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?

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(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 = 0.5. What is their correlation?

 

2. If you compute the reciprocal of each price, the series  turns bubbles into bursts and bursts into bubbles.

(a) Is this transformation needed, to identify bursts?

(b) What methods in this chapter can identify bursts without requiring this transformation?