Hi,
At time 01:09 what do “returns for the day” and " first standard deviation of the daily returns" mean?
Course Name: Quantitative Trading Strategies and Models, Section No: 2, Unit No: 18, Unit type: WaterMarkVideo
Hi,
Here, returns for the day implies the daily returns calculation for the given day. Standard deviation is a measure to gauge the volatility of the asset. You can learn more about standard deviation here: Standard Deviation in Trading: Calculations, Use Cases, Examples and more
It is said if your data (here let’s assume daily returns) follows normal distribution then it is said that 68% of the values lie within one standard deviation value from the average.
Hope this helps.
So “returns for the day” means the difference between open & close for the day? Or difference between the day’s close and yesterday’s close?
Returns for the day is the difference between today’s closing price and yesterday’s closing price.