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# Tokyowebmining09 初めてでも分かるペアトレード

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### Tokyowebmining09 初めてでも分かるペアトレード

1. 1. . .+WEB (Tokyo.Webmining #9) 2011/01/23
2. 2. AGENDA 1 2. 3 4. 5...
3. 3. ID : yokkuns : : Web http://twitter.com/yokkuns / /NLP/ / /C/C++/Perl/Ruby/PHP/R/JS/JAVA/Android
4. 4. - 1 R Tokyo.Rhttp://groups.google.co.jp/group/r-study-tokyo
6. 6. 1 : :CAPM = +
7. 7. 2 0
8. 8. 3
9. 9. 1 2. 3..
10. 10. 2
11. 11. cov(r A , r B )d(A, B) = |ρ| = √ var(r A )var(r B )
12. 12. yt = yt + yt zt = zt + zt yt = γ× ztγ
13. 13. r A − γr B = (r − γr ) A B +(r − γr ) A B rp = rp
14. 14. r A − γr B = (r A − γr B ) +(r A − γr B ) rp = rp + rp rp
15. 15. : :p = p + p
16. 16. S/N σSNR = σ ,t
17. 17. &&
18. 18. - ∆ −∆T = 2T∆P(X ≥ ∆) ∆P(X ≥ ∆) ∆
19. 19. - ∆∆ ∆
20. 20. R
21. 21. R
22. 22. R
23. 23. 15
24. 24. 30
25. 25. 60
26. 26. I II ( ) ( )R