Evidence for Opportunities at Longer Timescales
{"Image DocumentName": "Evidence for Opportunities at Longer Timescales", "Image ImageDescription": "Compare the volatilities of returns with different lengths of non-overlapping chain linked return data. Normalise to SQRT(time window). All data should be identical if markets are IID. Clearly this is not the case, but how significant is this? Previous work has found difficulty with lack of data: we have a new technique. Compare to 40 random scrambled data series. This (on average) destroys any time series coherence, and allows us to assess significance. Explore at index level over long timescales (BZW Equity Gilt Study.) Explore at single stock level over long timescales (Shell) Source: Standard Life Investments.", "Image XResolution": "37", "Image YResolution": "37", "Image ResolutionUnit": "Pixels/Centimeter", "Image Software": "SlidePlayer", "Image YCbCrPositioning": "Centered"}