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
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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.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.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.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.
377
10
장
파이썬 성능 개선
10.5.1
파이썬
우선 금융 상품의 금융 시계열 데이터를 가진
DataFrame
객체의
DatetimeIndex
에 대해 반
복 작업을 하는 파이썬 버전을 생각해보자(
8
장 참조). [그림
10
-
3
]은 금융 시계열과
EWMA
시계열이다.
In [148]: import pandas as pd
In [149]: sym = 'SPY'
In [150]: data = pd.DataFrame(pd.read_csv('../../source/tr_eikon_eod_data.csv',
index_col=0, parse_dates=True)[sym]).dropna()
In [151]: alpha = 0.25
In [152]: data['EWMA'] = data[sym]
➊
In [153]: %%time
for t in zip(data.index, data.index[1:]):
data.loc[t[1], 'EWMA'] = (alpha * data.loc[t[1], sym] +
(1 - alpha) * data.loc[t[0], 'EWMA'])
➋
CPU times: user 588 ms, sys: 16.4 ms, total: 605 ms
Wall time: 591 ms
In [154]: data.head()
Out[154]: SPY EWMA
Date ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
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.