时间序列分析和截面分析是在工业界alpha research中的两种基本分析方法. 回顾文献, 我们发现在简单的随机过程模型中就能看到两种现代的分析的思路特点和区别. 本文介绍 Lo and Mackinlay (1989) 提出的时序动量模型 Time Series Momentum (TSM) Model (下称TSM) 与截面动量模型Cross-Sectional Momentum (CSM) Model ...
横截和时间数列
嗨,从没放弃的小努力你好: 同学你好,time-series momentum就是比如你看茅台酒过去基本一直在涨,然后就认为后期还会涨,于是做多。翻译一下,就是过去涨的还会涨,过去跌的还会跌。 cross-sectional momentum strategy就是比如,同样是白酒行业,茅台是各方面的指标都很好,还一直涨,而沱牌酒各方面的指标都不好,导致一直...
| 面板数据(Panel Data)是一种数据类型,它包含了多个时间周期内相同个体或观测对象的数据。这种数据结构允许研究者分析数据随时间的变化以及不同个体之间的差异。面板数据的主要特点包括:1. 时间序列(Time Series):数据跨越多个时间点。2. 截面数据(Cross-Sectional Data):在每个时间点,有多个个体或观测对象的数据...
TimeSeries,CrossSectionalAnalysisNoteonARIMAmodelsinStata.WhenStataestimatesandAR-1modelwithnocovariates,forinstance,itdoesnotjustputthelagged..
Together, these allow a study to be called cross-sectional or longitudinal, and, within longitudinal, to be classified as repeated measures or time series. These three different types of study incur different costs and allow different sorts of conclusions to be drawn. Definitions Cross-sectional ...
Set a time-series andcross-section datato the common advantage. 它既能反映某一时期各个个体数据的规律,也能描述每个个体随时间变化的规律,集合了时间序列和截面数据的共同优点。 更多例句>> 5) Cross-sectional Data 截面数据 1. Thus,the author analyses the influencing factors of development of general ...
Panel data with cross-sectional variation in slopes as well as intercept W. Fuller et al. Transformations for estimation of linear models with nested error structure Journal of the American Statistical Association (1973) S.C. Kumbhakar Production frontiers, panel data, and time-variant technical ine...
B.time-series momentum strategy. C.cross-sectional momentum strategy. 解释: C is correct. The strategy under consideration is a managed futures strategy—specifically, a cross-sectional momentum approach. Such an approach is generally implemented with securities in the same asset class, which is cor...
网络并运用横截面时间序列 网络释义 1. 并运用横截面时间序列 ...ogram,简称ISSP)的数据所建构的新数据集,并运用横截面时间序列(cross-sectional time-series)方法进行了内生性统计 … www.qstheory.cn|基于 1 个网页