Form a time series of volume bars on e-mini sp 500 futures, Other Engineering

+44 141 628 6080
[email protected]

Form a time series of volume bars on e-mini sp 500 futures

Problem

1. Form a time series of volume bars on E-mini S&P 500 futures,

(a) Compute the series of VPIN on May 6, 2010 (flash crash).

(b) Plot the series of VPIN and prices. What do you see?

2. Compute the distribution of order sizes for E-mini S&P 500 futures

(a) Over the entire period.

(b) For May 6, 2010.

(c) Conduct a Kolmogorov-Smirnov test on both distributions. Are they significantly different, at a 95% confidence level?

View Complete Question

Request for Solution File

Ask an Expert for Answer!!

Other Engineering: Form a time series of volume bars on e-mini sp 500 futures

Reference No:- TGS02722234

Expected delivery within 24 Hours

Have a Question? (oR Write a Review)

Write atleast 100 words!!

Asked Questions

Symbolic interactionism took off as a theoretical approach

Question: Symbolic interactionism took off as a theoretical approach to the study of deviance during the 1960s

Examine gender inequality on a global scale

Question: Examine gender inequality on a global scale, considering how factors such as globalization, colonialism

Discuss statements about sociological approaches

Question: Which of the following statements about sociological approaches are true?

Which is a criticism of marxist/conflict theories

Question: Which of the following is a criticism of Marxist/conflict theories? Group of answer choices

How coastlines are vulnerable to multiple climate change

Even though are coastlines are very vulnerable to multiple climate change impacts, the good news is that because most of our urban settlements

How are schools important in the struggle for power

Question: How are schools important in the struggle for power and status?

Review the real-life cat and mouse chase

Real-Life Cat and Mouse Chase: Understanding the Perceptions and Attitudes of Street Vendors of Metro Manila towards MMDA Regulation No. 03-004

Request for Solution File

Ask an Expert for Answer!!

Other Engineering: Form a time series of volume bars on e-mini sp 500 futures

Reference No:- TGS02722234

Have a Question? (oR Write a Review)

Recent Questions Asked Other Engineering

Q : Apply the corwin-schultz estimator to a daily series of

Q : Cameron boats a supplier of boating equipment sells 5000

Q : Does the decision to place the ad look good from the

Q : Describe how what humans are doing today in changing the

Q : Form a time series of volume bars on e-mini sp 500 futures

Q : Floral beauty inc is a large floral arrangements store

Q : If production does increase dramatically after their

Q : What is the correlation between these two series is it

Q : Annual demand for the dobbs model airplane kit is 80000