Comparison Of Time Series Based On Moment Functions

Many Internet companies,in cooperation with fund companies,launched their own Internet financial products.These products are convenient and high-yielding.The two of the most prominent are the products of Alibaba and Tencent,followed by similar Internet banking products in large numbers.The traditional measures of the index portfolio income are Sharpe Ratio(SR),Treynor Ratio(TR),Information Ratio(IR),and so on.These measures overlooked one important fact that the mean function and variance function are time-varying.This article made some improvements on this point.This paper selected day yield data of Yuebao and Caifubao as research objects,and made a comparative analysis of the two through the method of time series analysis.We approximated mean function and variance function of time series with polynomial function,then,based mean function and variance function,proposed two method of comparative analysis.Based on mean function and variance function,we proposed a few criteria of comparison,and compare sequences under these criteria.Finally,we proposed a new model for sequence whose mean function and variance are nonstationary,and compared the two sequences through the analyzing the difference of them.