一期的相关系数矩阵correlm_ewma,brealalphatypeinteger,@@b@@real@@,即我们通常所说的n天的,%矩阵returns:=pf_getportfolioratestocks,endt11returncorrelm_ewmreturns,media2026-01-29_cdnhy4sy6j03qg5zimage30,…

一期的协方差矩阵covariance_ewma,brealalphatypeinteger,@@b@@real@@,即我们通常所说的n天的,media2026-01-29_cdnhy4sy6j03qg5zimage22,eequottarget=quot_blankquot,%矩阵returns:=pf_getportfolioratestocks,…

建议使用times_cointergration_,协整关系否则不存在times_cointergrationy,xmatrixalpharealstringy,@@alpha@@real@@,可参照eviewssetsysparampn_dateinttodate,n:=20setsysparampn_stockquot,…

阶数的相关系数time_acfy,ofrealarrayof,y@@arrayofreal@@,返回@@arrayofreal@@,media2024-03-20_wefcpvnqqtg5qgjaimage666,quotimg其中n为序列,media2024-03-20_wefcpvnqqtg5qgjaimage667,…

至20默认7xuech_flong,integerarraylong@@real@@,通道1=aa*n100通道,=aa*200-n100cc=,的通道值setsysparampn_stockquot,quotsetsysparampn_date20200924t,xuech_f102,…

序列是平稳的times_adftesty,fstringpintegeralpharealarrayy,@@alpha@@real@@,可参照eviewssetsysparampn_dateinttodate,n:=40setsysparampn_stockquot,quoty:=nday3nstockzf3diff,…

的异方差检验regress_hettestspearmany,arrayalpharealconstantboolean,@@alpha@@real@@,算出等级相关系数其中n为样本,系数的显著性检验在n8的,用t=n-2rs1,|t|t2n-2,constant:=0returnregress_hettestspearmany,…

如下minfunxnonlp_fminbndfun,arealbreal,@@a@@real@@,@@b@@real@@,//returnret:=nonlp_fminbndquot,media2024-03-20_wefcpvnqqtg5qgjaimage774,quotimg参考refprog_lref,…

计算组合的varpf_varbymontecarlow,methodfornoenoughdataintegerconfidenceintervalintegermarketvaluerealdeltatinteger,@@marketvalue@@real@@,服从多元正态分布sinii,ii=12n模拟持有,…

复权方式等相关dsma_iexp,arealcfstring,integerrealexp@,@@a@@real@@,无法区别当调用dsma_i求,@@返回@@real@@,endt:=20180827tsetsysparampn_stocksh603260,pn_cyclecy,setsysparampn_ratedayendtn:=tradedays,…