FIN401-Head-TailsExample

FIN401-Head-TailsExample - Time Value H/T 100 1 97.5 T 2...

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Unformatted text preview: Time Value H/T 100 1 97.5 T 2 100.425 H 3 97.91438 T 4 95.46652 T 5 93.07985 T 6 95.87225 H 7 98.74842 H 8 101.7109 H 9 99.1681 T 10 102.1431 H 11 99.58956 T 12 102.5772 H 13 100.0128 T 14 97.5125 T 15 100.4379 H 16 97.92692 T 17 95.47875 T 18 98.34311 H 19 101.2934 H 20 104.3322 H 21 101.7239 T 22 99.18081 T 23 102.1562 H 24 105.2209 H 25 108.3775 H Heads= Tails= What stock market looks like in an efficient market E®= (.5)3 + (.5)3= .25% Random walk with drift 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 70 85 100 115 130 Date S&P50 Return t Return t-1 1/3/20 145 .2 1/4/20 139 .42 -0.0383 1/5/20 1402.1 0.0 192 -0.0383 1/6/20 1403.45 0.0 96 0.0 19 1/7/20 14 1.47 0.02709 0.0 1 1/10/20 1457.6 0.01 9 0.0271 1/1 /20 1438.56-0.0131 0.01 2 1/12/20 1432.25 -0.0 4-0.0131 1/13/20 14 9.68 0.01217 -0.0 4 1/14/20 1465.15 0.01067 0.012 1/18/20 145 .14 -0.0 68 0.0107 1/19/20 145 .9 0.0 52 -0.0 68 1/20/20 14 5.57-0.0 71 0.0 5 1/21/20 14 1.36-0.0 29-0.0 71 1/24/20 1401.53 -0.0276 -0.0 29 1/25/20 1410.03 0.0 606 -0.0276 1/26/20 1404.09-0.0 42 0.0 61 1/27/20 1398.56-0.0 39 -0.0 42 1/28/20 1360.16-0.0275 -0.0 39 1/31/20 1394.46 0.0252-0.0275 2/1/20 1409.28 0.01063 0.0252 2/2/20 1409.12-0.0 1 0.0106 2/3/20 1424.97 0.01 25 2/4/20 1424.37 -0.0 4 0.01 2 2/7/20 1424.24-9E-0 5 2/8/20 14 1.72 0.012 7 -9E-0 5 2/9/20 141 .71 -0.0208 0.0123 2/10/20 1416.83 0.0 363 -0.0208 2/1 /20 1387.12-0.021 0.0 36 2/14/20 1389.94 0.0 203-0.021 2/15/20 1402.05 0.0 871 0.0 2 2/16/20 1387.67-0.0103 0.0 87 2/17/20 138 .26 0.0 43 -0.0103 2/18/20 1346.09-0.0304 0.0 4 2/2 /20 1352.17 0.0 452 -0.0304 2/23/20 1360.69 0.0 63 0.0 45 2/24/20 1353.43-0.0 53 0.0 63 2/25/20 13 .36 -0.0148-0.0 53 2/28/20 1348.05 0.01 02 -0.0148 2/29/20 136 .42 0.01363 0.01 3/1/20 1379.19 0.0 935 0.0136 3/2/20 1381.76 0.0 186 0.0 93 3/3/20 1409.17 0.01984 0.0 19 3/6/20 1391.28-0.0127 0.0198 3/7/20 135 .62 -0.0256-0.0127 3/8/20 136 .7 0.0 817 -0.0256 3/9/20 1401.69 0.0256 0.0 82 3/10/20 1395.07 -0.0 47 0.0256 3/13/20 1383.62 -0.0 82 -0.0 47 3/14/20 1359.15-0.017-0.0 82 3/15/20 1392.14 0.02427 -0.017 3/16/20 1458.47 0.04765 0.0243 3/17/20 1464.47 0.0 41 0.0476 3/20/20 1456.63 -0.0 54 0.0 41 3/21/20 1493.87 0.025 7 -0.0 54 3/2 /20 150 .64 0.0 453 0.0256 3/23/20 1527.35 0.0178 0.0 45 3/24/20 1527.46 7E-0 5 0.0178 3/27/20 1523.86-0.0 24 7E-0 5 3/28/20 1507.73 -0.0106 -0.0 24 3/29/20 1508.52 0.0 52 -0.0106 3/30/20 1487.92-0.0137 0.0 5 3/31/20 1498.58 0.0 716-0.0137 4/3/20 1505.97 0.0 493 0.0 72 4/4/20 1494.73-0.0 75 0.0 49 4/5/20 1487.37 -0.0 49-0.0 75 4/6/20 1501.34 0.0 939 -0.0 49 4/7/20 1516.35 0.01 0.0 94 4/10/20 1504.46-0.0 78 0.01 4/1 /20 150 .59-0.0 26 -0.0 78 4/12/20 1467.17-0.02 3 -0.0 26 4/13/20 14 0.51 -0.0182 -0.02 3 4/14/20 1356.56-0.0583 -0.0182 4/17/20 1401.4 0.03 08 -0.0583 4/18/20 14 1.61 0.0286 0.03 1 4/19/20 1427.47 -0.0 98 0.0287 4/20/20 1434.54 0.0 495 -0.0 98 4/24/20 1429.86-0.0 3 0.0 5 4/25/20 147 .4 0.03 28-0.0 3 4/26/20 1460.9-0.01 0.03 4/27/20 1464.92 0.0 269-0.01 4/28/20 1452.43 -0.0 851452....
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This note was uploaded on 11/15/2011 for the course FIN 401 taught by Professor Staff during the Spring '08 term at Miami University.

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FIN401-Head-TailsExample - Time Value H/T 100 1 97.5 T 2...

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