Introduction Deep Hedge 1
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Deep hedge
Introduction1. Volatilitypercentage 수익률$$\frac{P_t - P_{t-1}}{P_{t-1}} \times 100$$로그 수익률 (log return)$$\ln \frac{P_t}{P_{t-1}}$$2-day percentage return$$\frac{P_t - P_{t-2}}{P_{t-2}} \neq \frac{P_t - P_{t-1}}{P_{t-1}} * \frac{P_{t-1} - P_{t-2}}{P_{t-2}}$$2-day log return$$\ln \frac{P_t}{P_{t-2}} = \ln \left( \frac{P_t}{P_{t-1}} \frac{P_{t-1}}{P_{t-2}} \right) = \ln \frac{P_t}{P_{t-1}} + \ln \fr..