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Logarithmic returns in pandas dataframe
df['pct_change'] = df.price.pct_change()df['log_return'] = np.log(1 + df.pct_change)pct_change: percentage change原创 2019-10-22 14:14:42 · 495 阅读 · 0 评论 -
How to calculate stock returns in Python
转载自https://www.codingfinance.com/post/2018-04-03-calc-returns-py/Calculating the daily and monthly returns for individual stockIn this post we will:Download prices Calculate Returns Calculate ...转载 2019-09-09 20:33:13 · 447 阅读 · 0 评论 -
时间序列量化分析_01
data = pd.read_csv("Nasdaq_daily.csv", header=0)dt = data.iloc[::-1]#将顺序颠倒,原数据日期由近到远#print(dt)#plt.plot(dt['Close'])#plt.show()daily_returns = dt['Close'].pct_change()*100# calculate simple retu...原创 2019-09-10 14:57:29 · 659 阅读 · 0 评论