Pairs trading error message

Mate 2u

2012 2 16

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2 次查看（30 天）

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Hi everybody,

I am trying to use the webinar in pairs trading with second-second data. I keep getting a error. I am using 1 day. If anybody could tell me how I can prevent the error it would be helpful.

INPUT

window = 120:60:420; freq = 10:10:60; range = {window, freq};

annualScaling = sqrt(250*7*60*60); cost = 0.01;

pfun = @(x) pairsFun(x, DZZGLLfull, annualScaling, cost);

tic [~,param] = parameterSweep(pfun,range); toc

pairs(ZZGLLfull, param(1), param(2), 1, annualScaling, cost)

OUTPUT

??? Error using ==> parallel_function at 598 Error in ==> adftest at 317 Effective sample size of the data is less than the minimum 10 in the table of critical values.

Error in ==> pairsFun at 19 parfor i = 1:row

Error in ==> @(x)pairsFun(x,DZZGLLfull,annualScaling,cost)

Error in ==> parameterSweep at 58 resp = fun(cell2mat(var));