Hi there,
I have a dataset with the time-series of stock returns, trading volume, and rare binary signals. Signals are assumed to occur during periods of certain return and volume patterns.
I need a time-series model that predicts a probability that a signal occurs in the next period base on historical return, volume, and signal data.
Unfortunately, I am not experienced with time-series estimation. Do you have proposals for an econometric time-series model that fits those needs?
Thanks for your input!
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