Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Form a portfolio (2 stocks or more) or simply use one of the market indices (SPY, QQQ etc) for the following questions. [ Daily returns

Form a portfolio (2 stocks or more) or simply use one of the market indices (SPY, QQQ etc) for the following questions.

[Daily returns] Calculate the daily returns using pct_change.

[Daily returns] Is the daily return series normally distributed? Carry out a test and interpret its p-value.

[Monthly returns] Convert the daily frequency of the return series to monthly. Is the monthly return series normally distributed? Carry out a test and interpret its p-value.

[Monthly returns & Recession] Split the monthly return series into 2 groups by USREC. Any notable difference in the standard deviation in these two periods?

[Standard deviation of daily returns & Recession] Plot the standard deviation (.std instead of .mean ) of the daily returns over every 50 days, i.e. rolling(50). Add the recession periods in the figure (your series might have different starting point). Is the standard deviation higher before and during the recession?

[Daily prices] Calculate the SMA50 and SMA200 using the daily price series.

[Daily prices] Plot SMA50, SMA200 and the index price (portfolio value) in the same figure.

[Daily prices] What happen to the stock price when SMA50 crosses SMA200 from below?

[Daily prices] What happen to the stock price when SMA50 crosses SMA200 from above?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Production And Operations Analytics

Authors: Steven Nahmias, Tava Lennon Olsen

8th Edition

1478639261, 9781478639268

More Books

Students also viewed these Finance questions

Question

What is reverse scoring and when is reverse scoring necessary?

Answered: 1 week ago