Pairs trading error message

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Mate 2u
Mate 2u 2012-2-16
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));
  2 个评论
Andrew
Andrew 2013-9-16
I just watched the webinar as well, and I am getting the same error. Any suggestions on how to fix this?
pzl
pzl 2013-9-25
cause the normalized sample has some NaN data, which makes the efficient length of the sample is less than the minimum 10

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