Tokyowebmining09 初めてでも分かるペアトレード

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Tokyowebmining09 初めてでも分かるペアトレード

  1. 1. . .+WEB (Tokyo.Webmining #9) 2011/01/23
  2. 2. AGENDA 1 2. 3 4. 5...
  3. 3. ID : yokkuns : : Web http://twitter.com/yokkuns / /NLP/ / /C/C++/Perl/Ruby/PHP/R/JS/JAVA/Android
  4. 4. - 1 R Tokyo.Rhttp://groups.google.co.jp/group/r-study-tokyo
  5. 5. - 2http://groups.google.co.jp/group/grinning-math
  6. 6. 1 : :CAPM = +
  7. 7. 2 0
  8. 8. 3
  9. 9. 1 2. 3..
  10. 10. 2
  11. 11. cov(r A , r B )d(A, B) = |ρ| = √ var(r A )var(r B )
  12. 12. yt = yt + yt zt = zt + zt yt = γ× ztγ
  13. 13. r A − γr B = (r − γr ) A B +(r − γr ) A B rp = rp
  14. 14. r A − γr B = (r A − γr B ) +(r A − γr B ) rp = rp + rp rp
  15. 15. : :p = p + p
  16. 16. S/N σSNR = σ ,t
  17. 17. &&
  18. 18. - ∆ −∆T = 2T∆P(X ≥ ∆) ∆P(X ≥ ∆) ∆
  19. 19. - ∆∆ ∆
  20. 20. R
  21. 21. R
  22. 22. R
  23. 23. 15
  24. 24. 30
  25. 25. 60
  26. 26. I II ( ) ( )R

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