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As a fellow quant I wanted to clarify that we use changes of log prices. Your sentence suggests calculating the change in price and then taking the log rather
by Kranar 9y ago
As a fellow quant I wanted to clarify that we use changes of log prices. Your sentence suggests calculating the change in price and then taking the log rather than taking the log of the prices and then calculating the change.
- hodder 9y agoYes. Thanks. My comment was poorly worded.