a) Download the same day high-frequency historical data for ‘BTC’ and ‘ETH’ by using yfinance. (It can be any day between 1^st Dec 2022 and 31^st Dec 2022, make sure you have the same length of the data. Set interval to ‘1 minute’.) And show the figures

b) Assume the delta=1 estimate the parameter rho and explain?

c) ) Discuss your inputs.(It should include S,mu, sigma)

d) Find your optimal trading weights. (Figure needed)

e) Find your optimal cash process. (Figure needed)

g) Compare the results with the static control pair. (You need to set a reasonable static control factors)

h) Get one simulation of two assets, redo the previous steps and show the two optimal control factors. (Figure needed)

  

Transcribed Image Text:

2022-12-07 23:54:00+00:00 13801.207031 13801.207031 13801.207031 13801.207031 13801.207031 181248 2022-12-07 23:55:00+00:00 13799.100586 13799.100586 13799.100586 13799.100586 13799.100586 2022-12-07 23:56:00+00:00 13800.485352 13800.485352 13800.485352 13800.485352 13800.485352 195584 2022-12-07 23:57:00+00:00 13799.232422 13799.232422 13799.232422 13799.232422 13799.232422 2022-12-07 23:58:00+00:00 13798.815430 13798.815430 13798.815430 13798.815430 13798.815430 1421 rows x 6 columns ETH = yf.download ('ETH-GBP', start='2022-12-07', end='2022-12-08', interval = '1m') *100%* ****] 1 of 1 completed ETH Datetime Open High Low Close Adj Close 2022-12-07 00:00:00+00:00 1048.146729 1048.146729 1048.146729 1048.146729 1048.146729 2022-12-07 00:01:00+00:00 1048.039551 1048.039551 1048.039551 1048.039551 1048.039551 2022-12-07 00:02:00+00:00 1047.827393 1047.827393 1047.827393 1047.827393 1047.827393 2022-12-07 00:03:00+00:00 1047.827026 1047.827026 1047.827026 1047.827026 1047.827026 2022-12-07 00:04:00+00:00 1048.013550 1048.013550 1048.013550 1048.013550 1048.013550 Volume 0 70400 0 0 0 2022-12-07 23:54:00+00:00 1009.985779 1009.985779 1009.985779 1009.985779 1009.985779 2022-12-07 23:55:00+00:00 1009.874634 1009.874634 1009.874634 1009.874634 1009.874634 2022-12-07 23:56:00+00:00 1009.883118 1009.883118 1009.883118 1009.883118 1009.883118 2126336 2022-12-07 23:57:00+00:00 1009.750305 1009.750305 1009.750305 1009.750305 1009.750305 1274360 0 0 0 0 Chat | Micros 2022-12-07 23:54:00+00:00 13801.207031 13801.207031 13801.207031 13801.207031 13801.207031 181248 2022-12-07 23:55:00+00:00 13799.100586 13799.100586 13799.100586 13799.100586 13799.100586 2022-12-07 23:56:00+00:00 13800.485352 13800.485352 13800.485352 13800.485352 13800.485352 195584 2022-12-07 23:57:00+00:00 13799.232422 13799.232422 13799.232422 13799.232422 13799.232422 2022-12-07 23:58:00+00:00 13798.815430 13798.815430 13798.815430 13798.815430 13798.815430 1421 rows x 6 columns ETH = yf.download ('ETH-GBP', start='2022-12-07', end='2022-12-08', interval = '1m') *100%* ****] 1 of 1 completed ETH Datetime Open High Low Close Adj Close 2022-12-07 00:00:00+00:00 1048.146729 1048.146729 1048.146729 1048.146729 1048.146729 2022-12-07 00:01:00+00:00 1048.039551 1048.039551 1048.039551 1048.039551 1048.039551 2022-12-07 00:02:00+00:00 1047.827393 1047.827393 1047.827393 1047.827393 1047.827393 2022-12-07 00:03:00+00:00 1047.827026 1047.827026 1047.827026 1047.827026 1047.827026 2022-12-07 00:04:00+00:00 1048.013550 1048.013550 1048.013550 1048.013550 1048.013550 Volume 0 70400 0 0 0 2022-12-07 23:54:00+00:00 1009.985779 1009.985779 1009.985779 1009.985779 1009.985779 2022-12-07 23:55:00+00:00 1009.874634 1009.874634 1009.874634 1009.874634 1009.874634 2022-12-07 23:56:00+00:00 1009.883118 1009.883118 1009.883118 1009.883118 1009.883118 2126336 2022-12-07 23:57:00+00:00 1009.750305 1009.750305 1009.750305 1009.750305 1009.750305 1274360 0 0 0 0 Chat | Micros

Answer rating: 100% (QA)

a Daily data for BTC and ETH downloaded from Dec 78 with 1 min intervals BTC prices 1... View the full answer