Book And Research Paper Forum • Re: End-of-year Competition: David Orrell's q-variance paper in Wilmott

I've only looked at the SP500 parquet data that's in the github repo.  And for that data I think there's persistent quadratic behavior... Have a look at these graphs.  I use 30 bins for clarity.  I think the constant term dominates the small <z^2> bins and the linear behavior of <V> ~ <z^2> is apparent in roughly the top 25% of <z^2>.  And that's true across the 3 epochs I chose to look at and the 4 window lengths. One note:  I used overlapping, sliding windows of length T rather than non-overla