August 2022
Intermediate to advanced
394 pages
12h 32m
Chinese
Content preview from 金融人工智能：用Python实现AI量化交易
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120
｜
第
4
章
理论分位数
样本分位数
图 4-21：离散数的 Q – Q 图
最后，还可以使用统计方法测试来检查一组数字是否符合正态分布。
以下
Python
函数实现了
3
个测试。
•
正态偏度测试
•
正态峰度测试
•
正态偏度和峰度组合测试
p
值低于
0.05
通常被认为是符合正态的反指标
，也就是说，数字分布是正态分布的假设被
拒绝了。从这个意义上说，如图
4-21
所示，两个数据集的
p
值说明了问题。
In [20]: def print_statistics(rets):
print('RETURN SAMPLE STATISTICS')
print('---------------------------------------------')
print('Skew of Sample Log Returns {:9.6f}'.format(
scs.skew(rets)))
print('Skew Normal Test p-value {:9.6f}'.format(
scs.skewtest(rets)[1]))
print('---------------------------------------------')
print('Kurt of Sample Log Returns {:9.6f}'.format(
scs.kurtosis(rets)))
print('Kurt Normal Test p-value {:9.6f}'.format(
scs.kurtosistest(rets)[1])) ...
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