数据转换
转换数据,包括对约束、协方差和持仓量的转换
使用函数来转换数据,包括对约束、协方差和持仓量的转换。
函数
abs2active | Convert constraints from absolute to active format |
active2abs | Convert constraints from active to absolute format |
arith2geom | Arithmetic to geometric moments of asset returns |
boxcox | 博克斯-考克斯变换 |
corr2cov | 将标准差和相关性转换为协方差 |
cov2corr | 将协方差转换为标准差和相关系数 |
nearcorr | Compute nearest correlation matrix by minimizing Frobenius distance |
covarianceShrinkage | Estimate covariance matrix using shrinkage estimators (自 R2023a 起) |
covarianceDenoising | Estimate covariance matrix using denoising (自 R2023a 起) |
geom2arith | Geometric to arithmetic moments of asset returns |
holdings2weights | Portfolio holdings into weights |
movavg | 金融时间序列的移动平均线 |
ret2tick | 将收益序列转换为价格序列 |
tick2ret | 将价格序列转换为收益序列 |
dateaxis | 将序列-日期轴标签转换为日历-日期轴标签 |
weights2holdings | Portfolio values and weights into holdings |
主题
- Returns with Negative Prices
Learn how Financial Toolbox™ functions treat negative prices and how to interpret results involving negative prices.