Sample Mean

Sample Mean

One way to get the sample mean is to use the arithmetic mean return of historical stock data and estimate stock’s future return. This method assumes the the stock’s future return will stay the same as its past return.

Although sample mean of return is simple to be calculated and understood, it can be extremely affected by outliner data. In our system, we fix this issue by using the mean of the sample data (returns) within the estimation window. The distribution of stock’s return often changes with time.

Math Form

\(r_i = \frac{\sum_{i=1}^mr_{ij}}{m} \)