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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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Basics-guide-widgets
介绍matlab中guide基本控件的使用方法的程序(introduce the basic idea of how to use guide in matlab)
- 2012-11-19 09:13:23下载
- 积分:1
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xsldemo_solvers
This model simulates a Foucault pendulum (a stiff system).
The model calculates the normalized pendulum energy
- 2013-07-31 21:05:36下载
- 积分:1
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CC1110CC2510_Example_Softwar
LSJ-CC1110/CC2510 Example Software
Packet Error Rate Application Example(LSJ-CC1110/CC2510 Example SoftwarePacket Error Rate Application Example)
- 2007-12-09 16:59:45下载
- 积分:1
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zhengxianbo
对正弦波信号进行混频,分解,采用傅立叶变换来分析其频率(Mixing of sinusoidal signals, decomposition, using Fourier transform to analyze the frequency)
- 2010-09-30 22:41:57下载
- 积分:1
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grs2rgb
matlab实现灰度图像装换成彩色图像,可以使用先验图像,也可不用,不用的话自动使用热色系(use matlab to change Color image into gray image)
- 2011-05-11 13:42:30下载
- 积分:1
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mvdr
mvdr算法是最小方差无畸变响应波束形成器,它的原理来自是使非期望波达方向的任何干扰贡献的功率最小,但又能保持观测方向的信号功率不变。(mvdr algorithm is the minimum variance beamformer response distortion, its principle is that any interference from the direction of arrival of the undesired contributions to a minimum power, but the power of the signal while maintaining constant observation direction.)
- 2013-12-15 22:15:37下载
- 积分:1
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BNB18
说明: 这是非线性整数规划模型求解分支定界迭代算法(This is a non-linear integer programming model to solve iterative algorithm branch and bound)
- 2008-09-20 19:59:58下载
- 积分:1
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filter
低通滤波器,使用FDATOOL,得到滤波系数,然后使用matlab仿真,可以直接运行,可以查看原始波形和滤波后的波形,稍微修改可以移植到嵌入式编程中,本人项目使用(Low-pass filter, use FDATOOL, get the filter coefficients, and then use the matlab simulation, can be run directly, you can view the original waveform and waveform after filtering, a slight modification can be ported to embedded programming, I project uses)
- 2014-11-03 17:41:23下载
- 积分:1
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ofdm_simulator_ofdm
说明: 用MATLAB仿真的OFDM系统,带各种调制方式(MATLAB simulation OFDM system with a variety of modulation)
- 2006-03-01 09:24:41下载
- 积分:1