副本数量化投资实训范例-2015

散点图：
20.000% 15.000% 10.000% 5.000% 0.000% -20.000% -10.000% 0.000% 10.000% 20.000% 30.000% -5.000% -10.000% -15.000% -20.000% 系列1 线性 (系列1) y = 0.641x - 0.003 R² = 0.478
回归分析：
SUMMARY OUTPUT 回归统计 R 0.691621081 0.478339719 R Square 0.463849156 0.045063209 38
Multiple R Square Adjusted 标准误差 观测值 方差分析
Βιβλιοθήκη Baidudf 回归分析 残差 总计
SS MS F 1 0.067034 0.067034 33.010429 36 0.073105 0.002031 37 0.140139
Lower 95% -0.018547541 0.415304626
RESIDUAL OUTPUT 观测值 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 预测 Y -0.043622261 0.04224089 -0.033159703 -0.047359504 0.043352391 0.035457294 -0.033022121 0.044003007 -0.022923141 -0.038546452 -0.028036132 -0.037087068 0.024083541 -0.007637719 -0.037666261 0.142100959 0.056176782 -0.038473997 -0.056656034 0.000387022 残差 -0.04663 0.046446 0.039461 -0.08443 0.000119 0.052602 -0.0009 0.044994 0.015764 0.060221 -0.0151 -0.03249 0.06655 0.010778 -0.10149 -0.05389 -0.07673 0.004878 0.016051 0.025224 标准残差 -1.04902 1.044898 0.887762 -1.89944 0.002676 1.183393 -0.02027 1.012236 0.354638 1.354801 -0.33979 -0.73089 1.497195 0.242477 -2.28316 -1.21239 -1.72629 0.109749 0.361108 0.567475
21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38
0.01170428 -0.104708044 -0.008510882 0.028305422 0.017722869 -0.012850928 0.010624289 -0.059240552 -0.02909877 -0.009225421 0.000863677 0.002548342 -0.008041139 -0.00192318 0.050998132 -0.012483916 0.015712588 0.00296013
Significance F 1.52114E-06
Coefficients 标准误差 t Stat P-value Intercept -0.003721731 0.00731 -0.50911 0.6137791 X Variable 1 0.641882929 0.11172 5.74547 1.521E-06
53.94736842 56.57894737 59.21052632 61.84210526 64.47368421 67.10526316 69.73684211 72.36842105 75 77.63157895 80.26315789 82.89473684 85.52631579 88.15789474 90.78947368 93.42105263 96.05263158 98.68421053
x
y
0 0 0 -6.216% -9.025% -2.809% 7.161% 8.869% 1.708% -4.586% 0.630% 5.216% -6.798% -13.179% -6.381% 7.334% 4.347% -2.987% 6.104% 8.806% 2.702% -4.565% -3.392% 1.172% 7.435% 8.900% 1.465% -2.991% -0.716% 2.275% -5.425% 2.167% 7.593% -3.788% -4.314% -0.526% -5.198% -6.957% -1.759% 4.332% 9.063% 4.732% -0.610% 0.314% 0.924% -5.288% -13.915% -8.627% 22.718% 8.821% -13.897% 9.332% -2.056% -11.387% -5.414% -3.360% 2.055% -8.247% -4.060% 4.186% 0.640% 2.561% 1.921% 2.403% 9.939% 7.535% -15.733% -8.422% 7.311% -0.746% -5.400% -4.654% 4.990% -3.557% -8.547% 3.341% -1.131% -4.472% -1.422% -3.375% -1.953% 2.235% 4.041% 1.806% -8.649% -7.887% 0.763% -3.954% 2.223% 6.177% -0.857% 4.462% 5.319% 0.714% 2.239% 1.524% 0.977% -1.520% -2.497% -0.673% -2.295% -1.622% 0.280% -2.849% -3.129% 8.525% 7.483% -1.042% -1.365% -1.654% -0.289% 3.028% 2.674% -0.353% 1.041% -2.578% -3.619%
PROBABILITY OUTPUT 百分比排位 1.315789474 3.947368421 6.578947368 9.210526316 11.84210526 14.47368421 17.10526316 19.73684211 22.36842105 25 27.63157895 30.26315789 32.89473684 35.52631579 38.15789474 40.78947368 43.42105263 46.05263158 48.68421053 51.31578947
1.0011 Residual Plot
200 100 0 -100 0 -200
残差
100
200
300
1.0011
Upper 95% 下限 95.0% 上限 95.0% 0.011104 -0.01855 0.011104 0.868461 0.415305 0.868461
0.2 0.1 0 -0.1 0
1.972569 0.460966 -1.02343 -1.43712 -0.6531 -0.47013 0.670065 -0.4415 1.154808 1.211336 0.484204 -0.39937 -0.33533 -0.59763 0.536216 -0.09134 0.248191 -0.64656
-0.2
Normal Probability Plot
Y
20
40
60
80
100
Sample Percentile
ITY OUTPUT Y -0.13915 -0.13179 -0.09025 -0.08422 -0.07887 -0.06957 -0.054 -0.04314 -0.0406 -0.03557 -0.03392 -0.03375 -0.0336 -0.02849 -0.02578 -0.02295 -0.02056 -0.01654 -0.0152 -0.01131
0.087681 0.02049 -0.04549 -0.06388 -0.02903 -0.0209 0.029784 -0.01962 0.051331 0.053844 0.021523 -0.01775 -0.01491 -0.02656 0.023835 -0.00406 0.011032 -0.02874
描述性统计：
列1 平均 标准误差 中位数 众数 标准差 方差 峰度 偏度 区域 最小值 最大值 求和 观测数 置信度(95.0%) 1.62E-05 0.010757 -0.00642 #N/A 0.066312 0.004397 2.825962 0.806443 0.384508 -0.15733 0.22718 0.000614 38 0.021796 列2 -0.003711358 0.009983592 -0.013255555 #N/A 0.061542994 0.00378754 -0.365623836 -0.1094833 0.238538098 -0.139152969 0.099385129 -0.141031612 38 0.020228679
5.算数收益率回归分析
第 ？ 组 姓名 学号
完成时间
算数收益率数据
t 2011/09/05 2011/10/11 2011/11/01 2011/12/01 2012/01/05 2012/02/01 2012/03/01 2012/04/05 2012/05/03 2012/06/01 2012/07/03 2012/08/01 2012/09/03 2012/10/09 2012/11/01 2012/12/03 2013/01/07 2013/02/01 2013/03/01 2013/04/01 2013/05/03 2013/06/03 2013/07/01 2013/08/01 2013/09/03 2013/10/09 2013/11/01 2013/12/03 2014/01/03 2014/02/07 2014/03/03 2014/04/01 2014/05/05 2014/06/03 2014/07/01 2014/08/01 2014/09/01 2014/10/09 2014/11/03 2014/12/5 1 1786.47 1675.42 1795.39 1713.05 1596.59 1713.68 1818.279 1735.279 1864.299 1808.53 1710.41 1645.62 1560.08 1627.66 1617.73 1532.18 1880.26 2055.72 1944.421 1784.07 1795.49 1838.64 1549.37 1537.81 1614.54 1668.48 1644.75 1681.51 1536.07 1475.341 1462.691 1473.14 1487.53 1477.52 1481.66 1607.97 1586.02 1634.04 1651.05 2200.25 2 19,562,340 17,796,810 19,375,150 19,497,240 16,927,700 17,663,570 19,219,010 18,567,040 20,219,450 20,074,690 20,509,800 19,625,010 18,259,600 19,914,540 19,977,080 17,197,210 18,714,180 18,329,470 17,713,680 16,994,420 17,429,670 19,161,920 17,548,140 16,600,500 16,009,940 15,828,910 15,294,710 15,912,750 14,657,790 14,983,670 15,652,220 16,002,620 15,759,320 15,397,700 14,959,050 16,078,480 15,812,480 16,235,380 15,816,840