November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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96
｜
第
3
章
Thomas, Rob.
“
Bad Election Day Forecasts Deal Blow to Data Science: Prediction
Models Suffered from Narrow Data, Faulty Algorithms and Human Foibles.
”
Wall
Street Journal
, November 9, 2016.
3.7 Python
脚本
下面的
Python
脚本基于蒙特卡洛模拟为几何布朗运动生成示例金融时序数据；更多
信息，请参见
Hilpisch
（
2018
，第
12
章）：
#
#
用来生成金融样例数据集的
Python
模块
#
#
# Python for Algorithmic Trading
# (c) Dr. Yves J. Hilpisch
# The Python Quants GmbH
#
import numpy as np
import pandas as pd
r = 0.05 # constant short rate
sigma = 0.5 # volatility factor
def generate_sample_data(rows, cols, freq='1min'):
'''
Function to generate sample financial data.
Parameters
==========
rows: int
number of ...
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