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max alpha
使用个股日内髙频收益率计算己实现值进行分析,同时计算得到二阶矩
和高阶矩值并进行对比。本文根据己实现量的大小将所有样本股分为己实现值由
小到大的姐别,分别跟踪各股票组合的收益,探索预期收益与个股己实现值之间
的变化关系,然后将分组的结果应用于多空策略,为提高资产配置收益提供参考。
同时,将各己实现变量和各类对预期收益产生影响的控制变量放在一起构建
Fama-MacBeth截面回归,分析高频已实现量是否具有定价能力。(The realized value is calculated by using the daily gust rate of return of individual stocks, and the second-order moments are obtained by calculating at the same time.
Comparisons are made with higher order moment values. This paper divides all sample stocks into realized values according to the size of realized stocks.
Sisters from small to large track the earnings of each stock portfolio, and explore the relationship between expected earnings and the realized value of each stock.
Then the grouping results are applied to the multi-empty strategy to provide reference for improving asset allocation returns.)
- 2020-06-24 10:20:02下载
- 积分:1
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binarizar
genera histograma en matlab
- 2010-06-14 13:14:44下载
- 积分:1
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Taylor-Green-Vortex
MATLAB code to simulate the TAylor Green Vortex problem
- 2014-02-14 21:16:37下载
- 积分:1
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pudu
B样条曲线生成程序,HHT插件等。rilling版本,供大家参考学习。
(B-spline curve generation procedures, HHT, such as plug-ins. rilling version for your learning.)
- 2009-04-29 09:33:42下载
- 积分:1
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slm-with-phase
selected mapping technique for papr reduction
- 2013-04-15 13:24:48下载
- 积分:1
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BOC_PSD_ACF
程序给出了BOC信号的生成过程及其频谱、自相关函数图形。子程序包含GPS伪码、子载波的生成方法。对理解通过移位寄存器产生伪码的方法及BOC调制方式很有帮助。(The program gives the BOC signal generation process and its spectrum, the autocorrelation function graphics. Subroutine contains the GPS pseudo-code, sub-carrier generation. Helpful to the understanding of the shift register pseudo-code method.)
- 2020-07-03 08:40:01下载
- 积分:1
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FA
说明: 以优化SVM参数c和g为例,对FA算法MATLAB源码进行了详细中文注解,是很好的学习材料(Taking the optimization of SVM parameters c and G as examples, the source code of FA algorithm MATLAB is annotated in detail in Chinese, which is a good learning material.)
- 2020-07-11 21:18:54下载
- 积分:1
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upf_demos
matlab应用于基于粒子滤波的程序及演示(Particle filter based on the procedures and presentation of matlab)
- 2009-03-23 15:52:42下载
- 积分:1
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matlab-C4
该源代码主要实现C4.5决策树算法,C4.5是对ID3算法的一种改进,它完善了ID3算法,补充了其算法的一点不足(The source code is the main achievement of C4.5 decision tree algorithm, C4.5 is an improved ID3 algorithm, which improved the ID3 algorithm, the algorithm added a little less than its)
- 2011-11-18 11:00:13下载
- 积分:1
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cejing
对测井曲线的数值进行分析,并进行自动分层。(The value of the logs for analysis, and automated tiering.)
- 2011-07-28 00:50:41下载
- 积分:1