量化论文数据summary的全自动代码 数据丢入文件夹即可

#clear
	rm(list=ls())
#import package
	library(readxl)
	library(fBasics)
	library(tseries)
#import data
	dir<-dir("C:\\Users\\User\\Desktop\\data")
	L=length(dir)
#allocate memory
	return=matrix(0,nrow=L,ncol=7)
	colnames(return)=c("name","n","mean","sd","skewness","kurtosis","JBstatistic")
	for(i in 1:L)
	{
		d=read_excel(paste("C:\\Users\\User\\Desktop\\data\\",dir[i],sep=""))
		price_close_old=d[["close"]]
#missing value
		price_close=as.numeric(na.omit(price_close_old))
#caculate return
		return_close=diff(log(price_close))
		tail(return_close,-1)
#caculate parameter
		return[i,1]=dir[i]
		return[i,2]=length(return_close)
		return[i,3]=mean(return_close)
		return[i,4]=sd(return_close)
		return[i,5]=skewness(return_close) 
		return[i,6]=kurtosis(return_close)
		return[i,7]=jarque.bera.test(return_close)$p.value
	}
#write
	file=("C:\\Users\\User\\Desktop\\summary.csv")
	res <- write.csv(return, file)