Empirical analysis of daily cash flow time-series and its implications for forecasting

Usual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity h...

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Authors: Salas-Molina, Francisco, Rodríguez-Aguilar, Juan Antonio, Serra, Joan, Guillén, Montserrat, Martin, Francisco J.
Format: article
Publication Date:2018
Country:España
Institution:Consejo Superior de Investigaciones Científicas (CSIC)
Repository:DIGITAL.CSIC. Repositorio Institucional del CSIC
OAI Identifier:oai:digital.csic.es:10261/197347
Online Access:http://hdl.handle.net/10261/197347
Access Level:Open access
Keyword:Statistics
Forecasting
Cash flow
Non-linearity
Time-series
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spelling Empirical analysis of daily cash flow time-series and its implications for forecastingSalas-Molina, FranciscoRodríguez-Aguilar, Juan AntonioSerra, JoanGuillén, MontserratMartin, Francisco J.StatisticsForecastingCash flowNon-linearityTime-seriesUsual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity hardly appear; (ii) non-linearity is often relevant for forecasting; and (iii) typical data transformations have little impact on linearity and normality. This evidence may lead to consider a more data-driven approach such as time-series forecasting in an attempt to provide cash managers with expert systems in cash management.Work partially funded by projects Collectiveware TIN2015-66863-C2-1-R (MINECO/ FEDER) and 2014 SGR 118Peer reviewedInstituto de Estadística de CataluñaMinisterio de Economía y Competitividad (España)European CommissionConsejo Superior de Investigaciones Científicas [https://ror.org/02gfc7t72]202020202018info:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501http://hdl.handle.net/10261/197347reponame:DIGITAL.CSIC. Repositorio Institucional del CSICinstname:Consejo Superior de Investigaciones Científicas (CSIC)Inglés#PLACEHOLDER_PARENT_METADATA_VALUE#info:eu-repo/grantAgreement/MINECO/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/TIN2015-66863-C2-1-Rhttp://dx.doi.org/10.243 6/20.8080.02.70Síinfo:eu-repo/semantics/openAccessoai:digital.csic.es:10261/1973472026-05-22T06:33:51Z
dc.title.none.fl_str_mv Empirical analysis of daily cash flow time-series and its implications for forecasting
title Empirical analysis of daily cash flow time-series and its implications for forecasting
spellingShingle Empirical analysis of daily cash flow time-series and its implications for forecasting
Salas-Molina, Francisco
Statistics
Forecasting
Cash flow
Non-linearity
Time-series
title_short Empirical analysis of daily cash flow time-series and its implications for forecasting
title_full Empirical analysis of daily cash flow time-series and its implications for forecasting
title_fullStr Empirical analysis of daily cash flow time-series and its implications for forecasting
title_full_unstemmed Empirical analysis of daily cash flow time-series and its implications for forecasting
title_sort Empirical analysis of daily cash flow time-series and its implications for forecasting
dc.creator.none.fl_str_mv Salas-Molina, Francisco
Rodríguez-Aguilar, Juan Antonio
Serra, Joan
Guillén, Montserrat
Martin, Francisco J.
author Salas-Molina, Francisco
author_facet Salas-Molina, Francisco
Rodríguez-Aguilar, Juan Antonio
Serra, Joan
Guillén, Montserrat
Martin, Francisco J.
author_role author
author2 Rodríguez-Aguilar, Juan Antonio
Serra, Joan
Guillén, Montserrat
Martin, Francisco J.
author2_role author
author
author
author
dc.contributor.none.fl_str_mv Ministerio de Economía y Competitividad (España)
European Commission
Consejo Superior de Investigaciones Científicas [https://ror.org/02gfc7t72]
dc.subject.none.fl_str_mv Statistics
Forecasting
Cash flow
Non-linearity
Time-series
topic Statistics
Forecasting
Cash flow
Non-linearity
Time-series
description Usual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity hardly appear; (ii) non-linearity is often relevant for forecasting; and (iii) typical data transformations have little impact on linearity and normality. This evidence may lead to consider a more data-driven approach such as time-series forecasting in an attempt to provide cash managers with expert systems in cash management.
publishDate 2018
dc.date.none.fl_str_mv 2018
2020
2020
dc.type.none.fl_str_mv info:eu-repo/semantics/article
http://purl.org/coar/resource_type/c_6501
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10261/197347
url http://hdl.handle.net/10261/197347
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv #PLACEHOLDER_PARENT_METADATA_VALUE#
info:eu-repo/grantAgreement/MINECO/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/TIN2015-66863-C2-1-R
http://dx.doi.org/10.243 6/20.8080.02.70
Sí
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Instituto de Estadística de Cataluña
publisher.none.fl_str_mv Instituto de Estadística de Cataluña
dc.source.none.fl_str_mv reponame:DIGITAL.CSIC. Repositorio Institucional del CSIC
instname:Consejo Superior de Investigaciones Científicas (CSIC)
instname_str Consejo Superior de Investigaciones Científicas (CSIC)
reponame_str DIGITAL.CSIC. Repositorio Institucional del CSIC
collection DIGITAL.CSIC. Repositorio Institucional del CSIC
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.812429

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