Questions tagged [rolling]
The rolling tag has no usage guidance.
10
questions
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63 views
Estimating distribution of rate of return
Let $f[t]$ be the price of a stock at time $t$. We can calculate the rolling rate of return of the stock in a window of length $n$ by computing:
$$r[t] = \frac{f[t] - f[t-n]}{f[t-n]}$$
$r[t]$ is ...
0
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1answer
79 views
Pandas rolling mean not working properly [closed]
I have the following dataframe df on which I want to compute a 4-window moving average :
...
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50 views
FX rollover tomorrow next and spot next
One traded a fx spot position on day T (say T+2 settlement).
If he wants to roll the fx spot on day T, he will use SPOT/NEXT.
If he wants to roll the fx spot on day T+1, he will use TOM/NEXT.
Is this ...
0
votes
1answer
55 views
What is the duration of a rolling 5 year investment?
I have difficulty with the duration of a 5 year investment (like GIC). In such an investment, the investment (GIC) rate is reset as the current market rates. So the market value is equal to the face ...
0
votes
1answer
82 views
Rolling to a non-front month future contract?
I hedge my US positions with M6B, a GBP/USD future.
Every time I roll my contracts, I ask myself "why is there so little liquidity beyond the next three months?" Surely there are people that ...
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votes
0answers
210 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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0answers
79 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
$$r_t = \frac{x_t - x_{t-W}}{x_{t-W}}$$
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2
votes
1answer
66 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
50 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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144 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}
\\...
