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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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PAPR
抑制OFDM系统PAPR的PTS算法改进(PAPR of the PTS suppression algorithm for OFDM system, improvement of)
- 2010-01-03 13:11:11下载
- 积分：1
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IterSVD_MIMO
MIMO场景下的迭代SVD分解，用于得到最大的singular value(Iterative SVD in MIMO scenerio)
- 2012-04-27 10:17:06下载
- 积分：1
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kalman
经典的卡尔曼滤波计算，matlab的M文件实现。(The classic Kalman filter Matlab M-file implementation.)
- 2013-01-19 21:53:12下载
- 积分：1
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New-folder
nodule detection in matlab
- 2013-09-10 19:07:40下载
- 积分：1
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powerflow
程序实现用牛顿－拉夫逊迭代法进行潮流计算。不仅有潮流计算，还有数据处理的程序(Procedure using the Newton- Raphson iterative method for flow calculation. Not only power flow calculation, as well as data-processing procedures)
- 2009-04-11 18:18:19下载
- 积分：1
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demo_gmm_ubm
demonstration of GMM-UBM!
- 2014-04-01 19:08:27下载
- 积分：1
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papr
采用映射法降低ofdm系统分均比的matlab仿真程序(Ofdm systems using sub-mapping method to reduce the matlab simulation program than)
- 2011-04-19 22:59:41下载
- 积分：1
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113172240LPRsystem
一篇介绍车牌识别的论文 很不错的哦
我学到了很多，希望大家也能有所收获(very good)
- 2010-05-13 15:05:54下载
- 积分：1
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75448129Car_PLR
这个是收集的一个用matlab编写的车牌定位的程序，很好用的(This is a collection of plates prepared using matlab positioning procedures, good used)
- 2009-03-26 10:08:55下载
- 积分：1
