January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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Changing frequency
The general rule of thumb for changing frequency can be broken down into the following:
- Multiply/divide the log returns by the number of time periods.
- Multiply/divide the volatility by the square root of the number of time periods.
In this recipe, we present an example of how to calculate the monthly realized volatilities for Apple using daily returns and then annualize the values.
The formula for realized volatility is as follows:
Realized volatility is frequently used for daily volatility using the intraday returns.
The steps we need to take are as follows:
- Download the data and calculate the log returns.
- Calculate ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.