Questions tagged [time-scale]

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Is scaling the standard deviations in the VaR formula (parametric) equivalent to scaling the VaR figure at the end?

I have come across people calculating parametric VaR who scaled the standard deviations by say square root of 10 to scale up to a 10 day horizon. Elsewhere I have seen textbooks suggesting that it is ...
Em1989's user avatar
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2 answers
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Indicators parameters for weekly chart/data: to scale or not to scale, that is the question

Beginner here, so apologies for the rather naïve question, I try to find answers elsewhere but mostly I found opinions (often contradicting and rarely with an explanantion). Maybe I'm using the wrong ...
Igor M's user avatar
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1 answer
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How to up-sample monthly returns into daily returns?

I know how to down-sample daily returns (large-sample data) to monthly returns (small-sample data) by using rolling windows, which feels like estimating a sub-sample from the population (something ...
develarist's user avatar
  • 3,000
2 votes
0 answers
63 views

Is $\sigma_{1} = \frac{\sigma_{\tau}}{\sqrt{\tau}}$ suitable for volatility scaling?

It seems to be the de-facto method; and I see how we get it from log-normal assumption. However volatility scaling seems to be way more sensitive to $\tau$ than mean scaling -- as in two ~ 2 times (...
A.L. Verminburger's user avatar
2 votes
2 answers
554 views

Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. the ...
Jerry Zhang's user avatar
1 vote
2 answers
127 views

How to calculate burnrate?

Wikipedia says Burn rate is a synonymous term for negative cash flow but I neither agree nor believe that is formalized. A company could need turnaround from losses ...
Niklas Rosencrantz's user avatar
3 votes
1 answer
2k views

Scaling of a transition matrix

I am working on a ratings transition matrix and I wondered how people scale it down to shorter time periods (although one should more or less stick to the estimation period i know). It is clear that ...
vanguard2k's user avatar
  • 2,915
10 votes
5 answers
2k views

Is Visual Basic a fast enough for millisecond orders

I have an API that for an order routing platform that is in visual basic. The maximum frequency or orders to exchanges will be milliseconds, where the underlying systems are expected to be able to ...
CQM's user avatar
  • 1,862
18 votes
4 answers
2k views

HFT: What is the big differentiator in comparison to other time scales?

High Frequency Trading (HFT) seems to be the big money making mystery machine these days. The purported source of unlimited floods of gelt pouring into the investment shops using it. For me, HFT is ...
vonjd's user avatar
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