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5

As you pointed out there are many ways to adjust for the roll overs. Hence, I guess you would agree that there is no one-size-fits-all answer to this. It really depends on the usage of the data: First think about how the trades in your back test are structured. If they are longer-term trades and you hold over roll overs then think what you would do if you ...


3

Sounds a little bit similar to variance ratio - the seminal paper of which was Lo, MacKinlay 1988, however that deals with variance, not differences of extrema. That you find "risk" narrows over time is odd, given that $Var[x + y] = Var[x] + Var[y]$ for independent variables $x \& y$, and one could look at days as being independent, and similarly ...


3

Although I sincerely do not know the correct answer to your question because I never read about this kind of topic in particular and I agree for the most with @MattWolf, I found your question very interesting. I suggest you to start by reading the literature on the market illiquidity proxies and the relative effect of market illiquidity on the stock market ...


2

An oldie but goodie from 2000. Bob Fulks, Back-Adjusting Futures Contracts, http://www.nuclearphynance.com/User%20Files/7228/cntcontr.pdf The article is a great summary of the most popular adjustment methods. I agree with and would like to stress the author's observation: "There is no "best" method in an absolute sense. All the methods have advantages and ...


2

I believe you approach this whole issue from the wrong end. Market impact is a huge function of the size of your orders and therefore you cannot start to ask what strategies outperform certain market impact. Instead you should start to think about required returns and associated risk tolerance. Also define prudent risk management rules. From that results ...


2

If you look at longer time returns (monthly or weekly as compared to daily) then these can be seen as the sum of daily (log-)returns: $$ r^w = \sum r_1^d + \cdots r_5^d. $$ It is in general not true that the $r_i$ are iid because they are not independent. If they were then $r_i^2$ would be iid too and we know that volatility clusters. Even without ...


1

Why is it so expensive to use the full revaluation method? The commodity forward price is $$ F = (S + U)e^{rT} $$ where $S$ is the current spot price, $U$ is the cost of storage between $0$ and $T$ and $r$ is the risk-free rate (you may also have an FX rate if the forward is priced in a different currency from the underlying). If you have a joint model ...


1

If you really just want the charts, you can get this on the TD Ameritrade platform. You do need a funded account, so it is not exactly "free" but there aren't any fees associated with it. In their desktop client, you can select "On Demand" mode. This gives you the ability to rewind to earlier points in history for sim trading purposes. Just rewind back ...


1

The chart you linked to offers data for the "instantaneous forward rate" which are the rates you are looking for (f(tj,tj+τk)). Regarding the construction of the zero-coupon yield curves (cited from the ECB website): "The ECB estimates zero-coupon yield curves for the euro area and derives forward and par yield curves. A zero coupon bond is a bond that ...



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