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4 votes

Annualized rolling volatility?

We work in annual units because $T=1$ means one year. This means that the time units must be converted to portions of a year. For example, in the case of daily observations, $\Delta t = 1 / 252$. ...
3 votes

Rolling to a non-front month future contract?

So, a future is basically like a forward. $F_0(T) = S_0e^{T(r_{f,T}-r_{d,T}+x_T)}$ The longer dated you go, the more you have exposure to the stuff in the exponential (rates in the two currencies, and ...
  • 614
2 votes

What is the duration of a rolling 5 year investment?

The duration represents the sensitivity of the price of a financial instrument to current interest rates. Since at the rolling date the price will be equal to the face value no matter what happens to ...
2 votes

How can I convert rolling annual returns back to quarterly returns?

Generally speaking, you pose a system of linear equations that is undetermined. If you provided the initial 3 quarterly returns together with the cumulative returns then yes, all other quarterly ...
  • 6,043
1 vote

Backtest: Fast Reconstruction of Order Book using Order Creation/Completion Data in Python

In my opinion the best way to do it is to rebuild the orderbook from order flow. But first of all it seems very strange that you start with this data frame, usually you do not know the deletion date ...
  • 10.7k
1 vote

Pandas rolling mean not working properly

This is not at all a quantitative finance question and will probable be moved to StackExchange, but in any case... ...
  • 5,375

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