Impact analysis - financial correlation matrices

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Nadezhda Dimitrova 2019-2-17

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https://ww2.mathworks.cn/matlabcentral/answers/445411-impact-analysis-financial-correlation-matrices

评论： Nadezhda Dimitrova 2019-3-8

Hello everyone,

I am quite new with Matlab so please bare with me. I am doind an impact analysis for financial correlation matrices and I cannot ger the code right. Could you please take a look and advise?

The basic idea is that the accuracy of the financial matrices will vary with the training period used in the estimation. Therefore, I will work with different lengts of the training period in order to minimise the error to the correlation matrix of the investment perios (test period). The data I am using is the S&P 500 stock prices. Here is the basic code:

>> P = COPY;
R = price2ret(P);
lengthInvestmentPeriod = 5*size(R,2);  
InvestmentPeriodReturns = R(end - lengthInvestmentPeriod:end,:);
OracleInvestmentPeriodCorrelationMatrix = corr(InvestmentPeriodReturns); 
TrainingPeriodReturns = R(1:end - lengthInvestmentPeriod - 1,:); 
>> for i = size(TrainingPeriodReturns,2):size(TrainingPeriodReturns,1)  
tempReturns = TrainingPeriodReturns(1:I,:);  % I chose I=1.5 but I am not sure what the range can be 
tempCorrelation(:,:,i) = corr(tempReturns);
end
>> 
>> for i = 1:size(tempCorrelation,3)  
Error(i) = sum(sum(abs(tempCorrelation(:,:,i)-OracleInvestmentPeriodCorrelationMatrix))); 
end
>> plot(Error); 
Undefined function or variable 'tempCorrelation'. 