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‎Book7_Ch02_Python_Codes/Bk7_Ch02_01.ipynb

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@@ -18,36 +18,9 @@
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"metadata": {
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"tags": []
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Requirement already satisfied: yfinance in c:\\users\\james\\anaconda3\\lib\\site-packages (0.2.31)\n",
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"Requirement already satisfied: pandas>=1.3.0 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (1.5.3)\n",
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"Requirement already satisfied: frozendict>=2.3.4 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (2.3.8)\n",
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"Requirement already satisfied: peewee>=3.16.2 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (3.17.0)\n",
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"Requirement already satisfied: html5lib>=1.1 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (1.1)\n",
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"Requirement already satisfied: numpy>=1.16.5 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (1.23.5)\n",
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"Requirement already satisfied: multitasking>=0.0.7 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (0.0.11)\n",
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"Requirement already satisfied: beautifulsoup4>=4.11.1 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (4.11.1)\n",
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"Requirement already satisfied: lxml>=4.9.1 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (4.9.1)\n",
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"Requirement already satisfied: pytz>=2022.5 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (2022.7)\n",
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"Requirement already satisfied: appdirs>=1.4.4 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (1.4.4)\n",
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"Requirement already satisfied: requests>=2.31 in c:\\users\\james\\anaconda3\\lib\\site-packages (from yfinance) (2.31.0)\n",
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"Requirement already satisfied: soupsieve>1.2 in c:\\users\\james\\anaconda3\\lib\\site-packages (from beautifulsoup4>=4.11.1->yfinance) (2.3.2.post1)\n",
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"Requirement already satisfied: six>=1.9 in c:\\users\\james\\anaconda3\\lib\\site-packages (from html5lib>=1.1->yfinance) (1.16.0)\n",
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"Requirement already satisfied: webencodings in c:\\users\\james\\anaconda3\\lib\\site-packages (from html5lib>=1.1->yfinance) (0.5.1)\n",
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"Requirement already satisfied: python-dateutil>=2.8.1 in c:\\users\\james\\anaconda3\\lib\\site-packages (from pandas>=1.3.0->yfinance) (2.8.2)\n",
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"Requirement already satisfied: idna<4,>=2.5 in c:\\users\\james\\anaconda3\\lib\\site-packages (from requests>=2.31->yfinance) (3.4)\n",
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"Requirement already satisfied: certifi>=2017.4.17 in c:\\users\\james\\anaconda3\\lib\\site-packages (from requests>=2.31->yfinance) (2023.5.7)\n",
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"Requirement already satisfied: charset-normalizer<4,>=2 in c:\\users\\james\\anaconda3\\lib\\site-packages (from requests>=2.31->yfinance) (2.0.4)\n",
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"Requirement already satisfied: urllib3<3,>=1.21.1 in c:\\users\\james\\anaconda3\\lib\\site-packages (from requests>=2.31->yfinance) (1.26.14)\n"
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]
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}
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],
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"outputs": [],
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"source": [
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"!pip install yfinance\n",
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"# !pip install yfinance\n",
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"# 需要安装库，下载金融数据"
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]
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},
@@ -179,7 +152,7 @@
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" <tbody>\n",
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" <tr>\n",
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" <th>2020-01-02</th>\n",
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" <td>73.152641</td>\n",
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" <td>73.152664</td>\n",
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" <td>3257.850098</td>\n",
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" <td>75.087502</td>\n",
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" <td>3257.850098</td>\n",
@@ -194,7 +167,7 @@
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" </tr>\n",
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" <tr>\n",
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" <th>2020-01-03</th>\n",
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" <td>72.441452</td>\n",
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" <td>72.441460</td>\n",
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" <td>3234.850098</td>\n",
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" <td>74.357498</td>\n",
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" <td>3234.850098</td>\n",
@@ -209,7 +182,7 @@
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" </tr>\n",
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" <tr>\n",
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" <th>2020-01-06</th>\n",
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" <td>73.018692</td>\n",
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" <td>73.018684</td>\n",
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" <td>3246.280029</td>\n",
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" <td>74.949997</td>\n",
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" <td>3246.280029</td>\n",
@@ -239,7 +212,7 @@
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" </tr>\n",
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" <tr>\n",
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" <th>2020-01-08</th>\n",
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" <td>73.844345</td>\n",
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" <td>73.844353</td>\n",
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" <td>3253.050049</td>\n",
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" <td>75.797501</td>\n",
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" <td>3253.050049</td>\n",
@@ -260,11 +233,11 @@
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" Adj Close Close High \\\n",
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" AAPL ^GSPC AAPL ^GSPC AAPL \n",
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"Date \n",
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"2020-01-02 73.152641 3257.850098 75.087502 3257.850098 75.150002 \n",
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"2020-01-03 72.441452 3234.850098 74.357498 3234.850098 75.144997 \n",
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"2020-01-06 73.018692 3246.280029 74.949997 3246.280029 74.989998 \n",
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"2020-01-02 73.152664 3257.850098 75.087502 3257.850098 75.150002 \n",
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"2020-01-03 72.441460 3234.850098 74.357498 3234.850098 75.144997 \n",
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"2020-01-06 73.018684 3246.280029 74.949997 3246.280029 74.989998 \n",
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"2020-01-07 72.675262 3237.179932 74.597504 3237.179932 75.224998 \n",
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"2020-01-08 73.844345 3253.050049 75.797501 3253.050049 76.110001 \n",
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"2020-01-08 73.844353 3253.050049 75.797501 3253.050049 76.110001 \n",
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"\n",
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" Low Open \\\n",
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" ^GSPC AAPL ^GSPC AAPL ^GSPC \n",
@@ -693,7 +666,7 @@
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},
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{
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"cell_type": "code",
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"execution_count": 17,
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"execution_count": 10,
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"id": "80805657-6e0b-4288-97de-357cb51add66",
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"metadata": {},
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"outputs": [
@@ -706,8 +679,8 @@
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"Dep. Variable: AAPL R-squared: 0.689\n",
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"Model: OLS Adj. R-squared: 0.687\n",
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"Method: Least Squares F-statistic: 550.5\n",
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"Date: Thu, 16 Nov 2023 Prob (F-statistic): 5.16e-65\n",
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"Time: 16:38:00 Log-Likelihood: 675.37\n",
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"Date: Thu, 23 Nov 2023 Prob (F-statistic): 5.16e-65\n",
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"Time: 11:09:43 Log-Likelihood: 675.37\n",
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"No. Observations: 251 AIC: -1347.\n",
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"Df Residuals: 249 BIC: -1340.\n",
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"Df Model: 1 \n",
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"SP500 1.1234 0.048 23.462 0.000 1.029 1.218\n",
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"==============================================================================\n",
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"Omnibus: 52.109 Durbin-Watson: 1.871\n",
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"Prob(Omnibus): 0.000 Jarque-Bera (JB): 210.795\n",
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"Skew: 0.772 Prob(JB): 1.68e-46\n",
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"Prob(Omnibus): 0.000 Jarque-Bera (JB): 210.791\n",
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"Skew: 0.772 Prob(JB): 1.69e-46\n",
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"Kurtosis: 7.216 Cond. No. 46.0\n",
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"==============================================================================\n",
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"\n",
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"print(results.summary())"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 11,
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"id": "bdf197d2-9683-4698-b63e-0478abf04b87",
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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" OLS Regression Results \n",
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"=======================================================================================\n",
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"Dep. Variable: AAPL R-squared (uncentered): 0.687\n",
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"Model: OLS Adj. R-squared (uncentered): 0.686\n",
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"Method: Least Squares F-statistic: 549.2\n",
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"Date: Thu, 23 Nov 2023 Prob (F-statistic): 4.97e-65\n",
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"Time: 11:10:26 Log-Likelihood: 673.71\n",
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"No. Observations: 251 AIC: -1345.\n",
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"Df Residuals: 250 BIC: -1342.\n",
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"Df Model: 1 \n",
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"Covariance Type: nonrobust \n",
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"==============================================================================\n",
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" coef std err t P>|t| [0.025 0.975]\n",
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"------------------------------------------------------------------------------\n",
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"SP500 1.1265 0.048 23.434 0.000 1.032 1.221\n",
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"==============================================================================\n",
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"Omnibus: 52.047 Durbin-Watson: 1.846\n",
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"Prob(Omnibus): 0.000 Jarque-Bera (JB): 210.241\n",
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"Skew: 0.771 Prob(JB): 2.22e-46\n",
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"Kurtosis: 7.210 Cond. No. 1.00\n",
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"==============================================================================\n",
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"\n",
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"Notes:\n",
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"[1] R² is computed without centering (uncentered) since the model does not contain a constant.\n",
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"[2] Standard Errors assume that the covariance matrix of the errors is correctly specified.\n"
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]
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}
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],
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"source": [
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"# 无截距一元线性回归\n",
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"model_no_intercept = sm.OLS(y_df, x_df)\n",
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"results_no_intercept = model_no_intercept.fit()\n",
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"print(results_no_intercept.summary())"
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]
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},
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{
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"cell_type": "markdown",
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"id": "e1a8a7a6-594b-4630-8360-45b529a37f2a",

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