May 2024
Intermediate to advanced
293 pages
4h 45m
Chinese
Content preview from 精通R语言Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
第1章 时间序列分析
在本章中，我们探讨一些时间序列分析的高级方法以及如何通过R来实现。作为一门学科，时间序列分析已有数百部著作，内容非常广泛（我们会在本章末的阅读列表中，列出在理论与R编程两方面最重要的参考目录）。我们责无旁贷地精心界定了本章的范围，专注于实证金融与量化交易中必不可少的重要主题。但是，在起始阶段我们必须强调，本章仅仅为时间序列分析的进一步研究奠定了基础。
我们之前曾经出版过一本图书——《量化金融R语言初级教程》（Introduction to R for Quantitative Finance）。那本书探讨了时间序列分析的一些基本主题，如线性单变量时间序列建模、自回归单整移动平均（Autoregressive Integrated Moving Average，ARIMA）建模、广义自回归条件异方差（Generalized Autoregressive Conditional Heteroskedasticity，GARCH）波动建模。如果你未曾用R做过时间序列分析，可以考虑同时阅读那本书的第1章“时间序列分析”。
本书对所有这些主题探讨得都更加深入。你将会熟悉一些重要概念，如协整、向量自回归模型、脉冲响应函数、非对称GARCH波动率建模（包括指数GARCH模型和门限GARCH模型）、信息冲击曲线。我们首先介绍相关理论，然后讲解多变量时间序列模型实际建模的知识，同时介绍几个有用的R包及其功能。此外，我们通过简单明了的例子，一步一步地指导读者使用R编程语言进行实证分析。
1.1 多元时间序列分析
金融资产价格的运动、技术分析和量化交易的基本问题常常被纳入单变量框架下进行建模。我们能否预测证券价格未来是上升还是下降？这只特定的证券处于向上还是向下的趋势中？我们该买还是该卖？这些问题都需要慎重考虑。此外，投资者常常面对着更复杂的局面，不能仅仅把市场看成不相关的工具与决策问题组成的集合。 ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.