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Old 23-01-2009, 11:27   #1
wlog
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Iscritto dal: Oct 2008
Messaggi: 558
Un'interessante analisi su ENI

Nei giorni scorsi in Spa c'è stata una discussione accesa sull'andamento di ENI.


Per provare a dipanare la questione, ho porvato a scrivere del codice per studiare il suo comportamento:


Codice:
function [mem kvec matperc] = nbehaviourtest ( matfeed )


[n m]=size (matfeed);

% n = number of stocks we are considering
% m = number of days we are considering
% this program in order to run needs to have in the stack a matrix called matfeed
% with different stocks columnwise and set of time row-wise. The smaller
% the set of time is, the better.
% mem is a ratio between number of times in tails and total days, a smaller ratio
% means a more perturbated behaviour
% kvec(i) is the number of times in the tails, at a given time i


for i = 1:n
    for j =1:m
    matvar(i, j)=matfeed(i,m+1-j);
    end;
end;


for i=1:n
    for j =m-1:-1:1
       a=matvar(i,j+1);
       b=matvar(i,j);
       matperc(i,j)=100*(a-b)/b;
    end;
end;

vecperc=reshape(matperc', 1, (m-1)*n);

[mu sigma]=normfit(vecperc);

disp('Trivial likelihood test: the smaller the better');

normlike([mu sigma], vecperc)

a=norminv([0.2 0.8], mu, sigma);

clear mem kvec;
k=0;
mem =[];
kvec=[];



for i=1:m-1
    if ( vecperc(i) < a(1) || vecperc(i)>a(2) ) k=k+1;
    end;
    mem=[mem 1-k/i];
    kvec=[kvec k];
    
end;


x=-200:.1:200;

figure('Name','Distribution of percentile asset prices variation, over time','NumberTitle','off')
plot(x, normpdf(x, mu, sigma*sigma));
grid on




figure('Name','Skewness index','NumberTitle','off')


area (1:length(mem), mem);
grid on



end
i dati presi da yahoo finance sono

Codice:
matfeed = [17.760	17.910	15.240	15.280	15.410	16.330	15.880	16.380	16.550	16	13.970	15.150	16.090	15.470	13.760	14.850 ] ; [1.40	1.370	1.30	1.370	1.410	1.40	1.40	1.410	1.380	1.370	1.40	1.390	1.440	1.530	1.320	1.40 ] ; [5.20	4.950	4.640	4.70	4.640	4.80	5.080	5.210	5.240	5.050	5.010	5.250	5.520	5.330	4.820	5.150 ] ; [14.350	14.710	14.510	14.460	14.650	14.580	14.350	14.550	14.620	13.370	13.040	13.250	13.860	13.470	13.220	13.110 ] ; [3.660	3.680	3.490	3.40	3.430	3.610	3.680	3.890	4.030	4	3.950	4.20	4.380	3.810	3.030	3.40 ] ; [1.440	1.410	1.30	1.280	1.340	1.420	1.410	1.470	1.50	1.460	1.530	1.550	1.590	1.580	1.50	1.650 ] ; [1.790	1.710	1.530	1.760	1.860	2.020	2.090	2.240	2.270	2.330	2.160	2.480	2.710	2.580	2.320	2.670 ] ; [5.270	5.290	4.940	4.820	5.080	5.30	5.080	5.230	5.490	5.20	5.010	5.310	5.860	5.450	4.60	5.030 ] ; [10.260	9.750	8.970	9.340	9.110	9.340	9.920	10.80	10.820	10.150	9.420	9.150	9.760	9.640	8.70	9.620 ] ; [5.970	5.660	5.290	5.360	5.850	6.450	6.540	6.670	7.20	7.280	7.350	7.720	8.10	7.70	6.680	6.880 ] ; [9.490	9.490	8.820	8.770	9.110	9.010	9.570	10.760	11.510	12.680	12.790	13.980	14.490	14.580	13.750	14.610 ] ; [19	19.170	18.170	18.890	19.670	20.90	20.950	21.60	21.80	21.090	20.970	21.680	21.840	21.60	20.650	21.080 ] ; [2.790	2.550	2.170	2.370	2.630	2.950	3.010	3.110	3.070	3.010	2.860	3.270	3.460	3.360	2.90	3.050 ] ; [16.710	16.720	16.530	16.090	16.290	16.550	15.50	16.180	16.550	15.70	15.450	15.950	16.830	16.190	15.690	16.150 ] ; [15.030	14.990	14.240	14.550	14.250	15.60	15.850	15.960	15.470	14.950	14.50	14.930	15.140	15.150	13.60	13.810 ] ; [8.760	8.620	8.510	8.60	8.730	8.80	8.750	8.820	8.870	8.820	8.810	8.850	8.940	8.80	8.510	8.690 ] ; [3.050	3.160	3.10	3.020	3.030	3.270	3.210	3.310	3.330	3.20	3.30	3.320	3.330	3.190	2.890	3.110 ] ; [4.250	4.020	3.840	4	3.890	4.110	4.260	4.270	4.180	3.960	3.820	3.990	4.20	4.110	3.80	3.880 ] ; [1.30	1.330	1.280	1.240	1.270	1.30	1.280	1.260	1.590	1.630	1.60	1.560	1.540	1.490	1.370	1.410 ] ; [4.340	4.160	4.030	4.160	4.630	4.610	4.840	4.930	4.820	4.70	4.680	4.60	4.80	4.480	3.660	3.990 ] ; [14.420	15.410	13.030	12.340	12.130	12.550	13.060	13.970	13	12.490	12.80	14.60	15.620	15.40	13.20	14.040 ] ; [6.220	6.470	6.230	6.060	6.20	6.250	6.30	6.350	6.540	6.170	5.950	6.240	6.880	6.930	6.470	6.730 ] ; [7.60	7.550	6.370	6.390	6.970	7.590	7.650	8.970	9.160	8.820	8.220	9.130	10.350	10.190	8.840	10.560 ] ; [0.880	0.870	0.820	0.840	0.860	0.90	0.890	0.930	0.950	0.880	0.830	0.860	0.90	0.860	0.750	0.830 ] ; [2.490	2.50	2.40	2.270	2.430	2.530	2.430	2.360	2.360	2.390	2.180	2.270	2.320	2.330	2.170	2.280 ] ; [1.790	1.710	1.530	1.760	1.860	2.020	2.090	2.240	2.270	2.330	2.160	2.480	2.710	2.580	2.320	2.670 ] ;

Considerando 15 giorni dopo il 10 ottobre il vettore rappresentante il numero di giorni in coda è:

Codice:
1 2 2 3 4 5 5 5 5 5 6 6 6 7 7
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