{"text_format":"1","workbook":"xlsx","n_sheets":9,"sheets":["Log retuns","Bessels Correction","Random walk","Property of variance","10day std dev","Drift","Stock returns","Norminv","Percentile"],"not_rendered":{"charts":1,"images":0,"macros":1,"external_links":0,"defined_names":0,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Log retuns","index":0,"n_rows":23,"n_cols":8,"rows_kept":23,"cut":false,"hidden":false,"merged":[]}
[null,"Compounding retuns",null,null,null,null,null,"Simple returns"]
[]
[null,"r is the rate of interest for t period",null,null,null,null,null,"Return = (Pt - Po)/Po"]
[null,"n is the number of periods for which we need to compound"]
[null,"Pt = Po(1+r/n)^nt"]
[]
[]
[null,"Say, r is",0.1,"for 1 year"]
[null,"for annual compounding, n=1"]
[null,null,"At the end of 1 year","Pt = Po(1+10%)^1"]
[]
[null,"for semmiannual compunding, n=2"]
[null,null,"At the end of 1 year","Pt = Po(1+10%/2)^2"]
[]
[null,"for 1 day compounding, n=365"]
[null,null,"At the end of 1 year","Pt = Po(1+10%/365)^365"]
[]
[null,"for continuous compounding, n---> infinifty"]
[null,"Pt = Po(1+r/n)^n for limit n--> infinity"]
[null,null,"At the end of 1 year","Pt = Po*e^r"]
[null,null,null,"Pt/Po = e^r"]
[null,"this implies"]
[null,"r=ln(Pt/Po)"]

{"sheet":"Bessels Correction","index":1,"n_rows":43,"n_cols":11,"rows_kept":43,"cut":false,"hidden":false,"merged":[]}
["Bessels Correction"]
["Say the mean of the whole population is ",null,null,null,2050]
[]
[null,"Sample data"]
[null,2051]
[null,2053]
[null,2055]
[null,2050]
[null,2051]
["Average",{"$f":"AVERAGE(B5:B9)","v":2052}]
[]
[]
["Population variance",null,"Xavg for population is 2050"]
[null,"Sample data","Xi-Xavg","(Xi-Xavg)^2"]
[null,2051,{"$f":"B15-$E$2","v":1},{"$f":"C15^2","v":1}]
[null,2053,{"$f":"B16-$E$2","v":3},{"$f":"C16^2","v":9}]
[null,2055,5,25]
[null,2050,0,0]
[null,2051,1,1]
[null,null,"Population Variance",{"$f":"SUM(D15:D19)/5","v":7.2},"=SUM(D15:D19)/5"]
[]
["Sample variance",null,"X avg for sample is 2052"]
[null,"Sample data","Xi-Xavg","(Xi-Xavg)^2"]
[null,2051,{"$f":"B24-$B$10","v":-1},{"$f":"C24^2","v":1},null,null,null,null,null,null,"Sum of (Xi -Xavg)"]
[null,2053,{"$f":"B25-$B$10","v":1},{"$f":"C25^2","v":1}]
[null,2055,3,9,null,null,null,null,null,null,"Xavg = (Sum of Xi)/n"]
[null,2050,-2,4,null,"Sum of Xi-Xavg (for Sample)"]
[null,2051,-1,1,null,{"$f":"SUM(C24:C28)","v":0},null,null,null,null,"X avg * n = Sum of Xi"]
[null,null,"Sample Variance",{"$f":"SUM(D24:D28)/5","v":3.2},"=SUM(D24:D28)/5"]
[null,"After Bessels Correction",null,{"$f":"SUM(D24:D28)/4","v":4},"=SUM(D24:D28)/4"]
[]
[]
["From degrees of freedom"]
[]
["x^2+2x+1 = 0"]
["This equation has 2 roots"]
[]
["x^n+x^n-1+….+1 = 0"]
["This equation has n roots"]
[]
["However, if I know that the sum of n roots is 0, then I need to know only n-1 roots."]
[]
[null,null,null,null,"root1+root2+root3+….+rootn = 0"]

{"sheet":"Random walk","index":2,"n_rows":59,"n_cols":14,"rows_kept":59,"cut":false,"hidden":false,"merged":[]}
[]
[null,null,null,null,null,"Day","Price","Delta","k"]
[null,null,null,null,null,0,100,null,"'=(G4-G3)/G3"]
[null,null,null,null,null,1,101,{"$f":"G4-G3","v":1},{"$f":"(G4-G3)/G3","v":0.01},"k1"]
[null,null,null,null,null,2,98,{"$f":"G5-G4","v":-3},{"$f":"(G5-G4)/G4","v":-2.9702970297029702E-2},"k2"]
[null,null,null,null,null,3,99,{"$f":"G6-G5","v":1},1.020408163265306E-2,"k3"]
[null,null,null,null,null,4,99.5,0.5,5.0505050505050509E-3,"k4"]
[null,null,null,null,null,5,97,-2.5,-2.5125628140703519E-2,"k5"]
[null,null,"P1 is today's price and Po is yesterday's price"]
[null,null,null,"P1 = Po + delta",null,null,null,null,null,null,null,null,"Case 1"]
[null,null,null,null,null,null,null,null,null,null,null,null,"If yesterday the stock was at 100"]
[null,null,null,"delta =  kPo"]
[null,null,null,null,null,null,null,null,null,null,null,null,"Case 2"]
[null,null,null,"P1 = Po(1+k)",null,null,null,null,null,null,null,null,"If yesterday the stock was at 1000"]
[]
[null,null,null,"k=(P1-Po)/Po",null,null,null,null,null,null,null,"Statement","Today's stock return is 5%"]
[]
[null,null,null,"and we are saying that this k is normally distributed",null,null,null,null,null,null,null,null,"Today's price will depend upon the return and yesterday's price"]
[null,null,null,"and k doesn't depends on any prev information"]
[]
[null,null,"MODEL","essentially we are saying that the stock return is normally distributed!!!"]
[]
[]
[null,null,"Model: ","that the return of a stock is normally distributed"]
[]
[null,null,"Corollory","if I know the mean and the std dev of the returns, then I can estimate the prob of where the stock price will lie"]
[null,"Example:","from historical data"]
[null,null,1,"The mean of returns is zero and the std dev of returns of GOOGLE is 10% annually",null,null,null,null,null,null,null,"; Through historical data"]
[null,null,2,"Stock price is at $100",null,null,null,null,null,null,null,"; Through current data"]
[null,null,3,"and I assume that returns are normally distributed",null,null,null,null,null,null,null,"; assumption"]
[]
[null,null,"Property of normal distributions"]
[null,null,"In normal distributions, 68% of the values lie between -1std dev and +1std dev around the mean"]
[]
[null,null,"from (1) and (3) =, I know"]
[null,null,"that there is a 68% chance that the returns next year will be between -10% and +10% around the mean"]
[null,null,"that there is a 95% chance that the returns next year will be between -20% and +20% around the mean"]
[]
["Example 1",null,"So if mean is 0% (from historical data)",null,null,null,null,null,null,null,null,null,"Mean is 100"]
[null,null,"there is a 68% chance that the Price next year will be between 90 and 110",null,null,null,null,null,null,null,null,null,"std dev is 10%"]
[null,null,"there is a 95% chance that the Price next year will be between 80 and 120"]
[null,null,null,null,null,null,null,null,null,null,null,null,"-1std dev",{"$f":"90","v":90}]
[null,null,"Say the price on 1st Jan, 2021 was $100, and on 1st July, 2021 GOOGLE is trading at $70"]
[null,null,"So if in mid year, Google is trading at $70, I would want to buy it!!!"]
[]
[]
["Example 2",null,"So if mean is 10% (from historical data)",null,null,"Then at the end of the year the Price should have been $110",null,null,null,null,null,null,"Mean is 110"]
[null,null,"there is a 68% chance that the Price next year will be between 99 and 121 (1 std dev around $110)",null,null,null,null,null,null,null,null,null,"std dev is 10%"]
[null,null,"there is a 95% chance that the Price next year will be between 88 and 132 (2 std dev from $110)"]
[null,null,null,null,null,null,null,null,null,null,null,null,"-1std dev",99]
[]
[null,null,"Stock Price today",100]
[null,"Annual","Mean of Returns",0.1]
[null,"Annual","Std dev ",0.2]
[]
[null,null,"Next year"]
[null,null,"Price =","Mean of return*100 +/- Error"]
[]
[null,null,null,"Error is given to us by the std dev"]

{"sheet":"Property of variance","index":3,"n_rows":35,"n_cols":11,"rows_kept":35,"cut":false,"hidden":false,"merged":[]}
[]
[null,null,null,null,"Given"]
[null,null,null,"1 day's returns std dev",0.01]
[]
[null,null,"What is the annualized std dev"]
[]
[null,null,"I assume that the std of Day1 = Day2 = Day3……"]
[]
[null,null,"Day ",1,2,3,4,5,6,null,"252 days"]
[null,null,"Std dev",0.01,0.01,0.01,0.01]
[null,null,"Variance",{"$f":"D10^2","v":1E-4},{"$f":"E10^2","v":1E-4},1E-4,1E-4]
[]
[null,null,"Add variances"]
[null,null,"Variance of 1 day",null,{"$f":"1%^2","v":1E-4},"=1%^2"]
[null,null,"Variance of 252 days",null,{"$f":"252*E14","v":2.52E-2},{"$f":"252*0.0001","v":2.52E-2}]
[]
[null,null,"std dev of 252 days",null,{"$f":"SQRT(E15)","v":0.15874507866387544},"=sqrt(0.0252)"]
[]
[]
[null,"Objective:","If I know the std dev of returns of 1 time period, how much the stock returns can vary in T time periods?"]
[]
[null,null,null,"std dev 1 time period is 1"]
[null,null,null,"var of 1 time period is 1^2"]
[]
[null,null,null,"var of T time periods",null,"1^2+1^2….T times"]
[null,null,"Total Variance in T time period",null,null,"T"]
[null,null,"std dev of T time periods is ",null,null,"sqrt(T)"]
[]
[null,"Therefore, ","if std dev of 1 time period is sigma"]
[]
[null,null,"Variance of T time periods = sigma^2+sigma^2….T times"]
[null,null,null,null,"=T *sigma^2"]
[null,null,null,"sd dev = sqrt (Variance) = sigma *sqrt(T)"]
[]
[null,null,"or, std dev of T (time period) = std dev of 1 time period * sqrt(T)"]

{"sheet":"10day std dev","index":4,"n_rows":46,"n_cols":9,"rows_kept":46,"cut":false,"hidden":false,"merged":[]}
["Example"]
["Stock price",100,null,"OBJECTIVE: Estimate the price of the stock at the end of 10th day"]
[]
["Avg Daily return ",0.01]
["Std dev of daily returns",0.01]
[]
["(10 days) avg. return**",{"$f":"10*(B4-B9^2/2)","v":9.9500000000000005E-2},{"$f":"10*(B4-B5^2/2)","v":9.9500000000000005E-2},null,null,"** Because of drift"]
[]
["Std dev of daily returns",0.01]
["1 day variance",{"$f":"B9^2","v":1E-4}]
["10 day variance",{"$f":"10*B10","v":1E-3}]
["10 day std dev",{"$f":"SQRT(B11)","v":3.1622776601683791E-2},"1%*sqrt(10)"]
[]
["Assume"]
["returns are normally distributed"]
["on 10th day there is a 68% chance that the stock returns lies between 10% - 1*3.2% and 10% + 1*3.2%",null,null,null,null,null,null,null,"+6.8% and +13.2%"]
["on 10th day there is a 95% chance that the stock returns lies between 10% - 2*3.2% and 10% + 2*3.2%",null,null,null,null,null,null,null,"+3.6% and +16.4%"]
[]
["68.2% chance that in 10 days the stock price will be between 106.8 and 113.2"]
["95% chance that in 10 days the stock price will be between 103.6 and 116.4"]
[]
["if on Day 5, stock is trading at 120, I can short this stock (and my trade has a 95% chance of being correct)"]
[]
[]
["Example of Nifty"]
["Nifty's daily returns avg is",4.5600000000000003E-4]
["std dev of daily returns is",1.089E-2]
["Nifty's price today is ",18065]
["What is the price after 10 days?"]
[]
["10 day's return",{"$f":"(B26-(B27^2)/2)*10","v":3.9670395000000001E-3},"=(B26-(B27^2)/2)*10"]
["10 day std dev",{"$f":"B27*SQRT(10)","v":3.4437203719233651E-2},"=B27*SQRT(10)"]
[]
["There is a 95% chance that after 10 days Nifty's price is between: "]
[]
["10 day returns would be between"]
[{"$f":"B31-2*B32","v":-6.4907367938467297E-2},"=B31-2*3.4%",null,"Mean returns - 2*std dev"]
[{"$f":"B31+2*B32","v":7.2841446938467308E-2},"=B31+2*3.4%",null,"Mean returns + 2*std dev"]
[]
["10 days Price would be between:"]
[{"$f":"B28*EXP(A37)","v":16929.691885541211},"Pt=Po*exp^r",null,"=B28*EXP(A37)",null,null,"ln(Pt/Po) for lower range"]
[{"$f":"B28*EXP(A38)","v":19429.991220531658},"Pt=Po*exp^r",null,"=B28*EXP(A38)",null,null,"ln(Pt/Po) for Higher range"]
[]
[]
["Observation","The range of Nifty is between ",null,null,{"$f":"A41","v":16929.691885541211}," and ",{"$f":"A42","v":19429.991220531658},"for 10 days"]
["Action","Short Nifty options of Strike ",null,null,{"$f":"ROUND(A41/50,0)*50-50","v":16900},"Put and",{"$f":"ROUND(A42/50,0)*50","v":19450},"Call"]

{"sheet":"Drift","index":5,"n_rows":36,"n_cols":9,"rows_kept":36,"cut":false,"hidden":false,"merged":[]}
["Year","Price","Returns"]
[0,100]
[1,115,{"$f":"(B3-B2)/B2","v":0.15}]
[2,138,0.2]
[3,172.5,0.25]
[4,155.30000000000001,-9.971014492753616E-2]
[5,147.5,-5.0225370251126923E-2]
["Avg.",null,{"$f":"AVERAGE(C3:C7)","v":9.0012896964267369E-2}]
[]
["Year","Price","With avg returns"]
[0,100]
[1,{"$f":"B11*(1+C3)","v":114.99999999999999},{"$f":"B11*(1+$C$8)","v":109.00128969642672}]
[2,{"$f":"B12*(1+C4)","v":137.99999999999997},{"$f":"C12*(1+$C$8)","v":118.81281155484344}]
[3,{"$f":"B13*(1+C5)","v":172.49999999999997},{"$f":"C13*(1+$C$8)","v":129.50749691936446}]
[4,{"$f":"B14*(1+C6)","v":155.29999999999998},{"$f":"C14*(1+$C$8)","v":141.16484189566737}]
[5,{"$f":"B15*(1+C7)","v":147.49999999999997},{"$f":"C15*(1+$C$8)","v":153.87149826419915}]
[]
["Why?"]
["Because geometric mean is always less than arithmetic mean!"]
["Simple Avg",{"$f":"C8","v":9.0012896964267369E-2},"=C8"]
["GM",{"$f":"(1.15*1.2*1.25*0.9*0.95)^(1/5)-1","v":8.0814202263286949E-2},"=(1.15*1.2*1.25*0.9*0.95)^(1/5)-1"]
[]
["Year","Price"]
[0,100]
[1,{"$f":"B24*(1+$B$21)","v":108.08142022632869}]
[2,{"$f":"B25*(1+$B$21)","v":116.81593398140252}]
[3,126.25632049775037]
[4,136.45962431947396]
[5,{"$f":"B28*(1+$B$21)","v":147.48750000000007}]
[]
["Avg","Std dev"]
[{"$f":"C8","v":9.0012896964267369E-2},{"$f":"_xlfn.STDEV.S(C3:C7)","v":0.15568645792010458}]
[]
["Drift",{"$f":"A32-(B32^2)/2","v":7.7893760374413118E-2},"=avg - (std dev ^2)/2",null,"=A24-(B24^2)/2"]
[]
[null,null,null,null,null,null,null,"term to be subtracted:","(std dev^2)/2"]

{"sheet":"Stock returns","index":6,"n_rows":21,"n_cols":11,"rows_kept":21,"cut":false,"hidden":false,"merged":[]}
["Through Random walk model we assume that the stock returns are normally distributed."]
["Therefore, "]
["This holds true for small intervals",null,null,null,null,null,null,null,"This also holds true for small intervals"]
[null,null,"ΔS/S"," = ","Normal(μ,σ2)",null,"..(1)",null,"ΔS/S","=","ln(ST/So)"]
[]
["For longer intervals, (T time periods)"]
[null,null,"ln(ST/So)","=","Normal[(μ-σ2/2)*T,σ2T)",null,null,"…(2)"]
[]
[]
[]
[]
["From (1)"]
[null,null,"ΔS/S","=","mean + variance"]
[]
[]
[]
["Note:"]
["If lnX is normally distributed, then X is log normally distributed"]
["S: Stock Price"]
["T: time period"]
["ΔS",": Change in Stock price"]

{"sheet":"Norminv","index":7,"n_rows":10002,"n_cols":12,"rows_kept":10002,"cut":false,"hidden":false,"merged":[]}
[null,null,"Mean","Std Dev"]
["Observation","X (Normally Distributed)",0,1]
[1,{"$f":"NORMINV(RAND(),$C$2,$D$2)","v":-0.99990727209922892},null,null,null,null,null,"=NORMINV(RAND(),$C$2,$D$2)"]
[{"$f":"A3+1","v":2},{"$f":"NORMINV(RAND(),$C$2,$D$2)","v":1.1550044429784039},null,"Min","Max ","Buckets ",null,"Mean",{"$f":"AVERAGE(B3:B10003)","v":-2.8991916044711582E-3}]
[{"$f":"A4+1","v":3},{"$f":"NORMINV(RAND(),$C$2,$D$2)","v":0.28580221113180815},null,-5,5,100,null,"Std dev",{"$f":"_xlfn.STDEV.S(B3:B10003)","v":0.99537896092790545},null,"2 std dev",{"$f":"I5*2","v":1.9907579218558109}]
[4,0.99647284399437819,null,"Buckets","Frequency"]
[5,-1.0400815492029105]
[6,{"$f":"NORMINV(RAND(),$C$2,$D$2)","v":0.75817095100467047},null,{"$f":"D5","v":-5},{"$f":"FREQUENCY(B3:B10002,D8:D108)","v":0}]
[7,-0.48836827629017987,null,{"$f":"D8+($E$5-$D$5)/$F$5","v":-4.9000000000000004},0]
[8,0.99768942239834679,null,{"$f":"D9+($E$5-$D$5)/$F$5","v":-4.8000000000000007},0]
[9,0.56855158235720726,null,-4.7000000000000011,0]
[10,0.19059771285824101,null,-4.6000000000000014,0]
[11,-2.0050090836101138,null,-4.5000000000000018,0]
[12,1.456324907815719,null,-4.4000000000000021,0]
[13,-0.89529612886946763,null,-4.3000000000000025,0]
[14,-0.39757759346346883,null,-4.2000000000000028,0]
[15,0.83150974042252435,null,-4.1000000000000032,1]
[16,-1.5817400753480688,null,-4.0000000000000036,0]
[17,1.7595534962726873,null,-3.9000000000000035,0]
[18,1.2517235434472663E-2,null,-3.8000000000000034,0]
[19,-0.66317622595075643,null,-3.7000000000000033,1]
[20,5.5542873915254511E-2,null,-3.6000000000000032,1]
[21,-0.25412732906201407,null,-3.5000000000000031,3]
[22,-0.53447117044825299,null,-3.400000000000003,1]
[23,-0.3892579668367418,null,-3.3000000000000029,2]
[24,8.4095594457288033E-3,null,-3.2000000000000028,2]
[25,0.67101352600750663,null,-3.1000000000000028,0]
[26,1.4238390106126535,null,-3.0000000000000027,4]
[27,0.68526180551382276,null,-2.9000000000000026,1]
[28,7.5665621610712636E-2,null,-2.8000000000000025,5]
[29,0.9596445945747254,null,-2.7000000000000024,10]
[30,-0.90101295255303426,null,-2.6000000000000023,16]
[31,-0.55082902552900159,null,-2.5000000000000022,12]
[32,-0.48559237212835116,null,-2.4000000000000021,24]
[33,-0.13970303663011213,null,-2.300000000000002,26]
[34,0.11010958718087914,null,-2.200000000000002,31]
[35,-1.1523730973159561,null,-2.1000000000000019,35]
[36,-0.15874371354601546,null,-2.0000000000000018,44,{"$f":"SUM(E8:E38)","v":219}]
[37,0.78395528417062399,null,-1.9000000000000017,59]
[38,-0.4793685598225908,null,-1.8000000000000016,68]
[39,0.87140663226937654,null,-1.7000000000000015,89]
[40,-8.3443275544734533E-2,null,-1.6000000000000014,92]
[41,-1.4143269175374096,null,-1.5000000000000013,141]
[42,-1.4773090028766684,null,-1.4000000000000012,142]
[43,-0.16095926913359376,null,-1.3000000000000012,159]
[44,1.3993139644915455,null,-1.2000000000000011,185]
[45,1.727799754323829,null,-1.100000000000001,210]
[46,-0.27087941866238652,null,-1.0000000000000009,216]
[47,-0.44433495666777284,null,-0.90000000000000091,245]
[48,-0.29441919109076625,null,-0.80000000000000093,279]
[49,1.166531982049877,null,-0.70000000000000095,318]
[50,-2.0159023067774702,null,-0.60000000000000098,340]
[51,0.86187357241340701,null,-0.500000000000001,316]
[52,0.89962954580944687,null,-0.40000000000000102,359]
[53,0.40429325670964206,null,-0.30000000000000104,397]
[54,1.2649959177611942,null,-0.20000000000000104,369]
[55,-0.18484704715850425,null,-0.10000000000000103,403]
[56,-0.60720784557433061,null,-1.0269562977782698E-15,407,{"$f":"SUM(E8:E58)","v":5013}]
[57,-0.97747476660718036,null,{"$f":"D58+($E$5-$D$5)/$F$5","v":9.9999999999998979E-2},395]
[58,-0.6466111965206307,null,0.19999999999999898,381]
[59,1.2200259487207563,null,0.29999999999999899,412]
[60,0.50278364533946529,null,0.39999999999999902,387]
[61,-0.16351916881805184,null,0.499999999999999,349]
[62,1.0324430865434056,null,0.59999999999999898,340]
[63,-0.48566213503341976,null,0.69999999999999896,341]
[64,-0.56751648057449944,null,0.79999999999999893,288]
[65,-0.9544450255956195,null,0.89999999999999891,275]
[66,{"$f":"NORMINV(RAND(),$C$2,$D$2)","v":0.57053568388131159},null,0.99999999999999889,234]
[{"$f":"A68+1","v":67},-1.9009922172092442,null,1.099999999999999,215]
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