129742939272968750_187This article tracks existing CSI 300 index futures market research, stock trading data used by soft from day one minute of high-frequency trading data, including the CSI 300 index and its component units, select the time range for data on July 1, 2010-June 30, 2011. Select 80 stocks are evaluated in this article, the number ofStability of tracking error. One minute high-frequency data broken down by month, form a 12 month-by-month data, and then separately get the CSI 300 index and the constituent stocks yield. Set to a sample cycle every two months, one month before for the sample period, one month after the testing period, calculated daily tracking error. This article is no longer on the 5th and 10th mean
wot power leveling, But keeps track of errors specific to each day of the week, monthly stock weights calculated using various optimization methods in months to track the effectiveness and stability of the index every day and who changes whom the inferior. This article looking back at the article about the twoTracking error minimization equation, calculate the optimal weight of a stock during the sample period, as the weight assigned to all stocks within the inspection period for track inspection; retention ratio optimization method: also using least-squares method, only weight in the optimization process, retain samples stock of the various industries in which the original weight. And in any case is the best way, andOnly the most appropriate method, so this article discusses further joining methods used in environmental, combined with the exponential trend analysis. This article did not have consistently held up more than 10% is a bull market, because this article is divided by month sample, belonging to a relatively short fixed time interval, it also defines when a price for when out in absolute value greater than 4%Trend movements. This CSI 300 movements per month in the last closing price minus the price in month closing prices are monthly, when the price of less than 4%, we believe that the month is in shock.
After calculating available September 2010 and June, December, March and April are the shocks, others for the single market. According toRelated results
world of tanks power leveling, conclusions can be drawn: 1 results, various methods are in the numerical difference is not very large, with minimum weight optimization method of tracking error (big market), which have been in absolute terms to maintain an edge. Weight optimization method (industry sector, with over weight, value) then a retention ratio of optimization method (power, the city of industryValue) prevailed. 2, and has a time, various method are exists track errors fluctuations large of situation, which most does not stability of is weight optimization method (large weight), most stability of is retained industry ratio of optimization method (industry power heavy, and industry large market), this may and rights issue ratio of calculation method about, dang retained has industry ratio also on qualified has stock of set of, canSpecial enough to avoid a single industry trends to track portfolio had a great impact, thus affecting the tracking results. 3
wot power leveling, integration of Shanghai and Shenzhen 300 movements, we have come to the conclusion, the market is when there is an obvious trend trend, weight optimization method (large market) is the best track, and this simplicity as well as the impact of the selected unit costs have a definite advantage. The otherOutside, the market is in turmoil at the time of, retention ratio optimization of industry (by weight) track effect is relatively stable, and tracking error is low. Online statement Gold: gold online reprint of the above content, does not indicate that confirm the description, for investors ' reference only and does not constitute investment advice. Investor operations accordingly, at your own risk.
