FTSE-100讲解、辅导E-Mini留学生、辅导Python、讲解c/c++，Java语言 讲解R语言程序|讲解数据库SQL
- 首页 >> OS编程 Using the 1-min data for the S&P500 E-Mini and FTSE-100 index futures as used for
homework 1, please develop a histogram of 1-min price changes
, where represents trading minutes. Please make use of all possible realizations
of, and not only of nonoverlapping
intervals like in the previous homework. For this problem, please do the
following:
- Normalize the results of your measurements such that./. = 1.
- Graph the results for = 1 on a log-lin scale (i.e., log34 = 1
as a function of ). Use a symmetric range of positive and negative values of
x.
- On this graph, superimpose a true Gaussian PDF which has the empirically
correct (standard deviation of the 1-min price changes) and (=sample
average of ’s) which you will need to measure from the data, with the
purpose of a clear visual illustration of the existence of non-Gaussian “fat” tails
in the PDF.
- So far, we’ve only used = 1 . Using Matlab or any other high-level
programming language, write a function to do this for any given time shift.
Use your code to redo what you’ve done for this problem with other values of= 5, 30, 60, 120, 180, 360 mins. Submit all resulting graphs.
- Using the leading-order term from the formula for the Taylor-series expansion
of the Lévy PDF, please, infer the Lévy exponent for both of the ES and FT
markets. Please provide additional insight into how you were able to determine
this from using your code.
- Finally, submit your code.
homework 1, please develop a histogram of 1-min price changes
, where represents trading minutes. Please make use of all possible realizations
of, and not only of nonoverlapping
intervals like in the previous homework. For this problem, please do the
following:
- Normalize the results of your measurements such that./. = 1.
- Graph the results for = 1 on a log-lin scale (i.e., log34 = 1
as a function of ). Use a symmetric range of positive and negative values of
x.
- On this graph, superimpose a true Gaussian PDF which has the empirically
correct (standard deviation of the 1-min price changes) and (=sample
average of ’s) which you will need to measure from the data, with the
purpose of a clear visual illustration of the existence of non-Gaussian “fat” tails
in the PDF.
- So far, we’ve only used = 1 . Using Matlab or any other high-level
programming language, write a function to do this for any given time shift.
Use your code to redo what you’ve done for this problem with other values of= 5, 30, 60, 120, 180, 360 mins. Submit all resulting graphs.
- Using the leading-order term from the formula for the Taylor-series expansion
of the Lévy PDF, please, infer the Lévy exponent for both of the ES and FT
markets. Please provide additional insight into how you were able to determine
this from using your code.
- Finally, submit your code.