quantitative finance
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Mean-Variance Analysis
Content(1) Calculate the vector of mean returns and covariance matrix of returns for the ten industry portfolios. Create a table showing the mean returns and standard deviation of returns for the te...原创 2018-10-31 13:52:21 · 1191 阅读 · 0 评论 -
linear factor model
contentAssume that the risk-free rate is 0.13% per month. Assume that the risk-free rate is 0.13% per month.(1) Regress the monthly realized excess returns for each of the ten industry portfolios ...原创 2018-10-31 13:58:47 · 679 阅读 · 0 评论 -
Moving Average Cross移动平均交叉
import pandas as pdimport numpy as npimport matplotlib.pyplot as pltimport matplotlib.dates as mdatesplt.rcParams["figure.figsize"]=[12,8]data=pd.read_csv('CC3.SI.csv',index_col=0,parse_dates=Tru...原创 2018-12-19 15:57:49 · 234 阅读 · 0 评论 -
# Quantitatve Analysis ---S6 Diagnostic Tests
HeteroscedasticityThe variance of the errors is not constant.Tests:GQ test:Split the total sample of length T into two sub-samples of length T1 and T2. The regression model is estimated on each...原创 2019-02-24 12:15:48 · 239 阅读 · 0 评论 -
Quantitative Analysis --- S6 Modeling and Forecasting Trend
Modeling TrendModel 1: Trendt is a simple linear function of timeTrendt = β0 + β1TIMEtModel 2: Trendt is a quadratic function of timeTrendt = β0 + β1TIMEt + β2TIME2Model 3: Trend of Constant Gro...原创 2019-02-24 12:55:41 · 253 阅读 · 0 评论 -
Quantitative Finance --- S7 Stationary Process AR,MA,ARMA
Stationary ProcessesComponents of a time series:white noise:Stationary Process:AR: autoregressiveMA: moving averageARMA: autoregressive moving average order oneSample ACF(自相关)J...原创 2019-02-24 16:39:51 · 267 阅读 · 0 评论