21 lines
416 B
Matlab
21 lines
416 B
Matlab
clear;
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load('inputDataOHLCDaily_20120517', 'syms', 'tday', 'cl');
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idxV=find(strcmp('VX', syms));
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idxE=find(strcmp('ES', syms));
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VX=cl(:, idxV);
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tdayV=tday(:, idxV);
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ES=cl(:, idxE);
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tdayE=tday(:, idxE);
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[tday idxV idxE]=intersect(tdayV, tdayE);
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VX=VX(idxV);
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ES=ES(idxE);
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scatter(VX, ES);
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post200808=find(tday>=20080801);
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hedgeRatio=regress(50*ES(post200808), [1000*VX(post200808) ones(length(post200808), 1)]); |