Autoregressive Integrated Moving Average - ARIMA

DEFINITION of 'Autoregressive Integrated Moving Average - ARIMA'

A statistical analysis model that uses time series data to predict future trends. It is a form of regression analysis that seeks to predict future movements along the seemingly random walk taken by stocks and the financial market by examining the differences between values in the series instead of using the actual data values. Lags of the differenced series are referred to as "autoregressive" and lags within forecasted data are referred to as "moving average."

BREAKING DOWN 'Autoregressive Integrated Moving Average - ARIMA'

This model type is generally referred to as ARIMA(p,d,q), with the integers referring to the autoregressive, integrated and moving average parts of the data set, respectively. ARIMA modeling can take into account trends, seasonality, cycles, errors and non-stationary aspects of a data set when making forecasts.

RELATED TERMS
  1. Box-Jenkins Model

    A mathematical model designed to forecast data within a time ...
  2. Statistics

    A type of mathematical analysis involving the use of quantified ...
  3. Stochastic Modeling

    A method of financial modeling in which one or more variables ...
  4. Regression

    A statistical measure that attempts to determine the strength ...
  5. Quantitative Analysis

    A business or financial analysis technique that seeks to understand ...
  6. Scenario Analysis

    The process of estimating the expected value of a portfolio after ...
Related Articles
  1. Active Trading Fundamentals

    Simple Moving Averages Make Trends Stand Out

    The moving average is easy to calculate and, once plotted on a chart, is a powerful visual trend-spotting tool.
  2. Personal Finance

    Does Your Investment Manager Measure Up?

    These key stats will reveal whether your advisor is a league leader or a benchwarmer.
  3. Fundamental Analysis

    Financial Markets: Random, Cyclical Or Both?

    Are the markets random or cyclical? It depends on who you ask. Here, we go over both sides of the argument.
  4. Investing Basics

    Economic Indicators That Do-It-Yourself Investors Should Know

    Understanding these investing tools will put the market in your hands.
  5. Active Trading Fundamentals

    Weighted Moving Averages: The Basics

    We take a closer look at the linearly weighted moving average and the exponentially smoothed moving average.
  6. Forex Education

    Stochastics: An Accurate Buy And Sell Indicator

    Find out how stochastics are used to create buy and sell signals for traders.
  7. Trading Strategies

    Find Turning Points With Single-Day Patterns

    On their own, single-day patterns can be unreliable, but that doesn't mean they can't be used effectively.
  8. Forex Education

    Elliott Wave Theory

    Acquaint yourself with the principle built on the discovery that stock markets did not behave in a chaotic manner.
  9. Active Trading

    An Introduction To Oscillators

    Find out how this indicator may help improve the average investor's entry and exit points.
  10. Personal Finance

    Testing 3 Types Of Analysts

    Different clients require different research reports. Which type of analyst do you need?
RELATED FAQS
  1. How do traders identify key signals from the autoregressive moving average?

    An autoregressive moving average, or ARMA, is used in the study of time series plotting. Models built on ARMA rely on linear ... Read Full Answer >>
  2. What is Fibonacci retracement, and where do the ratios that are used come from?

    Fibonacci retracement is a very popular tool among technical traders and is based on the key numbers identified by mathematician ... Read Full Answer >>
  3. Do plane tickets get cheaper closer to the date of departure?

    The price of flights usually increases one month prior to the date of departure. Flights are usually cheapest between three ... Read Full Answer >>
  4. Is Colombia an emerging market economy?

    Colombia meets the criteria of an emerging market economy. The South American country has a much lower gross domestic product, ... Read Full Answer >>
  5. What are some of the most common technical indicators that back up Doji patterns?

    The doji candlestick is important enough that Steve Nison devotes an entire chapter to it in his definitive work on candlestick ... Read Full Answer >>
  6. Tame Panic Selling with the Exhausted Selling Model

    The exhausted selling model is a pricing strategy used to identify and trade based off of the price floor of a security. ... Read Full Answer >>
Hot Definitions
  1. Socially Responsible Investment - SRI

    An investment that is considered socially responsible because of the nature of the business the company conducts. Common ...
  2. Presidential Election Cycle (Theory)

    A theory developed by Yale Hirsch that states that U.S. stock markets are weakest in the year following the election of a ...
  3. Super Bowl Indicator

    An indicator based on the belief that a Super Bowl win for a team from the old AFL (AFC division) foretells a decline in ...
  4. Flight To Quality

    The action of investors moving their capital away from riskier investments to the safest possible investment vehicles. This ...
  5. Discouraged Worker

    A person who is eligible for employment and is able to work, but is currently unemployed and has not attempted to find employment ...
  6. Ponzimonium

    After Bernard Madoff's $65 billion Ponzi scheme was revealed, many new (smaller-scale) Ponzi schemers became exposed. Ponzimonium ...
Trading Center