How many lags is 1 month?

[Dan Bikle]

Yes,

lags, leads are counts of trading sessions
(I prefer to call then trading days).

21 lags is about 1 month.

252 lags is about 1 year.

ref:
https://github.com/danbikle/spy611scripts/blob/master/script/cr_my_vectors.sql#L22

-- Dan


On Sun, May 11, 2014 at 10:17 PM, Peter wrote:

Dan,

Browsing over the sql code, would it be right to say that the longer lags and leads (i.e., week, months) are computed in terms of trading sessions rather than calendar dates? So it's 30 trading sessions earlier (30 trading sessions prior to June 15) rather than 1 calendar month earlier (e.g., May15 v. June 15)?