Questions tagged [rolling]
The rolling tag has no usage guidance.
17
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Fama-MacBeth regressions to predict stock returns; confusion on which steps to use
When following Lewellen (2015) (open access here), I am confused as to whether I need to estimate any lambdas. As I already have values for lagged firm characteristics such as ROA and accruals etc. ...
- 45
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21
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FM regressions for size groups when examining a cross section of expected stock returns
When doing FM regressions for size groups similar to Lewellen (2015) (open access here), should I obtain the cross sectional rolling return window betas using only the size group? (E.g only use large ...
- 45
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239
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How to implement rolling granger causality
I am investigating two time series where the first is the daily closing stock price changes and the other is the daily changes in the PCE index.
I want to investigate how much the PCE index explains ...
- 1
2
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60
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The price of liquidity
We are currently in the US Treasury roll period when investors are rolling from the previously issued notes and bonds into the currently issued notes and bonds, aka "Rolling from Off-The-Runs to ...
- 5,662
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461
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Annualized rolling volatility? [closed]
I have 600 days of closing prices of a stock. I want to calculate the annualized volatility for 6 day window. How do i do that?
If I calculate the std dev of the first 6 days, i get, say 1%. This is ...
- 265
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1
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54
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rolling 24-hr time series volume data - how to back out minute level volume?
I have data (trading volume) that is tracked on a rolling 24-hour basis approximately 1 minute or so. Here are some sample timestamps that highlight why I say approximately:
I am trying to use this ...
- 103
2
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1
answer
3k
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Rolling Calculation of Slope in Python
I am trying to calculate Slope for the rolling window of 5 and 20 periods and append it to the existing data frame. The length of the total dataset would be let's say 30 days. I have two columns "...
- 1,397
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959
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Backtest: Fast Reconstruction of Order Book using Order Creation/Completion Data in Python
I am looking for a quick way to reconstruct the order book at the time of each new limit order creation.
The data I have is order creation and completion:
OrderID
time_created
time_completed
price
a
...
- 11
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2
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255
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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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1
answer
1k
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Pandas rolling mean not working properly [closed]
I have the following dataframe df on which I want to compute a 4-window moving average :
...
- 1
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1
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62
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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 ...
- 1
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111
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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 ...
- 15
3
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309
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 ...
- 2,980
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136
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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
1
answer
324
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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 ...
- 23
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95
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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 ...
- 31
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216
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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}
\\...
- 406