Question: Assignment 1: Learn to use R Statistical Computing and Graphics Package. You can find and download the software at http://www.r-project.org/. We will use version R-3.0.1
Assignment 1: Learn to use R Statistical Computing and Graphics Package. You can find and download the software at http://www.r-project.org/. We will use version R-3.0.1 or later. For this assignment, you will download the simulation dataset generated during the class and create the following: (1) Compute log return: rt = ln(pt) ln(pt1) where pt is the price at time t and rt is the log return at time t. (2) Compute summary statistics (mean, median, min, max, standard deviation, skewness, and excess kurtosis) for log return. (3) Obtain a density plot of the log returns (e.g. scatter plot and histogram). Note that prices presented in the dataset is on tick-by-tick basis. Each tick is 0.2 second. For this assignment, you need to aggregate data onto 1 second and 1 minute scale (i.e. take average price for the interval). You will need to do the assignment for both 1 second and 1 minute time scale. Write brief comments about your observations on this E-Mini S&P 500 market. You need to submit your R source code (print only) at attachment to your submission.
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