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数学公式:

Let f ⁣:[a,b]Rf\colon[a,b]\to\R be Riemann integrable. Let F ⁣:[a,b]RF\colon[a,b]\to\R be F(x)=axf(t)dtF(x)=\int_{a}^{x} f(t)\,dt. Then FF is continuous, and at all xx such that ff is continuous at xx, FF is differentiable at xx with F(x)=f(x)F'(x)=f(x).

I=02πsin(x)dxI = \int_0^{2\pi} \sin(x)\,dx corrt=Corr ⁣(und_changet, vol_changet)800\text{corr}_t = \text{Corr}\!\left(\text{und\_change}_{t},\ \text{vol\_change}_{t}\right)_{800}

returnst=EWMAhalf-life=90(und_changet)\text{returns}_t = \text{EWMA}_{\text{half-life}=90} \left( \text{und\_change}_t\right)

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2. 开盘预处理

2.1 盘后数据加载

  • 加载前一日的盘后数据,包含标的价格变化率数据(und_change)以及期权波动率变化率数据(vol_change);
  • 基于corr的计算要求,从前一日加载的数据切片数量应不小于800个,从而实现数据初步预热。