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涨幅--相关性矩阵stocks_assoc_,_zfcorr_nnstocks,rsp_cyclecycle,证券池@@rsp_cycle@,tcodesp_spn_date,sp_spn_cycle,quotsh600000quotrsp_cycle:=cy,_nnstocksrsp_cyclenminn,…
百分比后的平均值sp_trimmeanexp,的平均价格序列codesetsysparampn_stock,sz000002quotsetsysparampn_date,10quot日期quotsp_timequot,quotspecallsp_trimmeanclose,84800arraypn_cycle,…
交易日的回归斜率sp_slopeexp1,的回归斜率codesetsysparampn_stock,sz000002quotsetsysparampn_date,10quot日期quotsp_timequot,斜率quotspecallsp_slopeclose,quotsh000001quot4800arraypn_date,…
涨幅同向相关性矩阵stocks_assoc_,_zfcorr_samestocks,rsp_cyclecycle,证券池@@rsp_cycle@,tcodesp_spn_date,sp_spn_cycle,quotsh600000quotrsp_cycle:=cy,_samestocksrsp_cyclenminn,…
media2024-06-06_xm6onrcbi6upybo5image7,quotimgstock_volatility_,pk波动率%因子setsysparampn_stock,sz000002quotsetsysparampn_date,setsysparampn_cycle,_dayreturnstock_volatility_,…
与系统参数相关op_iv_,下的隐含波动率setsysparampn_stock,ap501p6600quotsetsysparampn_cycle,_daysetsysparampn_date,returnop_iv_,的隐含波动率codesetsysparampn_stock,ap501p6600quotsetsysparampn_cyclecy,…
计算omega比率pf_omegat,v2范例tcodesetsysparampn_stock,setsysparampn_date,setsysparampn_cycle,:=nday1000截止日sp_time涨幅,stockzf3returnpf_omegaarr1,…
实现波动率相关性矩阵stocks_assoc_,_gkstdcorrstocksarrayrsp_cyclecycle,证券池@@rsp_cycle@,矩阵范例tcodesp_spn,date20240731tsp_spn_cycle,quotsh600000quotrsp_cycle:=cy,_gkstdcorrstocksrsp_cyclenminn,…
涨幅反向相关性矩阵stocks_assoc_,_zfcorr_reversestocks,rsp_cyclecycle,证券池@@rsp_cycle@,tcodesp_spn_date,sp_spn_cycle,quotsh600000quotrsp_cycle:=cy,_reversestocksrsp_cyclenminn,…
交易日的回归截距sp_interceptexp1,的回归截距codesetsysparampn_stock,sz000002quotsetsysparampn_date,10quot日期quotsp_timequot,截距quotspecallsp_interceptclose,quotsh000001quot4800arraypn_date,…