Python金融大数据分析——第6章金融时间序列笔记

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最新推荐文章于 2025-04-27 13:36:08 发布

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分类专栏： Python金融大数据分析文章标签：大数据分析金融时间序列 Python

本文链接：https://blog.csdn.net/weixin_42018258/article/details/80825974

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本章节深入探讨了使用pandas进行金融时间序列分析，包括DataFrame的基础操作，如创建和基本分析，Series对象的运用，以及GroupBy操作。此外，介绍了如何获取金融数据，进行了回归分析，如指数的历史水平、收益、移动平均线和年化波动率的计算。最后，讨论了高频数据的处理，如交易日内股价和交易量的变化。

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第6章金融时间序列

第6章金融时间序列

6.1 pandas基础

6.1.1 使用DataFrame类的第一步

import pandas as pd
import numpy as np

df = pd.DataFrame([10, 20, 30, 40], columns=['numbers'], index=['a', 'b', 'c', 'd'])
df
#    numbers
# a       10
# b       20
# c       30
# d       40

df.index
# Index(['a', 'b', 'c', 'd'], dtype='object')

df.columns
# Index(['numbers'], dtype='object')

df.loc['c']
# numbers    30
# Name: c, dtype: int64

df.loc[['a', 'b']]
#    numbers
# a       10
# b       20

df.loc[df.index[1:3]]
#    numbers
# b       20
# c       30

df.sum()
# numbers    100
# dtype: int64

df.apply(lambda x: x ** 2)
#    numbers
# a      100
# b      400
# c      900
# d     1600

df ** 2
#    numbers
# a      100
# b      400
# c      900
# d     1600

df['floats'] = (1.5, 2.5, 3.5, 4.5)
df
#    numbers  floats
# a       10     1.5
# b       20     2.5
# c       30     3.5
# d       40     4.5

df['floats']
# a    1.5
# b    2.5
# c    3.5
# d    4.5
# Name: floats, dtype: float64

df.floats
# a    1.5
# b    2.5
# c    3.5
# d    4.5
# Name: floats, dtype: float64

df['names'] = pd.DataFrame(['Yves', 'Guido', 'Felix', 'Francesc'], index=['d', 'a', 'b', 'c'])
df
#    numbers  floats     names
# a       10     1.5     Guido
# b       20     2.5     Felix
# c       30     3.5  Francesc
# d       40     4.5      Yves

df.append({
  'numbers': 100, 'floats': 5.75, 'names': 'Henry'}, ignore_index=True)
#    numbers  floats     names
# 0       10    1.50     Guido
# 1       20    2.50     Felix
# 2       30    3.50  Francesc
# 3       40    4.50      Yves
# 4      100    5.75     Henry

df = df.append(pd.DataFrame({
  'numbers': 100, 'floats': 5.75, 'names': 'Henry'}, index=['z', ]))
df
#    floats     names  numbers
# a    1.50     Guido       10
# b    2.50     Felix       20
# c    3.50  Francesc       30
# d    4.50      Yves       40
# z    5.75     Henry      100

df.join(pd.DataFrame([1, 4, 9, 16, 25], index=['a', 'b', 'c', 'd', 'y'], columns=['squares', ]))
#    floats     names  numbers  squares
# a    1.50     Guido       10      1.0
# b    2.50     Felix       20      4.0
# c    3.50  Francesc       30      9.0
# d    4.50      Yves       40     16.0
# z    5.75     Henry      100      NaN

df = df.join(pd.DataFrame([1, 4, 9, 16, 25],
                          index=['a', 'b', 'c', 'd', 'y'],
                          columns=['squares', ]),
             how='outer')
df
#    floats     names  numbers  squares
# a    1.50     Guido     10.0      1.0
# b    2.50     Felix     20.0      4.0
# c    3.50  Francesc     30.0      9.0
# d    4.50      Yves     40.0     16.0
# y     NaN       NaN      NaN     25.0
# z    5.75     Henry    100.0      NaN

df[['numbers', 'squares']].mean()
# numbers    40.0
# squares    11.0
# dtype: float64

df[['numbers', 'squares']].std()
# numbers    35.355339
# squares     9.669540
# dtype: float64

6.1.2 使用DataFrame类的第二步

a = np.random.standard_normal((9, 4))
a.round(6)
# array([[ 0.109076, -1.05275 ,  1.253471,  0.39846 ],
#        [-1.561175, -1.997425,  1.158739, -2.030734],
#        [ 0.764723,  0.760368,  0.864103, -0.174079],
#        [ 2.429043,  0.281962, -0.496606,  0.009445],
#        [-1.679758, -1.02374 , -1.135922,  0.077649],
#        [-0.247692,  0.301198,  2.156474,  1.537902],
#        [ 1.162934,  2.102327, -0.4501  ,  0.812529],
#        [-0.374749, -0.818229, -1.013962, -0.476855],
#        [ 0.626347,  2.294829, -1.29531 , -0.031501]])

df = pd.DataFrame(a)
df
#           0         1         2         3
# 0  0.109076 -1.052750  1.253471  0.398460
# 1 -1.561175 -1.997425  1.158739 -2.030734
# 2  0.764723  0.760368  0.864103 -0.174079
# 3  2.429043  0.281962 -0.496606  0.009445
# 4 -1.679758 -1.023740 -1.135922  0.077649
# 5 -0.247692  0.301198  2.156474  1.537902
# 6  1.162934  2.102327 -0.450100  0.812529
# 7 -0.374749 -0.818229 -1.013962 -0.476855
# 8  0.626347  2.294829 -1.295310 -0.031501

df.columns = [['No1', 'No2', 'No3', 'No4']]
df
#         No1       No2       No3       No4
# 0  0.109076 -1.052750  1.253471  0.398460
# 1 -1.561175 -1.997425  1.158739 -2.030734
# 2  0.764723  0.760368  0.864103 -0.174079
# 3  2.429043  0.281962 -0.496606  0.009445
#