基于熵测度的股票收益非对称性因子研究

《基于熵测度的股票收益非对称性因子研究》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、目录1、股票收益非对称性研究综述.-4-1.1单只股票收益的非对称性.............................................................................-4-1.2单只股票收益与市场收益联动的非对称性.................................................-4-1.3此前研究存在的不足与改进方式.................................................................-5-2、股票收益非对称性因子构建.....

2、.........................................................................-6-2.1联合分布密度函数.........................................................................................-6-2.2熵测度..........................................................................................................

3、...-8-2.3密度函数的估计.............................................................................................-9-2.4非对称性因子的构建...................................................................................-10-3、因子有效性测试.......................................................................

4、.........................-11-3.1有效性测试...................................................................................................-11-3.2参数敏感性分析...........................................................................................-13-3.3相关性分析......................................

5、.............................................................-15-4、总结....................................................................................................................-16-参考文献..................................................................................................

6、................-17-附录：不同参数下的因子表现..............................................................................-18-图表1、单只股票收益的左偏与右偏分布.-4-图表2、某只股票收益与市场收益的概率密度函数等高线图..............................-7-图表3、上行密度函数与下行密度函数示意图.....................................................-7-图表4、某只股票的上行密度函数与下行密

7、度函数等高线图..............................-8-图表5、ASY_3m_c05因子IC表现......................................................................-11-图表6、ASY_3m_c05原始因子IC.......................................................................-11-图表7、ASY_3m_c05行业市值中性化后因子I