python scatter 简书_ML4T笔记 | 01-06 Histograms and scatterplots

01 - Histograms and scatterplots

One of the most informative ways to consider daily returns is when we compare the returns of one stock with another.

Time: 00:00:19

02 - A closer look at daily returns

starting with a price time series.

we build daily returns, this daily return data is not too revealing as time-series.

histograms

A histogram is a kind of bar chart where we plot the number of occurrences of each item versus the value.

split up the range of data into lots of little bins.

and count up how many times the data matches the range across that bin.

a bar of the appropriate height in the histogram that represents how many times the data matched that value.

Time: 00:02:12

03 - Quiz What would it look like

What the histogram of S&P 500 daily return over many years look like?

The correct answer: bell curve.

Time: 00:00:16

04 - Histogram of daily returns

Statistics we can run on it to characterize histograms.

mean.

standard deviation: how far do individual measurements deviate from the mean.

Kurtosis (means curved or arching): it tells us about the tails of the distribution.

The measure of kurtosis tells us how much different our histogram from that traditional Gaussian distribution.

Positive Kurtosiswe indicate fat tails, Meaning that there are more occurrences out in these tails than would be expected if it were a normal distribution.

Negative kurtosis indicates skinnytails, meaning that there are many fewer occurrences than would be expected if it were a normal distribution on the tails.

Time: 00:02:25

05 - How to plot a histogram

daily_returns.hist(bin=20) will plot daily_return as histogram with 20 bins. the default bin parameter is 10.

Time: 00:02:03

06 - Computing histogram statistics

Calculate mea and deviation and kurtosis:

mean = daily_returns['SPY'].mean()

std = daily_returns['SPY'].std()

kurtosis = daily_returns.kurtosis()

Plot mean and diviation using axvline() in the Matplotlib library .

plt.axvline(mean, color='w', linestyle='dashed', linewidth=2)

plt.axvline(std, color='r', linestyle='dashed', linewidth=2)

plt.axvline(-std, color='r', linestyle='dashed', linewidth=2)

plt.show()

image.png

positive kurtosis for the SPY stock, which means we have fat tails.

Note: bincounts() using numpy.histogram function.

Time: 00:02:11

07 - quiz: Compare two histograms

Quiz: Select the option that best describes the relationship between XYZ and SPY.

Note:

These are histograms of daily return values, i.e. X-axis is +/- change (%), and Y-axis is the number of occurrences.

We are considering two general properties indicated by the histogram for each stock: return and volatility (or risk).

correct answer: XYZ has a lower return and higher volatility than SPY.

mean of XYZ, is lower than the mean of SPY.

XYZ got a larger standard deviation (broader shoulders), therefore, higher volatility.

8 - Plot two histograms together

Since the daily_returns data frame has data for two stocks, daily_returns.hist(bin=20) will plot the data in two subplots.

daily_returns['SPY'].hist(bin=20,label="SPY")

daily_returns['XOM'].hist(bin=20,label="XOM")

...

To get two histograms on the same x and y axis, call the histogram functions separately on each of the stocks daily return values.

also add the label parameter so that we can differentiate between the histogram of the SPY and XOM.

Time: 00:01:31

9 - Scatterplots

A scatterplot is another way to visualize the differences between daily returns of individual stocks. The left graph is daily return of two stocks. S&P 500 and XYZ.

On a scatterplot, there are a number of individual points or dots represents the daily returns of two stocks that happened on a particular day.

the dots are somewhat scattered. They don't form a perfect line.

Time: 00:02:02

10 - Fitting a line to data points

we can fit a line to it using linear regression.

slope, in financial terminology, is usually referred to as beta which means is how reactive is the stock to the market.

e.g. Beta = 1 then on average, when the market goes up 1%, that particular stock also goes up 1%.

if beta = 2, then if the market were to go up 1%, we'd expect on average for that stock to go up 2%.

intercepts, also called alpha. Positive alpha means that this stock is actually on average performing a little bit better than the S&P 500 every day. If it's negative, it means on average it's returning a little bit less than the market overall.

Time: 00:01:53

11 - Slope does not equal correlation

The slope is no correlation.

Correlation is a measure of how tightly do these individual points fit that line. the range of correlation is from 0 to 1.

Time: 00:01:15

12 - Quiz: Correlation vs slope

quiz

Select the option that best compares ABC against XYZ, in terms of beta (slope of linear fit) and correlation with the market (represented by SPY).

13 - Scatterplots in python

Key codes

daily_returns.plot(kind='scattr',x='SPY', y='XOM') # scatterplot

beta_XOM,alpha_XOM=np.polyfit(daily_returns['SPY'],daily_returns['XOM'], 1)

plt.plot(daily_returns['SPY'],beta_XOM*daily_returns['SPY'] + alpha_XOM, '-',color='r')

plt.show()

Kind parameter of the plot function of the data frame will help us plot scatterplots.

NumPy's ployfit() function can fit a line to scatterplots and get alpha and beta of the regression line. the parameter "1" means the fitting is linear, y = mx + b.Here m is the coefficient and b is the intercept.

beta values for the XOM is greater as compared to that of GLD so that XOM is more reactive to market as compared to GLD.

the alpha values denote how well it performs with respect to SPY and Numbers indicate that GLD performed better.

One last thing is to find the correlation yet again.

daily_returns.corr(method='pearson') will output in the correlation matrix with the correlation of each column with each other column.

high correlation means the dots fit the line closely.

Time: 00:04:45

14 - Real world use of kurtosis

the distribution of daily returns for stocks and the market looks very similar to a Gaussian.

but it is dangerous to assume that financial returns are normal distributions because it ignores kurtosis or the probability in the tails.

In the early 2000s investment banks built bonds based on mortgages and assumed that the distribution of returns for these mortgages was normally distributed.

Their model failed because of the assumption of normal distribution

Time: 00:01:06

Total Time: 00:24:11

2019-01-12 初稿