Questions tagged [rolling]
The rolling tag has no usage guidance.
6
questions
3
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0answers
145 views
Does the Shannon entropy of stock returns change over time?
Shannon entropy, $H(X) = -\sum_{i=1}^n p(x) \ln p(x)$ is a probabilistic measure of randomness or disorder within a random variable's probability distribution or histogram.
If we take rolling window ...
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votes
0answers
59 views
Volatility of multimodal distribution of returns
Take $x_1, x_2, \ldots, x_T$ to be the price of a stock, indexed by $t=1, 2, \ldots, T$. Define rate of return at time $t>W$ for a window size of $W$ to be
$$r_t = \frac{x_t - x_{t-W}}{x_{t-W}}$$
...
2
votes
1answer
36 views
How can I convert rolling annual returns back to quarterly returns?
I have a series of rolling annual returns and would like to convert these back to quarterly returns, which have not been provided. Is this possible formulaically, or is something like Excel's solver ...
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0answers
34 views
Rolling Hedge Performance
So I have Time Series data for Gas Spot and Futures Prices (first 6 front quarters and first 3 front years) from 2009-2019 and I want to evaluate the performance of a 3- year static hedge vs. 3- year ...
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33 views
First principles implied financing cost embedded in equity futures
i was reviewing this doc produced by the CME - https://www.cmegroup.com/education/files/S-and-P-500-Implied-Financing.pdf
Per the document, if I take the following as a given:
1) Roll = Deferred ...
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0answers
56 views
Correct way to calculate the S&P500 average CAGR of earnings over 10 years rolling periods
Let's say we have only the following data for the earnings (e) and we calculated for each 10 years period the total earnings growth (G) and its Compounded Annual Growth Rate (AG)
\begin{equation}
\\...
