Chapter8.金融时间序列

Chapter8.金融时间序列

import matplotlib as mpl
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import seaborn as sns

mpl.rcParams['font.sans-serif'] = ['KaiTi']
mpl.rcParams['font.serif'] = ['KaiTi']
mpl.rcParams['axes.unicode_minus'] = False # 解决保存图像是负号'-'显示为方块的问题,或者转换负号为字符串
sns.set_style("darkgrid",{
   "font.sans-serif":['KaiTi', 'Arial']})

一、文章结构

1）经济数据
2）移动统计量，如：移动平均
3）相关性分析
4）高频数据
ps:本章节使用pandas 可以阅读《python for analysis》进一步了解

二、经济数据

#使用pandas读取数据更为方便

data = pd.read_csv(r"C:\Users\Administrator\Desktop\source\tr_eikon_eod_data.csv",index_col=0,parse_dates=True)
data             #index_col 指定索引列为第几列           parse_dates 是否将类似时间的文本数据，解析为 date数据

	AAPL.O	MSFT.O	INTC.O	AMZN.O	GS.N	SPY	.SPX	.VIX	EUR=	XAU=	GDX	GLD
Date
2010-01-01	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	1.4323	1096.35	NaN	NaN
2010-01-04	30.572827	30.950	20.88	133.90	173.08	113.33	1132.99	20.04	1.4411	1120.00	47.71	109.80
2010-01-05	30.625684	30.960	20.87	134.69	176.14	113.63	1136.52	19.35	1.4368	1118.65	48.17	109.70
2010-01-06	30.138541	30.770	20.80	132.25	174.26	113.71	1137.14	19.16	1.4412	1138.50	49.34	111.51
2010-01-07	30.082827	30.452	20.60	130.00	177.67	114.19	1141.69	19.06	1.4318	1131.90	49.10	110.82
...	...	...	...	...	...	...	...	...	...	...	...	...
2018-06-25	182.170000	98.390	50.71	1663.15	221.54	271.00	2717.07	17.33	1.1702	1265.00	22.01	119.89
2018-06-26	184.430000	99.080	49.67	1691.09	221.58	271.60	2723.06	15.92	1.1645	1258.64	21.95	119.26
2018-06-27	184.160000	97.540	48.76	1660.51	220.18	269.35	2699.63	17.91	1.1552	1251.62	21.81	118.58
2018-06-28	185.500000	98.630	49.25	1701.45	223.42	270.89	2716.31	16.85	1.1567	1247.88	21.93	118.22
2018-06-29	185.110000	98.610	49.71	1699.80	220.57	271.28	2718.37	16.09	1.1683	1252.25	22.31	118.65

2216 rows × 12 columns

data.head()

	AAPL.O	MSFT.O	INTC.O	AMZN.O	GS.N	SPY	.SPX	.VIX	EUR=	XAU=	GDX	GLD
Date
2010-01-01	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	1.4323	1096.35	NaN	NaN
2010-01-04	30.572827	30.950	20.88	133.90	173.08	113.33	1132.99	20.04	1.4411	1120.00	47.71	109.80
2010-01-05	30.625684	30.960	20.87	134.69	176.14	113.63	1136.52	19.35	1.4368	1118.65	48.17	109.70
2010-01-06	30.138541	30.770	20.80	132.25	174.26	113.71	1137.14	19.16	1.4412	1138.50	49.34	111.51
2010-01-07	30.082827	30.452	20.60	130.00	177.67	114.19	1141.69	19.06	1.4318	1131.90	49.10	110.82

data.plot(figsize=(10,12),subplots=True)        #横坐标自动按年划分，十分智能化

array([<matplotlib.axes._subplots.AxesSubplot object at 0x0F134390>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0F140690>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EF48AF0>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EF65D90>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EEB2FF0>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EECFCF0>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EEDDF50>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EF071D0>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EF07750>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EF78A70>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EFB7E70>,
       <matplotlib.axes._subplots.AxesSubplot object at 0x0EFD5B30>],
      dtype=object)

[外链图片转存失败,源站可能有防盗链机制,建议将图片保存下来直接上传(img-tmrZRX3H-1581857844288)(output_9_1.png)]

instruments = ['Apple Stock', 'Microsoft Stock',
'Intel Stock', 'Amazon Stock', 'Goldman Sachs Stock',
'SPDR S&P 500 ETF Trust',</