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seen May 27 '11 at 14:43

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Feb
10
comment Proving Random Walk Hypothesis in Stock Market
I think you mean the 2nd chapter. But yes, describes tests for it as well.
Feb
3
answered What kind of basic framework or application do you use to run your trading algorithms?
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accepted How to calculate future distribution of price using volatility?
Feb
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comment How to calculate future distribution of price using volatility?
Thanks for the help, I figured it was a simple mistake. Actual formula for stdev is sqrt(days/252)*volatility*mean. The mistake I was making is days doesn't include first day. So if you have 5 days of random walk, days=4 in above formula.
Feb
1
comment How to calculate future distribution of price using volatility?
I don't think I asked my question correctly. Assuming a random walk, starting at $\mu$ and yearly volatility of $\sigma$ . What is $\sigma$ for the distribution (expected prices) in like 1 month? I must be overthinking this, but it doesn't seem like $\sigma / 12 works either.
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asked How to calculate future distribution of price using volatility?