wpcssd2.m

来自「研究羊群效应的例程」· M 代码 · 共 40 行

P1=xlsread('P1');
P2=xlsread('P2');
P3=xlsread('P3');
P4=xlsread('P4');
P5=xlsread('P5');
P6=xlsread('P6');
P7=xlsread('P7');
I=xlsread('I');
P=[P1 P2 P3 P4 P5 P6 P7];  
index=4:4:420;
P=P(index,:);
I=I(index,4);
r=price2ret(P);
I=price2ret(I);
N=size(P,2);
for i=1:size(r,2)
    r(:,i)=(r(:,i)-I).^2/(N-1);
end
CSSD=sqrt(sum(r')');
x=sort(I);
y=sort(I,'descend');
m=round(0.05*length(I));
L=x(m);
U=y(m);
DL=I;
DU=I;
for i=1:length(I)
    if DL(i)<=L
        DL(i)=1;
    else
        DL(i)=0;
    end
    if DU(i)>=U
        DU(i)=1;
    else
        DU(i)=0;
    end
end