Maoning Wang 2016-06-06

last week:

1.test the lib OLPS on different datasets: stock data in recent 3 years of the USA(daoqiongsi), China(ss, sz), HK, UK, Fr.

2.find a marketplace for financial and economic data: https://www.quandl.com/. Quandl has MATLAB API. There is free data of Futures Exchanges and so on.

this week:

1.mean reversion property? multiple-period mean reversion? [LiBin2012] Seemingly unrelated regression (SUR) test?[Chaudhuri] A quick survey in Chinese:[Gaoli].

2.(if I have time)for futures' model? How to transform LiBin's models into models for futures contracts? maybe the relative price is not quite suitable...