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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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maxsnr
相控阵波束形成仿真程序,该程序使用最大噪声的方法对加权函数进行优化(Phased array beam forming simulation program, the program uses the method of maximum noise weighting function to optimize)
- 2013-08-23 11:46:05下载
- 积分:1
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GMM
实现了EM算法对高斯混合模型进行聚类,并将聚类结果用图像展示出来,希望对混合模型的朋友有用。(The EM algorithm is implemented to cluster the Gauss mixture model, and the clustering results are displayed with images, hoping to be useful to friends of the mixed models.)
- 2018-04-12 21:26:47下载
- 积分:1
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Feature_Vector_Analysis
特征向量分析。LDA和PCA的matlab程序,有测试结果,很有用(Eigenvector analysis. LDA and PCA in the matlab program, have test results that are useful)
- 2010-12-03 09:44:59下载
- 积分:1
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MATLAB-Script-of-the-Generalized-Water-Filling-(G
MATLAB Script of the Generalized Water Filling (GWF) Algorithm
- 2012-01-16 05:56:25下载
- 积分:1
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(2007)Matlab
这是matlab的一本英文书,很适合初学者学习,是2007年出的,比较新(This is a matlab English books, is very suitable for beginners to learn, is out in 2007, a relatively new)
- 2007-11-28 10:44:12下载
- 积分:1
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FractalFilter
基于模糊自动控制的分形滤波算法。通过计算分形维数选定滤波器实现自适应滤波去噪。(Automatic control based on fuzzy fractal filtering algorithm. By calculating the fractal dimension , select adaptive filter to achieve de-noising .)
- 2009-04-20 08:56:53下载
- 积分:1
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Reed-Solomon-codes
说明: 通信系统的仿真,Reed-Solomon-codes是纠错码的一种,可以用于通信领域,本例子给出了基于matlab的程序,可用于实际的仿真!(communications system simulation, Reed-Solomon-codes is an error-correcting codes, communications can be used, the example is given of the procedures based on Matlab can be used for actual simulation!)
- 2006-05-06 16:38:53下载
- 积分:1
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PMSM
这个是永磁同步电机矢量控制系统仿真,仿真结果正确,可以在空载、加载下很好的跟踪转速给定值。(This is a permanent magnet synchronous motor vector control system simulation, simulation results are correct, you can no load, a very good track speed setpoint under load.)
- 2014-08-22 09:45:45下载
- 积分:1
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ecai2010-code(1)
Fast Earth Mover s Distance similarity matrix calcutation
- 2013-10-03 10:05:09下载
- 积分:1