|
PureBytes Links
Trading Reference Links
|
Sebastian,
The HAS function below (based on Hasting's polynomial approximation)
gives 7-decimal accuracy of NORMSDIST.
function t(x)
{ return 1 / (1+0.2316419*x); }
function HAS(x)
{ return 1 - (exp(-0.5*x^2)/sqrt(2*3.141592654))*(0.31938153*t(x)-
0.356563782*t(x)^2+1.781477937*t(x)^3-1.821255978*t(x)
^4+1.330274429*t(x)^5); }
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
<sebastiandanconia@xxx> wrote:
>
>
> I came across what I consider to be a valuable stock market/economic
> indicator, the Wright Model "B" yield-curve indicator. Using this
> formula in Excel:
>
>
> Probability = NORMSDIST(-2.17 - 0.76 x S + 0.35 x R)
>
> where "S" is the spread (10-Year Treasury yield minus 3-month T-Bill
> yield) and "R" is the Fed Funds rate, it gives the probability of
> economic recession within the next 4 quarters. (Only about 44%
right
> now, so there's some good news. I envision using this as a market-
exit
> indicator, warning when conditions are about to turn really ugly for
> both the stock market and the economy. )
>
> This formula:
>
>
> Z(x) = (1/(sqrt(2*pi()))*exp(-x^2/2))
>
> appears to be the actual math represented by the NORMSDIST
function. I
> believe AB supports all the operations in this formula.
>
> My problem is that I'm not math-savvy enough to make the leap from
here
> to turn this into a complete AB formula. I don't know what
operation
> the NORMSDIST formula performs on the Wright Model part, I don't
know
> what the "x" variable is supposed to be...there's no end to what I
don't
> know.:)
>
> Any help from my superiors in the math field (undoubtedly a VERY
large
> club) would be greatly appreciated.
>
>
>
> Luck to all,
>
> Sebastian
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.432 / Virus Database: 268.17.31/676 - Release Date: 2/8/2007 3:04 PM
|