Autocorrelation function and variance
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My model is: Pt= mt + S*Qt/2
with: Qt=(1,-1),Pt=price of stock at time t, mt=firm value at time t, S= spread between ask and bid price
I am asked to compute the autocorrelation function and the variance of 𝑃𝑡 − 𝑃𝑡−1
knowing that 𝜎(𝑚)^2 is the variance of 𝑚𝑡 − 𝑚𝑡−1
Anyone has any idea how to solve this?!
time-series
asked Nov 22 at 14:36
Lisa Bushee
1
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up vote
-1
down vote
favorite
My model is: Pt= mt + S*Qt/2
with: Qt=(1,-1),Pt=price of stock at time t, mt=firm value at time t, S= spread between ask and bid price
I am asked to compute the autocorrelation function and the variance of 𝑃𝑡 − 𝑃𝑡−1
knowing that 𝜎(𝑚)^2 is the variance of 𝑚𝑡 − 𝑚𝑡−1
Anyone has any idea how to solve this?!
time-series
asked Nov 22 at 14:36
Lisa Bushee
1
add a comment |
up vote
-1
down vote
favorite
up vote
-1
down vote
favorite
My model is: Pt= mt + S*Qt/2
with: Qt=(1,-1),Pt=price of stock at time t, mt=firm value at time t, S= spread between ask and bid price
I am asked to compute the autocorrelation function and the variance of 𝑃𝑡 − 𝑃𝑡−1
knowing that 𝜎(𝑚)^2 is the variance of 𝑚𝑡 − 𝑚𝑡−1
Anyone has any idea how to solve this?!
time-series
asked Nov 22 at 14:36
Lisa Bushee
1
My model is: Pt= mt + S*Qt/2
with: Qt=(1,-1),Pt=price of stock at time t, mt=firm value at time t, S= spread between ask and bid price
I am asked to compute the autocorrelation function and the variance of 𝑃𝑡 − 𝑃𝑡−1
knowing that 𝜎(𝑚)^2 is the variance of 𝑚𝑡 − 𝑚𝑡−1
Anyone has any idea how to solve this?!
time-series
time-series
asked Nov 22 at 14:36
Lisa Bushee
1
asked Nov 22 at 14:36
Lisa Bushee
1
asked Nov 22 at 14:36
Lisa Bushee
1
asked Nov 22 at 14:36
Lisa Bushee
1
asked Nov 22 at 14:36
Lisa Bushee
1
1
add a comment |
add a comment |
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