金融计算实验作业答案Word格式文档下载.docx
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金融计算实验作业答案Word格式文档下载.docx
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Return'
x0.Const=1
dcommon=intersect(tret.dates,x0.dates)
regts0=[tret(datestr(dcommon)),x0(datestr(dcommon))]
finte_regts0=find(all(isfinite(fts2mat(regts0)),2))
regts1=regts0(finte_regts0)
DataMartix=fts2mat(regts1)
XCoeff=DataMartix(:
2:
3)\DataMartix(:
1)
RetPred=DataMartix(:
3)*XCoeff
tret.PrecReturn(datestr(regts1.dates))=RetPred
subplot(2,1,1);
plot(t0);
title('
股票即期价格和收盘价格'
subplot(2,1,2);
plot(tret);
title('
股票的实际和预测的收益率'
datestr(d0.dates,2)
t0(datestr(d0.dates))
tdr=d0./fts2mat(t0.CLOSE(datestr(d0.dates)))
2.运行结果:
t0=
desc:
DATECLOSEHIGHLOWOPENVOLUMETURNOVER
freq:
Unknown(0)
'
dates:
(78)'
CLOSE:
05-Jan-2015'
[4.4200]
06-Jan-2015'
[4.5600]
07-Jan-2015'
[4.5400]
08-Jan-2015'
[4.3300]
09-Jan-2015'
[4.4700]
12-Jan-2015'
[4.4000]
13-Jan-2015'
[4.4400]
14-Jan-2015'
[4.5900]
15-Jan-2015'
[4.8700]
16-Jan-2015'
[4.9800]
19-Jan-2015'
[4.4800]
20-Jan-2015'
[4.4500]
21-Jan-2015'
[4.8900]
22-Jan-2015'
[4.8400]
23-Jan-2015'
26-Jan-2015'
[4.7800]
27-Jan-2015'
[4.6300]
28-Jan-2015'
[4.5500]
29-Jan-2015'
30-Jan-2015'
02-Feb-2015'
[4.1300]
03-Feb-2015'
[4.2800]
04-Feb-2015'
05-Feb-2015'
06-Feb-2015'
[4.0100]
09-Feb-2015'
[4.0300]
10-Feb-2015'
[4.1000]
11-Feb-2015'
[4.0700]
12-Feb-2015'
[4.0600]
13-Feb-2015'
[4.1100]
16-Feb-2015'
[4.0900]
17-Feb-2015'
25-Feb-2015'
[4.0500]
26-Feb-2015'
[4.1400]
27-Feb-2015'
02-Mar-2015'
03-Mar-2015'
[3.9700]
04-Mar-2015'
[3.9100]
05-Mar-2015'
[3.8000]
06-Mar-2015'
[3.8300]
09-Mar-2015'
10-Mar-2015'
[3.9300]
11-Mar-2015'
12-Mar-2015'
[4.1800]
13-Mar-2015'
[4.1500]
16-Mar-2015'
17-Mar-2015'
[4.2100]
18-Mar-2015'
19-Mar-2015'
[4.2700]
20-Mar-2015'
[4.3800]
23-Mar-2015'
[4.4300]
24-Mar-2015'
25-Mar-2015'
[4.3000]
26-Mar-2015'
[4.3100]
27-Mar-2015'
[4.3200]
30-Mar-2015'
[4.4600]
31-Mar-2015'
01-Apr-2015'
[4.4100]
02-Apr-2015'
[4.3600]
03-Apr-2015'
[4.3700]
07-Apr-2015'
08-Apr-2015'
[4.5300]
09-Apr-2015'
[4.4900]
10-Apr-2015'
13-Apr-2015'
[4.6800]
14-Apr-2015'
15-Apr-2015'
[4.7100]
16-Apr-2015'
[4.8000]
17-Apr-2015'
[4.9300]
20-Apr-2015'
[4.7400]
21-Apr-2015'
22-Apr-2015'
[4.8600]
23-Apr-2015'
24-Apr-2015'
[4.6600]
27-Apr-2015'
[5.0600]
28-Apr-2015'
29-Apr-2015'
[4.9700]
30-Apr-2015'
x0=
DATEMetric
Metric:
[3.3505e+03]
[3.3514e+03]
[3.3739e+03]
[3.2935e+03]
[3.2854e+03]
[3.2293e+03]
[3.2353e+03]
[3.2224e+03]
[3.3365e+03]
[3.3765e+03]
[3.1163e+03]
[3.1731e+03]
[3.3236e+03]
[3.3433e+03]
[3.3518e+03]
[3.3832e+03]
[3.3530e+03]
[3.3057e+03]
[3.2623e+03]
[3.2104e+03]
[3.1283e+03]
[3.2049e+03]
[3.1741e+03]
[3.1365e+03]
[3.0759e+03]
[3.0951e+03]
[3.1416e+03]
[3.1577e+03]
[3.1734e+03]
[3.2038e+03]
[3.2469e+03]
[3.2288e+03]
[3.2984e+03]
[3.3103e+03]
[3.3363e+03]
[3.2631e+03]
[3.2795e+03]
[3.2485e+03]
[3.2412e+03]
[3.3024e+03]
[3.2861e+03]
[3.2909e+03]
[3.3493e+03]
[3.3729e+03]
[3.4493e+03]
[3.5028e+03]
[3.5773e+03]
[3.5823e+03]
[3.6173e+03]
[3.6877e+03]
[3.6914e+03]
[3.6607e+03]
[3.6821e+03]
[3.6911e+03]
[3.7866e+03]
[3.7479e+03]
[3.8103e+03]
[3.8258e+03]
[3.8639e+03]
[3.9614e+03]
[3.9948e+03]
[3.9575e+03]
[4.0343e+03]
[4.1217e+03]
[4.1356e+03]
[4.0842e+03]
[4.1948e+03]
[4.2873e+03]
[4.2171e+03]
[4.2936e+03]
[4.3985e+03]
[4.4145e+03]
[4.3937e+03]
[4.5274e+03]
[4.4762e+03]
[4.4766e+03]
[4.4417e+03]
d0=
Inc
(2)'
dividends:
24-Feb-2015'
[0.5000]
)dadj2('
dadj3=
FilledInc||FilledInc
(81)'
31-Dec-2014'
[0]
23-Feb-2015'
[0.0463]
[0.0556]
[0.0648]
[0.0741]
[0.0833]
[0.1111]
[0.1204]
[0.1296]
[0.1389]
[0.1481]
[0.1759]
[0.1852]
[0.1944]
[0.2037]
[0.2130]
[0.2407]
[0.2500]
[0.2593]
[0.2685]
[0.2778]
[0.3056]
[0.3148]
[0.3241]
[0.3333]
[0.3426]
[0.3704]
[0.3796]
[0.3889]
[0.3981]
[0.4074]
[0.4352]
[0.4444]
[0.0078]
[0.0156]
[0.0234]
[0.0469]
[0.0547]
[0.0625]
[0.0703]
[0.0781]
[0.1016]
[0.1094]
[0.1172]
[0.1250]
[0.1328]
[0.1563]
[0.1641]
[0.1719]
[0.1797]
[0.1875]
[0.2109]
[0.2188]
[0.2266]
[0.2344]
[0.2422]
[0.2656]
[0.2734]
[0.2813]
[0.2891]
[0.2969]
[0.3281]
[0.3359]
[0.3438]
[0.3516]
[0.3750]
[0.3828]
[0.3906]
[0.3984]
[0.4063]
[0.4297]
[0.4375]
[0.4453]
[0.4531]
[0.4609]
[0.4844]
[0.4922]
Spot:
[4.4200][4.3737]
[4.5600][4.5044]
[4.5400][4.4752]
[4.3300][4.2559]
[4.4700][4.3867]
[4.4000][4.2889]
[4.4400][4.3196]
[4.5900][4.4604]
[4.8700][4.7311]
[4.9800][4.8319]
[4.4800][4.3041]
[4.4500][4.2648]
[4.8900][4.6956]
[4.8400][4.6363]
[4.8400][4.6270]
[4.7800][4.5393]
[4.6300][4.3800]
[4.5500][4.2907]
[4.4000][4.1315]
[4.4000][4.1222]
[4.1300][3.8244]
[4.2800][3.9652]
[4.1300][3.8059]
[4.1300][3.7967]
[4.0100][3.6674]
[4.0300][3.6596]
[4.1000][3.7204]
[4.0700][3.6811]
[4.0600][3.6619]
[4.1100][3.7026]
[4.0900][3.6548]
[4.1000][3.6556]
[4.0500][4.0422]
[4.1400][4.1244]
[4.1100][4.0866]
[4.1100][4.0631]
[3.9700][3.9153]
[3.9100][3.8475]
[3.8000][3.7297]
[3.8300][3.7519]
[4.0300]
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