惯性效应与反转效应——tushare实验

Emily_20191106

于 2020-10-16 14:01:29 发布

阅读量1k

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本文链接：https://blog.csdn.net/weixin_44227332/article/details/109115236

版权

import numpy as np
import matplotlib.pyplot as plt
import pandas as pd
import tushare as ts
import statsmodels.api as sm

pro = ts.pro_api('')
s = {}
stock_name = ['600521.SH', '600522.SH','600523.SH','000001.SZ',\
              '600525.SH', '600526.SH', '600527.SH', '600528.SH']

#导入数据
for i in range(8):
    s[i] = pro.daily(ts_code = stock_name[i], start_date = '20000101', end_date = '20190101')
bm = pro.index_daily(ts_code='399300.SZ', start_date='20000101', end_date='20190101')


#处理日期格式
for i in range(8):
    s[i]['trade_date'] = pd.to_datetime(s[i]['trade_date'], format='%Y%m%d')
bm['trade_date'] = pd.to_datetime(bm['trade_date'])

#时间对齐
us = {}
for i in range(8):
    us[i] = pd.merge(s[i]['close'], bm['close'], ho

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