Feedback from Victoria

[vsonnemans]

Hi @nathanh93 !

Here is my feedback on your research proposal.

Firstly, I think that you did a great job. One of the strong points of your research proposal that I would like to emphasize on is the clearness and understandability of your report. The readers can easily perceive what your objective and motivation are as they are very well stated. The explanations provided were straight to the point. Moreover, you provided definitions for almost all the concepts introduced which enabled me to understand all financial notions despite not having a background in finance.

Regarding potential improvements, I would recommend that you further develop your data description and analysis section. Here is a to-do list of a few potential improvement points that you could consider:

• [x] As someone who does not have a strong background in finance, I would appreciate more information on the 10 indices that you included. Where are these indices from (which country)? How many stocks do they include? You could for instance create a table where this information could be summarized for each stock index.
• [x] It could be a good idea to motivate your choice of using the “Oxford Man Realised Library” and justify the relevance and reliability of this source of data. Has previous literature established the reliability of this database for instance?
• [x] You could mention the timeframe of your data. Example: variables ranging from 2000/1/1 to 2022/12/31.
• [x] You could add a short explanation on why you chose to plot only 4 of the 10 indices in your research proposal. Was it because the same comments could be applied to all other variables?
• [x] You mentioned that the plots tend to favor the hypothesis of non-stationarity in the data. In my opinion, it could be interesting to perform the Augmented Dickey–Fuller test to formally test for stationarity.
• [ ] You could include a table of summary statistics of your variables (number of observations, mean, st. dev., min and max).

Side note: no references are included in your report. However, as you introduced several definitions and concepts, I guess that you probably got those from some sources.

Regarding the potential changes that I made in your index.qmd file, I did the following:

• I defined p_t presented in one of the formulas.
• I merged the values and dates of the variables in a dataframe as it will probably be easier for you to store them in an object. Then, I implemented a for loop for the plots to simplify and improve the efficiency of the code.
• I did the same as above for the log transformed values.
• I changed the maximum value of the y axis because some observations of FTSE daily RV were cut from the graph.
• I added a title for both of your figures.
• I removed a “the” in front of “model” present in a heading as others do not have a determinant.

Good luck for the continuation of your project !

[nathanh93]

Hi @vsonnemans!

Thanks very much for your feedback and amendments to my proposal! You raised some great points and I agree with pretty much all of your suggestions. Likewise, your improvements to the R code make a lot of sense and were very clear and concise to read. Thank you!

I have made the amendments to my file to provide further clarity on the chosen indices, motivate the choice of data, explain the charts and provide ADF tests to test for stationarity. I have chosen to leave out the summary statistics on the RV series' only because I feel that the absolute value of a daily variance is fairly unintuitive to interpret as a number and as such I prefer to display them as charts to provide a clear picture of the characteristics of the data.

Thanks again for the help!

[donotdespair]

What a nice and fruitful exchange! Thank you @vsonnemans and @nathanh93 🥇