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11 Questions

Votes Activity Newest Views

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Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility

volatility high-frequency stochastic-volatility high-frequency-estimators

Aug 7 '15 at 1:40 Colin T Bowers 679

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answer

1k

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Measuring momentum as AR(1) process

time-series auto-correlation time momentum

Feb 13 '18 at 20:00 feetwet 207

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2

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12k

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Realized Volatility vs. Standard deviation of log returns

volatility implied-volatility high-frequency high-frequency-estimators

Dec 22 at 18:40 Soumirai 514

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2

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3k

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How to interpret Realized Volatility and TSRV using R

volatility implied-volatility high-frequency local-volatility high-frequency-estimators

Oct 23 at 1:36 Hans 2,254

3

votes

1

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249

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Derivation using Ito's Lemma of price process

stochastic-processes stochastic-calculus itos-lemma

Nov 2 '15 at 16:07 Gordon 18.9k

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2

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470

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What do you do with low r-squared when calculating high-frequency beta

r correlation beta capm

Sep 21 '15 at 17:27 user32416 505

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246

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impact model what volatility to use

volatility high-frequency high-frequency-estimators market-impact

Apr 18 '17 at 1:29 David Addison 2,735

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1

answer

73

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Does it make sense to interpret autocorrelation and box test on 5 data points?

time-series mean-reversion

Aug 15 '15 at 10:36 Community♦ 1

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Interpreting and scaling of Realized Variance with sample data

volatility stochastic-processes implied-volatility high-frequency high-frequency-estimators

Sep 17 '18 at 23:13 Colin T Bowers 679

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What is wrong in my non-linear estimation sample code?

programming statistics regression normal-inverse-gaussian

Oct 20 '15 at 15:18 joesyc 425

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When measuring autocorrelation should you use log returns or prices?

correlation auto-correlation log-returns

Aug 18 '15 at 1:15 Alex C 8,726

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