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Problem
1. Fit the time series of dollar bars of E-mini S&P 500 futures to an O-U process. Given those parameters:
(a) Produce a heat-map of Sharpe ratios for various profit-taking and stop-loss levels.
(b) What is the OTR?
2. Repeat exercise 2, this time on a time series of dollar bars of
(a) 10-year U.S. Treasure Notes futures
(b) WTI Crude Oil futures
(c) Are the results significantly different? Does this justify having execution traders specialized by product?
Exercise 2
Fit the time series of dollar bars of E-mini S&P 500 futures to an O-U process. Given those parameters:
Two aqueous sulfuric acid solutions containing 20.0 wt% H2SO4 (specific gravity = 1.139) and 60.0 wt% H2SO4 (specific gravity = 1.498) are mixed to form a 4.00 gmol/L H2SO4 solution (specific gravity = 1.213).
The CMOS inverter of Fig. is implemented in a 0.13-μm process for which μnCox =500 μA/V2, μpCox = 125 μA/V2, Vtn =-Vtp =0.4 V, and VDD 1.2 V. The NMOS transistor has (W/L)n = 1.5. What must (W/L)p be if QN and QP are to have equal Ron resistances..
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What is the actual volumetric flow in the well?
1.Convert the following to a do/while loop. It should produce exactly the same output.
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Design the FRP for a simply supported beam with length L = 7 m. The external uniform dead and live loads are: wDL = 11.25 N/mm (Dead), and wLL = 13.25 N/mm (Live).
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A Cu- 30 w t% Ag alloy is cooled from 1100 degree C to 700 degree C. What is the weight percent of each phase (for this alloy) at 700 degree C°. Calculate the percentage of eutectic alpha phase for this alloy at 700 degree C. Specify the PR eutectic ..
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