math:calculate_tolerance
Differences
This shows you the differences between two versions of the page.
| Next revision | Previous revision | ||
| math:calculate_tolerance [2016/07/11 12:07] – created peter | math:calculate_tolerance [2020/07/15 09:30] (current) – external edit 127.0.0.1 | ||
|---|---|---|---|
| Line 5: | Line 5: | ||
| A generic formula will be used to set these dynamic tolerance levels using a rolling 30 or 60 or 90 days prices volatility. | A generic formula will be used to set these dynamic tolerance levels using a rolling 30 or 60 or 90 days prices volatility. | ||
| - | {{: | + | {{: |
| S[t-1] * exp (-z[a] * O[30 or 60 or 90 days] <= S[t] <= S[t-1] * exp (Z[a] * O[30 or 60 or 90 days]) | S[t-1] * exp (-z[a] * O[30 or 60 or 90 days] <= S[t] <= S[t-1] * exp (Z[a] * O[30 or 60 or 90 days]) | ||
math/calculate_tolerance.1468238838.txt.gz · Last modified: 2020/07/15 09:30 (external edit)