March 2022
Beginner to intermediate
796 pages
18h 14m
Korean
Content preview from 파이썬을 활용한 금융 분석(2판) : 파이썬의 기초부터 금융공학, 머신러닝, 퀀트 분석, 매매 시스템 구현까지
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282
3
부
금융 데이터 과학
8.3
상관관계 분석
pandas
를 사용하여 금융 시계열 분석을 하는 또 다른 예로
S
&
P
500
지수와
VIX
변동성 지수
의 경우를 생각해보자. 일반적으로
S
&
P
500
이 오르면
VIX
는 떨어진다. 이 관계는 상관관계지
인과관계는 아니다. 이 절에서는
S
&
P
500
과
VIX
가 강한 음의 상관관계를 가진다는 것을 어떻
게 통계학적으로 보이는지 설명한다.
4
8.3.1
데이터
우리가 사용할 데이터는 [그림
8
-
8
]에 보인 두 개의 금융 시계열이다.
In [44]: raw = pd.read_csv('../../source/tr_eikon_eod_data.csv',
index_col=0, parse_dates=True)
➊
In [45]: data = raw[['.SPX', '.VIX']].dropna()
In [46]: data.tail()
Out[46]:
.SPX .VIX
Date
2018-06-25 2717.07 17.33
2018-06-26 2723.06 15.92
2018-06-27 2699.63 17.91
2018-06-28 2716.31 16.85
2018-06-29 2718.37 16.09
In [47]: data.plot(subplots=True, figsize=(10, 6));
➊
(톰슨 로이터 아이콘 데이터
API
로 ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.