d**s
发帖数: 920 | 1 各位仁兄, 请教一个数学问题, 用什么办法比较股价的相似(或关联) ?
For example, I have three stocks, A, B, C
The price sequences of stock A are: A(i) = 3, 5, 7
The price sequences of stock B are: B(i) = 3.5, 4.5, 7.5
The price sequences of stock C are: C(i) = 1, 2, 50
What will be a good quantity to measure the similarity between these
sequences ? to find one is more correlated than others ?
Two formula I can think of are:
Formula 1. Square sum of difference: Sum ((A(i) – B(i))^2
Formula 2. product of two sequen | o****g
发帖数: 314 | 2 google "covariance"
【在 d**s 的大作中提到】
: 各位仁兄, 请教一个数学问题, 用什么办法比较股价的相似(或关联) ?
: For example, I have three stocks, A, B, C
: The price sequences of stock A are: A(i) = 3, 5, 7
: The price sequences of stock B are: B(i) = 3.5, 4.5, 7.5
: The price sequences of stock C are: C(i) = 1, 2, 50
: What will be a good quantity to measure the similarity between these
: sequences ? to find one is more correlated than others ?
: Two formula I can think of are:
: Formula 1. Square sum of difference: Sum ((A(i) – B(i))^2
: Formula 2. product of two sequen
| A*****s
发帖数: 13748 | 3 1. Your sample size is too small to draw any conclution
2. Use correlations and refer to hedging part in Hull's book for the
applications
【在 d**s 的大作中提到】
: 各位仁兄, 请教一个数学问题, 用什么办法比较股价的相似(或关联) ?
: For example, I have three stocks, A, B, C
: The price sequences of stock A are: A(i) = 3, 5, 7
: The price sequences of stock B are: B(i) = 3.5, 4.5, 7.5
: The price sequences of stock C are: C(i) = 1, 2, 50
: What will be a good quantity to measure the similarity between these
: sequences ? to find one is more correlated than others ?
: Two formula I can think of are:
: Formula 1. Square sum of difference: Sum ((A(i) – B(i))^2
: Formula 2. product of two sequen
| K*****Y
发帖数: 629 | |
|
