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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486
3
부
금융 데이터 과학
statistic value
------------------------------
size 12500000.00000
min -0.15664
max 0.15371
mean 0.00060
std 0.02828
skew 0.00055
kurtosis 0.00085
In [15]: log_returns.mean() * M + 0.5 * sigma ** 2
➊
Out[15]: 0.05000000000000005
In [16]: log_returns.std() * math.sqrt(M)
➋
Out[16]: 0.20000000000000015
➊
이토 항
2
수정 후의 연율화된 평균 로그 수익률
➋
연율화된 변동성. 로그 수익률의 연율화된 표준편차
전체
12
,
500
,
000
개의 데이터가 대부분 +/–
0
.
15
사이에 있음을 알 수 있다. 또한 평균 수익률
과 표준편차를 연율화하면
0
.
05
,
0
.
2
가 되는 것을 예상할 수 있다(
1
년을
50
개의 구간으로 나누
었기 때문에 연율화하기 위해서는 평균값에
50
을, 표준편차에는
50
을 곱한다). 모멘트가 잘
맞는 이유는 난수를 생성할 때 분산 감소 방법을 썼기 때문이다.
[그림
13
-
2
]에서는 시뮬레이션된 로그 수익률 분포와 주어진
r
,
sigma
값에 대한 정규분포의
확률 밀도 함수를 비교했다. 사용된 함수는 ...
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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.