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A log returns distribution with median zero
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Hi,
I have a time series of monthly log returns, to which I subtracted the median, so that they have zero median. I did this because I want the price distribution (kernel) for each month to have median X. So that for the first month P = X*exp(ln), such that the median of P is X. And for the second P'=X*exp(ln)*exp(ln'). I do this for twelve months.
The problem is that although the time series of returns have median zero, when I fit ksdensity and run 500.000 iterations, the median is not zero and so after 12 months P'''''''''''' is very different from X. Anyone knows what can I do?
Thanks,
2 件のコメント
Michael Haderlein
2015 年 5 月 5 日
Anyway, what did you normalize? If median(ln) is zero, then median of P=X*exp(ln) is something but not X. Please give more precise details here.
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