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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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gm_corr
说明： 灰色关联度矩阵模型MATLAB源代码，亲测可用。(Gray correlation matrix model MATLAB source code, pro-test available.)
- 2019-01-25 21:18:45下载
- 积分：1
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MATLAB
MATLAB控制系统仿真与实例详解（附书光盘）(Control System Simulation with MATLAB examples explain (with the book CD-ROM))
- 2009-05-20 16:31:16下载
- 积分：1
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PMSM_MTPA_FLUXWEAKEN
PMSM电机的MTPA基本弱磁控制仿真，需要自己设置电机参数、模块中的部分参数也要设置才能进行仿真。(MTPA fundamental weakening control PMSM motor simulation, you need to set the motor parameters themselves, the module also set some parameters can be simulated.)
- 2016-01-20 16:28:33下载
- 积分：1
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scott
Scott (1992) lead to better large sample performance of the histogram.
- 2010-02-02 04:27:32下载
- 积分：1
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linearbinarypattern
the code of texture compare and match, used for image and video retrival
- 2011-09-05 17:31:23下载
- 积分：1
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dataset
the for clustering algorithms.
- 2014-11-26 22:05:26下载
- 积分：1
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tfa
本程序是自适应核分布时频分布的演示程序，可以对信号进行时频分析，主程序matlab开发，核心算法是c++语言的。(This procedure is the adaptive time-frequency distribution of nuclear distribution of the demo program can be time-frequency signal analysis, matlab main program development, the core algorithm is c++ Language.)
- 2008-05-20 13:52:10下载
- 积分：1
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WIFI
获取信号的强弱，非常好用，欢迎大家下载，好了不说了(Get signal strength, very easy to use, welcome to download, well, do not say)
- 2014-12-17 23:27:41下载
- 积分：1
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garchestfor_con_all
ms-garch model forcasting
- 2012-10-25 23:19:09下载
- 积分：1
