1 On A Dollar Bar Series On E Mini S P 500 Futures A Compute Smt For Sm Poly1 And Sm 2664120
1. On a dollar bar series on E-mini S&P 500 futures, (a) Compute SMT for SM-Poly1 and SM-Poly 2, where 𝜑 = 1. What is their correlation? (b) Compute SMT for SM-Exp, where 𝜑 = 1 and 𝜑 = 0.5. What is their correlation? (c) Compute SMT for SM-Power, where 𝜑 = 1 and 𝜑 […]