Zentoro
Short

Cross Ladder Quantitative Analysis Example

INDEX:DCY0   DJ Composite
Using the Harmonic Mean (Pythagorean Means), we focus on "three values" using the Cross Ladder Problem by drawing the geometric             shape - vectored R/S points. These values are taken from the harmonic mean of "B" "A" "h". The calculation inputs are Log Normal, Exponential, and Skewness. (Arithmetic mean gives higher data points that will error your weight); Harmonic Mean gives equal weight to each data point. This is in part; a computation set in our Optimal Geo-Ratio (OG) Model. One would want to incorporate the Intrinsic/Time Value to carry out the time horizon price target. We typically apply the STDEV*SQRT(45 days/252) equation to the two outcomes. You may use a short cut divisor 1/16 per incremental price input for jump diffusion if preferred, integrated with a Beta stochastic volatility model. Square Time Value and Excess Kurtosis are not shown in this example.
Just remember volatility is the standard deviation of expected returns. Volatility is proportional not directional. Peace.
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