Hurst Exponent in Excel

Hurst Exponent in Excel

What exactly is the Hurst Exponent? How do we use it in Excel? And how do we interpret the calculated values? In our latest issue of Tips & Tricks, we will go over the Hurst exponent in-depth. By examining the…

 Making Sense of Diesel Prices

Making Sense of Diesel Prices

In this case, we examine the highway retail price ($/Gallon) for “No.2 Ultra Low Sulfur (0-15 ppm) Diesel” in the EIA nine (9) PADD regions and carry on principal component analysis in an attempt to find a minimal subset of…

 Calculating CAPM Beta

Calculating CAPM Beta

In this paper, we will apply simple linear regression to calculate the CAPM beta for two technology stocks: Microsoft (MSFT) and IBM, then validate the model’s assumptions, identify influential data-points (e.g. outlier), ensure structural stability over the data sample, and…

 Demystifying Trading Strategy Returns

Demystifying Trading Strategy Returns

In this paper, we’ll examine a claim by a portfolio manager (let’s call him trader B) about his ability to generate statistically significant Alpha. Alpha is the excess-return compensation for the risk borne, and thus commonly used to assess active…

 Predict This

Predict This

The case deals with the predictability of the daily closing EUR/USD exchange rate, given its prior history. First, we constructed a trading strategy where we buy EUR at market open, and close the position (selling EUR) at the market close…