MatlabCode

所属分类金融证券系统
开发工具:matlab
文件大小:3946KB
下载次数:277
上传日期:2015-11-11 11:13:39
上 传 者zhangyiwei
说明:  多因子模型构建。多因子模型是量化选股中最重要的一类模型,其基本思想就是找到某些和收益率最相关的指标。并根据该指标,构建一个股票组合,期望该组合在未来的一段时间跑赢或者跑输指数。如果跑赢,则可以做多该组合,同时做空期指,赚取正向阿尔法收益;如果是跑输,则可以做多期指,融券做空该组合,赚取反向阿尔法收益。多因子模型的关键是找到因子与收益率之间的关联性。
(Multi-Factor Model. Multi-factor stock selection model is to quantify the most important class of models, the basic idea is to find some of the most relevant and profitability indicators. And based on the index, to build a stock portfolio, expect the combination index outperformed or underperformed for some time in the future. If outperform, you can do more than this combination, but short of that, to earn positive alpha income if it is underperforming, you can do more than futures, short selling short the combination to earn a reverse alpha returns. Key multi-factor model is to find correlation between factors and yields.)

文件列表:[举报垃圾]
MatlabCode
..........\.DS_Store,6148,2015-09-16
..........\300MonthFormulaRt.xlsx,4052592,2015-09-14
..........\FactorLoading.m,1922,2015-09-16
..........\FactorMain.m,5116,2015-09-16
..........\markowizt.m,860,2015-09-16
..........\Pca.m,1350,2015-09-16

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