Questions tagged [rolling]

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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 ...
develarist's user avatar
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2 votes
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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 "...
Add's user avatar
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2 votes
1 answer
368 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 ...
sb1's user avatar
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2 votes
0 answers
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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 ...
AlRacoon's user avatar
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1 vote
1 answer
555 views

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 ...
Orvar Korvar's user avatar
1 vote
1 answer
93 views

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. ...
Julien Maas's user avatar
1 vote
1 answer
41 views

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 ...
Julien Maas's user avatar
1 vote
1 answer
1k views

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 ...
Dumberc's user avatar
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1 answer
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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 ...
Usal's user avatar
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0 votes
1 answer
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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 ...
xren's user avatar
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1 answer
1k 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 : ...
medbz0's user avatar
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1 answer
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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 ...
gauss123's user avatar
0 votes
1 answer
56 views

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 ...
MathMathCookie's user avatar
0 votes
0 answers
139 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 $$r_t = \frac{x_t - x_{t-W}}{x_{t-W}}$$ ...
Vivek Subramanian's user avatar
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102 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 ...
macro123's user avatar
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0 answers
222 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} \\...
Marco Demaio's user avatar
0 votes
2 answers
284 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 ...
Vivek Subramanian's user avatar