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 ...
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,导致一直跌。于是做多茅台,做空沱牌酒。
2. Cross-sectional and Time Series ModelsYou, YongChen, EdwardGambino, JackCanada, Statistics
横截和时间数列
different types of portfolios, and individual stocks: (a) changes in expected returns drive the majority of the time-series volatility in price ratios and unexpected returns, and (b) differences in expected cash flows generate most of the cross-sectional variance in valuations and unexpected returns...
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 ...
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...
Cross-Sectional vs. Time Series Analysis Cross-sectional analysis is one of the two overarching comparison methods for stock analysis. Cross-sectional analysis looks at data collected at a single point in time, rather than over a period of time. The analysis begins with the establishment of resea...
Set a time-series and cross-section data to 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 gen...
TimeSeries,CrossSectionalAnalysisNoteonARIMAmodelsinStata.WhenStataestimatesandAR-1modelwithnocovariates,forinstance,itdoesnotjustputthelagged..