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2answers
1k views

Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?

I would like to calculate the Yearly Sharpe Ratio on MSCI World index I have monthly values of the index that falls back up to Jan/1970, hence about: 44 years, 528 months In order to calculate ...
0
votes
1answer
126 views

Calculating the Sum of Squared Deviations between two Normalized Price Series

How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...
0
votes
0answers
69 views

Mean-variance minimizser

I am working on a project that involves pricing european call options in incomplete markets. Now I need to find a unique measure $Q^*$ such that $$Q^* = \min_{M_e} E_Q [V(T)-F(w)]^2 = \min_{u} E_Q ...
6
votes
3answers
3k views

R code for Ornstein-Uhlenbeck process

Can any one help me with some R code to run Ornstein-Uhlenbeck process?
4
votes
1answer
1k views

Mean Reversion Time Frame

I am running a mean reversion strategy. I have question with regards to half-life; I have heard of OU process to determine the high life but it's not giving me the kind of result. Can any one ...
4
votes
2answers
2k views

Mean reverting Indicator

I'm looking for an indicator which tells me if it's a good time to use mean reverting type quantitative trading strategies. In order to do so I look at the market (the few hundred stocks I trade) and ...