In Chapter 3, we denoted as t1 a pandas series of timestamps where the first barrier was touched,… 1 answer below »

In Chapter 3, we denoted as t1 a pandas series of timestamps where the first barrier was touched, and the index was the timestamp of the observation. This was the output of the get Events function.

(a) Compute a t1 series on dollar bars derived from E-mini S&P 500 futures tick data.

(b) Apply the function    to compute the number of overlapping outcomes at each point in time.

(c) Plot the time series of the number of concurrent labels on the primary axis, and the time series of exponentially weighted moving standard deviation of returns on the secondary axis.

(d) Produce a scatterplot of the number of concurrent labels (x-axis) and the exponentially weighted moving standard deviation of returns (y-axis). Can you appreciate a relationship?

 

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