I noticed you were looking for some forex data in another post. If you are still looking for some FXDD has some minute by minute FOREX data in metatrader format (which you can convert to csv.) MetaTrader 1-Minute (M1) Data | FXDD
Whoops! Fixed that in my previous post along with the definition of the log-normal function which needed the mean of the returns, not the current return. Wouldn't the ((x-\tau)) or ((\tau-x)) go negative at some point when computing the semi-infinite integral:
(d^2=\int_{-\infty}^t (t-x)^2\...
Thank you for responding so quickly!
I see, so you're saying that it would be better to calculate the extreme value from the maximum/minimum itself, and not even use the standard deviation?
Its probably not standard, but the log-normal distribution I am using is from Sortino/Satchell p 57...
I am trying to compute the downside deviation for a security according to Sortino and Satchell's book, Managing Downside Risk in Financial Markets (ISBN 0750648635). It is defined as:
(\sqrt{\int_{-\infty}^t(t-r)^2f(r) \, \mathrm{d}r)
Where t is the desired return, and f(r) is a Log-normal...
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