CFA Level II Dec 2020

Time series is a stationary process
Having a unit root will ruin its stationarity

https://www.statisticshowto.com/unit-root/
Ug level stat黎
Cfa將好多複雜野簡單化左

唔知點應你
唯有dom低一句
All models are wrong, but some are useful

level 3 AM

無做哂？

有冇邊個做得曬L3 AM 舉舉手

無做兩大題

好多題都唔firm

冇人覺得level 2 pm 幾難咩

PM係難過AM

Time series 係一定要stationary
倒番轉如果佢每一下time point個distribution都唔同,其實你無野估到
金融資產本身return rate未必stationary.
呢個時候你就用Arima個i (differencing)睇下之後會唔會係stationary.

BS model都一樣, 佢個price唔係non-stationary, 但return係under brownian motion with drift(都唔係stationary)
當你而當你discretize佢去成為N個equal time interval
R1, R2, R3, R4....RN
R2-R1, R3-R2...就係stationary
情況就有D似Arima(0,1,1)

不過講咁多,我就唔知你果條考緊咩啦,純學術交流Only

師兄似fin math出身喎

L1 L2都90 percentile
L3完全冇信心

所以無錯price就唔係stationary, 但return 係
我想表達既係stationary 多多少少係某個地方會用到

係咩我覺得L1 AM難啲

係咪下個月底就有results

CFA有冇share course架