金融时间序列分析的MATLAB实现

Q2 Social Sciences

Asian Journal of Business Research Pub Date : 2019-10-08 DOI:10.20849/abr.v4i3.687

Xinyuan Zheng

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引用次数: 0

摘要

本报告分为两部分。对于A部分，执行主成分分析(PCA)并分析驱动因素。然后进行因子分析并进行比较。对于B部分，采用5种不同的定量模型来预测和生成移动原点地平线，预测收益和波动率。然后，计算出投资组合的最优权重，并分配最优投资组合。最后，比较了所有投资组合和模型的收益和风险度量。

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Financial Time Series Analysis by Using MATLAB

This report contains two parts. For part A, performing a Principle Components Analysis (PCA) and analyzing the drivers. Then, carrying out factor analyses and comparing them. For part B, employing 5 different quantitative models to forecast and generate moving origin horizon one forecasts of both return and volatility. Then, figuring out the optimal weights for the portfolio and assigning the optimal portfolio. Finally, comparing the returns and risk measure from all portfolio and models.

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来源期刊

Asian Journal of Business Research Social Sciences-Political Science and International Relations

CiteScore

2.40

自引率

0.00%

发文量