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Modified detrended fluctuation analysis based on empirical mode decomposition
Modified detrended empirical mode decomposition
2010/11/1
Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating
the power-law long-term correlations of non-stationary time series, in which a detrending step is necessar...
Local Risk Decomposition for High-frequency Trading Systems
Financial Markets Risk Multi-scale Systems Complex Systems
2010/11/1
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adju...