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

******************************************************************************************************

prices的结构及存储形式，参考volumen=prices(t).Volume(prices(t).Volume~=0,:) 用法

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)

% returns

c1 = [1 4], ia1 = [21 19], ib1 = [3 13]

kpsstestKPSS test for stationarity

Syntax

h = 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.

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.

http://www.StatArbTra.de