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ShellM · 2020年07月29日

问一道题:NO.PZ2020011101000033

问题如下:

On Black Monday in October 1987, the Dow Jones Indus-trial Average fell from the previous close of 2,246.74 to 1,738.74. What was the simple return on this day? What was the log return?

选项:

解释:

The simple return is (1738.74 - 2246.74)/ 2246.74= -22.6%. The

log return is ln 1738.74 - ln 2246.74 = -25.6%.

The difference between the two is increasing in the magnitude.

请问log return is ln 1738.74 - ln 2246.74 = -25.6%.这个公式是哪里来的?

1 个答案

袁园_品职助教 · 2020年07月30日

同学你好!

这就是log return的定义,可以再去听一下截图的这一节视频