drzhenye
Prof. Zhen Ye (Peter)
Recently Published
Bid Ask Spread and EMWA Volatility for Nvida
Lambda = 0.95
Laplace2t-distributionCompared
On 2024-09-24, 000300 reached a high of 0.042398440. At what point does it lie in the historical Laplace distribution? How does it compare with t-distribution?
LaPlace fit and right tail probability
On 2024-09-24, 000300 reached a high of 0.042398440. At what point does it lie in the historical Laplace distribution?
Interpreting 000300
On 2024-09-24, 000300 reached a high of 0.042398440. At what point does it lie in the historical t-distribution?
Residuals versus Fitted
Breusch-Pagan test to follow
Residual versus Fitted Plot for Market Model Regression (II: ERP-MRP)
Breusch-Pagan test confirms no heteroscedasticity for 180101
Amoy Dice Game
Simulating rolling 6 dices 1 million times. This game is for the mid-autumn festival in Xiamen (Amoy) and is played continuously for a month.
Figure 2: Volatility of ASOS Share Price
The figure shows the volatility of ASOS's daily return since it started trading. As can be seen, there is more volatity in the last 3 years.
Figure 1: ASOS daily return
The figure shows daily return of ASOS since it started trading on 4 Jan 2005 until 8 March 2024.
TSLR QQPlot
TSLR QQ Plot