decide at what price you will buy and sell. An example of an autoregressive chart can be found here.

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