欧洲能源商品期货股票套利
固定收入套利可转换套利市场中性
随机折扣因素紧密融合市场
弱稳定性单元根检验协整
单一等式模型向量自回归模型约翰森最大似然方法估算
格式化阶段交易阶段
附录A 紧密融合市场
- prices=hist_stock_data(S,E,symbole');
prices的结构及存储形式，参考volumen=prices(t).Volume(prices(t).Volume~=0,:) 用法
- [C,IA,IB] = intersect(A,B) 也返回索引向量IA和IB，如C=A(IA) 和 B(IB)。若A或B中有重复的相同值，那么返回该重复值第一次出现的索引。
a = [9 9 9 9 9 9 8 8 8 8 7 7 7 6 6 6 5 5 4 2 1]b = [1 1 1 3 3 3 3 3 4 4 4 4 4 10 10 10][c1,ia1,ib1] = intersect(a,b)% returnsc1 = [1 4], ia1 = [21 19], ib1 = [3 13]
- Kwiatkowski-Phillips-Schmidt-Shin Test (KPSS)
kpsstestKPSS test for stationaritySyntaxh = kpsstest(y)
h = kpsstest(y,'ParameterName',ParameterValue,...)
[h,pValue] = kpsstest(...)
[h,pValue,stat] = kpsstest(...)
[h,pValue,stat,cValue] = kpsstest(...)
[h,pValue,stat,cValue,reg] = kpsstest(...)
Description
h = kpsstest(y) assesses the null hypothesis that a univariate time series y is trend stationary against the alternative that it is a nonstationary unit-root process.
h = kpsstest(y,'ParameterName',ParameterValue,...) accepts optional inputs as one or more comma-separated parameter-value pairs. 'ParameterName' is the name of the parameter inside single quotation marks. ParameterValue is the value corresponding to 'ParameterName'. Specify parameter-value pairs in any order; names are case-insensitive. Perform multiple tests by passing a vector value for any parameter. Multiple tests yield vector results.
[h,pValue] = kpsstest(...) returns p-values of the test statistics.
[h,pValue,stat] = kpsstest(...) returns the test statistics.
[h,pValue,stat,cValue] = kpsstest(...) returns critical values for the tests.
[h,pValue,stat,cValue,reg] = kpsstest(...) returns a structure of regression statistics.
- Johansen cointegration test
jcitest ：Johansen cointegration test is part of the Matlab Econometrics Toolbox.Syntax
[h,pValue,stat,cValue,mles] = jcitest(Y)
[h,pValue,stat,cValue,mles] = jcitest(Y,Name,Value)Description
Johansen tests assess the null hypothesis H(r) of cointegration rank less than or equal to r among the numDims-dimensional time series in Y against alternatives H(numDims) (trace test) or H(r+1) (maxeig test). The tests also produce maximum likelihood estimates of the parameters in a vector error-correction (VEC) model of the cointegrated series.
[h,pValue,stat,cValue,mles] = jcitest(Y) performs the Johansen cointegration test on a data matrix Y.
[h,pValue,stat,cValue,mles] = jcitest(Y,Name,Value) performs the Johansen cointegration test on a data matrix Y with additional options specified by one or more Name,Value pair arguments.
aic
Akaike Information Criterion for estimated model
Akaike's Information Criterion (AIC) provides a measure of model quality by simulating the situation where the model is tested on a different data set. After computing several different models, you can compare them using this criterion. According to Akaike's theory, the most accurate model has the smallest AIC.
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