03. Log Returns
M1L5 03 Log Returns V5
Log Returns
log return = R = \ln\left(\frac{p_t}{p_{t-1}}\right)
raw return = r = \frac{p_t - p_{t-1}}{p_{t-1}}
Converting between raw returns and log returns
R = \ln(r+1)
r = e^R - 1
M1L5 03 Log Returns V5
log return = R = \ln\left(\frac{p_t}{p_{t-1}}\right)
raw return = r = \frac{p_t - p_{t-1}}{p_{t-1}}
R = \ln(r+1)
r = e^R - 1