順序統計量 - 模擬與交易.5

Public RankSort(1 To 8) As Variant Const FixConst As Variant = 0.398942284 '1/sqr(2*3.1415926) Public Sub avgRank() '模擬常態分配隨機變數的順序統計量期望值 Dim seed, seedCalc, nextSeed, NorValue As Variant Dim ArrNorRandom(1 To 8) As Variant Dim iith, testNum As Long For testNum = 1 To 10000 iith = 1 Do seed = Int(Rnd() * 1000000) seedCalc = ((seed - 500000) * 0.000001) * 8 '模擬4個標準差範圍的 N(0,1) 常態分配變數 NorValue = Format(FixConst * Exp(-0.5 * seedCalc * seedCalc), "0.000000") '常態分配機率函數的數值 nextSeed = 0 nextSeed = Int(0.001 * (seed * seed)) nextSeed = Format(0.000001 * nextSeed - Int(0.000001 * nextSeed), "0.000000") nextSeed = Int(1000000 * nextSeed) nextSeed = Int(((23 + iith * 0.01) * nextSeed + 1011 * iith)) Mod 999999 nextSeed = Format(nextSeed * 0.00001 * FixConst, "0.000000") 'Debug.Print seedCalc, NorValue, nextSeed If (nextSeed) NorValue Then ArrNorRandom(iith) = seedCalc 'Debug.Print iith, ArrNorRandom(iith) 'Sheets("工作表3").Cells(iith, 1) = ArrNorRandom(iith) iith = iith + 1 End If Loop While iith = 8 '泡沫排序法 Dim swapTemp, ii, jj As Variant For jj = 0 To 6 For ii = 1 To 7 - jj If ArrNorRandom(ii) ArrNorRandom(ii + 1) Then swapTemp = "" swapTemp = ArrNorRandom(ii + 1) ArrNorRandom(ii + 1) = ArrNorRandom(ii) ArrNorRandom(ii) = swapTemp End If Next ii Next jj 'Debug.Print ArrNorRandom(1), ",", ArrNorRandom(2), ",", ArrNorRandom(3), ",", ArrNorRandom(4) 'Debug.Print ArrNorRandom(5), ",", ArrNorRandom(6), ",", ArrNorRandom(7), ",", ArrNorRandom(8)

For ii = 1 To 8 RankSort(ii) = RankSort(ii) + ArrNorRandom(ii) Next ii Next testNum

For ii = 1 To 8 RankSort(ii) = RankSort(ii) / testNum Next ii 'Debug.Print RankSort(1), ",", RankSort(2), ",", RankSort(3), ",", RankSort(4) 'Debug.Print RankSort(5), ",", RankSort(6), ",", RankSort(7), ",", RankSort(8) End Sub

Public Sub RankLevel() Dim seed, seedCalc, nextSeed, NorValue As Variant Dim ArrNorRandom(1 To 8), sqrDiff(1 To 100000) As Variant Dim iith, testNum As Long avgRank '事前取得順序統計量的期望值，並宣告為全域變數

For testNum = 1 To 100000 '模擬次數 iith = 1 Do seed = Int(Rnd() * 1000000) seedCalc = ((seed - 500000) * 0.000001) * 8 '模擬4個標準差範圍的 N(0,1) 常態分配變數 NorValue = Format(FixConst * Exp(-0.5 * seedCalc * seedCalc), "0.000000") '常態分配機率函數的數值 nextSeed = 0 nextSeed = Int(0.001 * (seed * seed)) nextSeed = Format(0.000001 * nextSeed - Int(0.000001 * nextSeed), "0.000000") nextSeed = Int(1000000 * nextSeed) nextSeed = Int(((23 + iith * 0.01) * nextSeed + 1011 * iith)) Mod 999999 nextSeed = Format(nextSeed * 0.00001 * FixConst, "0.000000")

If (nextSeed) NorValue Then ArrNorRandom(iith) = seedCalc iith = iith + 1 End If Loop While iith = 8 '泡沫排序法 Dim swapTemp, ii, jj As Variant For jj = 0 To 6 For ii = 1 To 7 - jj If ArrNorRandom(ii) ArrNorRandom(ii + 1) Then swapTemp = "" swapTemp = ArrNorRandom(ii + 1) ArrNorRandom(ii + 1) = ArrNorRandom(ii) ArrNorRandom(ii) = swapTemp End If Next ii Next jj '本次產生的隨機亂數排序後與對應的序列期望值做運算 For ii = 1 To 8 xTemp = ArrNorRandom(ii) - RankSort(ii) sqrDiff(testNum) = sqrDiff(testNum) + xTemp * xTemp Next ii Next testNum '本次模擬次數，testNum=100000

'sqrDiff陣列共計10萬筆數據，泡沫排序，求解第95001序位 For jj = 0 To 4999 '資料數據共計10萬筆，求解第95001序位 For ii = 1 To 100000 - 1 - jj If sqrDiff(ii) sqrDiff(ii + 1) Then swapTemp = "" swapTemp = sqrDiff(ii + 1) sqrDiff(ii + 1) = sqrDiff(ii) sqrDiff(ii) = swapTemp End If Next ii Next jj Debug.Print sqrDiff(95001) End Sub