Skip to content

Navigation Menu

Sign in
Appearance settings

Search code, repositories, users, issues, pull requests...

Provide feedback

We read every piece of feedback, and take your input very seriously.

Saved searches

Use saved searches to filter your results more quickly
Sign up
Appearance settings

Commit f8801a1

Browse files
Added tutorial files
1 parent b744566 commit f8801a1

File tree

4 files changed

+129
-0
lines changed

4 files changed

+129
-0
lines changed

‎Tutorials/Beta Tutorial/Beta.py‎

Lines changed: 53 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,53 @@
1+
# -*- coding: utf-8 -*-
2+
3+
# import libraries
4+
import pandas as pd
5+
import statsmodels.api as sm
6+
7+
'''
8+
Download monthly prices of Facebook and S&P 500 index from 2014 to 2017
9+
CSV file downloaded from Yahoo File
10+
start period: 02/11/2014
11+
end period: 30/11/2014
12+
period format: DD/MM/YEAR
13+
'''
14+
fb = pd.read_csv('FB.csv', parse_dates=True, index_col='Date',)
15+
sp_500 = pd.read_csv('^GSPC.csv', parse_dates=True, index_col='Date')
16+
17+
# joining the closing prices of the two datasets
18+
monthly_prices = pd.concat([fb['Close'], sp_500['Close']], axis=1)
19+
monthly_prices.columns = ['FB', '^GSPC']
20+
21+
# check the head of the dataframe
22+
print(monthly_prices.head())
23+
24+
# calculate monthly returns
25+
monthly_returns = monthly_prices.pct_change(1)
26+
clean_monthly_returns = monthly_returns.dropna(axis=0)
27+
28+
# split dependent and independent variable
29+
X = clean_monthly_returns['^GSPC']
30+
y = clean_monthly_returns['FB']
31+
32+
# Add a constant to the independent value
33+
X1 = sm.add_constant(X)
34+
35+
# make regression model
36+
model = sm.OLS(y, X1)
37+
38+
# fit model and print results
39+
results = model.fit()
40+
print(results.summary())
41+
42+
# alternatively scipy linear regression
43+
from scipy import stats
44+
slope, intercept, r_value, p_value, std_err = stats.linregress(X, y)
45+
print(slope)
46+
47+
# save OLS Regression Results as a PNG
48+
import matplotlib.pyplot as plt
49+
plt.rc('figure', figsize=(12, 7))
50+
plt.text(0.01, 0.05, str(results.summary()), {'fontsize': 10}, fontproperties = 'monospace')
51+
plt.axis('off')
52+
plt.tight_layout()
53+
plt.savefig('output.png')

‎Tutorials/Beta Tutorial/FB.csv‎

Lines changed: 38 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,38 @@
1+
Date,Open,High,Low,Close,Adj Close,Volume
2+
2014年11月01日,75.470001,78.269997,72.510002,77.699997,77.699997,490965300
3+
2014年12月01日,77.260002,82.169998,74.400002,78.019997,78.019997,534632100
4+
2015年01月01日,78.580002,79.250000,73.540001,75.910004,75.910004,545698200
5+
2015年02月01日,76.110001,81.370003,73.449997,78.970001,78.970001,474720300
6+
2015年03月01日,79.000000,86.070000,77.260002,82.220001,82.220001,574223800
7+
2015年04月01日,82.500000,85.589996,78.320000,78.769997,78.769997,541741400
8+
2015年05月01日,79.239998,81.849998,76.790001,79.190002,79.190002,421283500
9+
2015年06月01日,79.300003,89.400002,78.660004,85.769997,85.769997,537883500
10+
2015年07月01日,86.769997,99.239998,85.230003,94.010002,94.010002,790781000
11+
2015年08月01日,93.529999,98.739998,72.000000,89.730003,89.730003,794774200
12+
2015年09月01日,86.849998,96.489998,85.720001,89.900002,89.900002,634526500
13+
2015年10月01日,90.050003,105.120003,88.360001,101.970001,101.970001,571192300
14+
2015年11月01日,101.720001,110.650002,100.470001,104.239998,104.239998,542369900
15+
2015年12月01日,104.830002,107.919998,101.459999,104.660004,104.660004,440059600
16+
2016年01月01日,101.949997,112.839996,89.370003,112.209999,112.209999,792410100
17+
2016年02月01日,112.269997,117.589996,96.820000,106.919998,106.919998,873671800
18+
2016年03月01日,107.830002,116.989998,104.400002,114.099998,114.099998,521306200
19+
2016年04月01日,113.750000,120.790001,106.309998,117.580002,117.580002,741132500
20+
2016年05月01日,117.830002,121.080002,115.879997,118.809998,118.809998,459696300
21+
2016年06月01日,118.500000,119.440002,108.230003,114.279999,114.279999,450837700
22+
2016年07月01日,114.199997,128.330002,112.970001,123.940002,123.940002,464098700
23+
2016年08月01日,123.849998,126.730003,122.070000,126.120003,126.120003,365460600
24+
2016年09月01日,126.379997,131.979996,125.599998,128.270004,128.270004,376355700
25+
2016年10月01日,128.380005,133.500000,126.750000,130.990005,130.990005,313200300
26+
2016年11月01日,131.410004,131.940002,113.550003,118.419998,118.419998,643698100
27+
2016年12月01日,118.379997,122.500000,114.000000,115.050003,115.050003,408552500
28+
2017年01月01日,116.029999,133.139999,115.510002,130.320007,130.320007,378873600
29+
2017年02月01日,132.250000,137.179993,130.300003,135.539993,135.539993,384675700
30+
2017年03月01日,136.470001,142.949997,136.080002,142.050003,142.050003,342098600
31+
2017年04月01日,141.929993,151.529999,138.809998,150.250000,150.250000,275502100
32+
2017年05月01日,151.740005,153.600006,144.419998,151.460007,151.460007,403586900
33+
2017年06月01日,151.750000,156.500000,144.559998,150.979996,150.979996,414677400
34+
2017年07月01日,151.720001,175.490005,147.800003,169.250000,169.250000,419907600
35+
2017年08月01日,169.820007,173.050003,165.000000,171.970001,171.970001,303622800
36+
2017年09月01日,172.399994,174.000000,161.559998,170.869995,170.869995,304818300
37+
2017年10月01日,171.389999,180.800003,168.289993,180.059998,180.059998,318146600
38+
2017年11月01日,182.360001,184.250000,174.000000,177.179993,177.179993,350998700

‎Tutorials/Beta Tutorial/^GSPC.csv‎

Lines changed: 38 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,38 @@
1+
Date,Open,High,Low,Close,Adj Close,Volume
2+
2014年11月01日,2018.209961,2075.760010,2001.010010,2067.560059,2067.560059,63600190000
3+
2014年12月01日,2065.780029,2093.550049,1972.560059,2058.899902,2058.899902,80743820000
4+
2015年01月01日,2058.899902,2072.360107,1988.119995,1994.989990,1994.989990,77330040000
5+
2015年02月01日,1996.670044,2119.590088,1980.900024,2104.500000,2104.500000,68775560000
6+
2015年03月01日,2105.229980,2117.520020,2039.689941,2067.889893,2067.889893,76675850000
7+
2015年04月01日,2067.629883,2125.919922,2048.379883,2085.510010,2085.510010,72060940000
8+
2015年05月01日,2087.379883,2134.719971,2067.929932,2107.389893,2107.389893,65187730000
9+
2015年06月01日,2108.639893,2129.870117,2056.320068,2063.110107,2063.110107,73213980000
10+
2015年07月01日,2067.000000,2132.820068,2044.020020,2103.840088,2103.840088,77920590000
11+
2015年08月01日,2104.489990,2112.659912,1867.010010,1972.180054,1972.180054,84626790000
12+
2015年09月01日,1970.089966,2020.859985,1871.910034,1920.030029,1920.030029,79989370000
13+
2015年10月01日,1919.650024,2094.320068,1893.699951,2079.360107,2079.360107,85844900000
14+
2015年11月01日,2080.760010,2116.479980,2019.390015,2080.409912,2080.409912,75943590000
15+
2015年12月01日,2082.929932,2104.270020,1993.260010,2043.939941,2043.939941,83649260000
16+
2016年01月01日,2038.199951,2038.199951,1812.290039,1940.239990,1940.239990,92409770000
17+
2016年02月01日,1936.939941,1962.959961,1810.099976,1932.229980,1932.229980,93049560000
18+
2016年03月01日,1937.089966,2072.209961,1937.089966,2059.739990,2059.739990,92639420000
19+
2016年04月01日,2056.620117,2111.050049,2033.800049,2065.300049,2065.300049,81124990000
20+
2016年05月01日,2067.169922,2103.479980,2025.910034,2096.949951,2096.949951,78883600000
21+
2016年06月01日,2093.939941,2120.550049,1991.680054,2098.860107,2098.860107,86852700000
22+
2016年07月01日,2099.340088,2177.090088,2074.020020,2173.600098,2173.600098,69530250000
23+
2016年08月01日,2173.149902,2193.810059,2147.580078,2170.949951,2170.949951,75610310000
24+
2016年09月01日,2171.330078,2187.870117,2119.120117,2168.270020,2168.270020,77270240000
25+
2016年10月01日,2164.330078,2169.600098,2114.719971,2126.149902,2126.149902,73196630000
26+
2016年11月01日,2128.679932,2214.100098,2083.790039,2198.810059,2198.810059,88299760000
27+
2016年12月01日,2200.169922,2277.530029,2187.439941,2238.830078,2238.830078,75251240000
28+
2017年01月01日,2251.570068,2300.989990,2245.129883,2278.870117,2278.870117,70483180000
29+
2017年02月01日,2285.590088,2371.540039,2271.649902,2363.639893,2363.639893,69162420000
30+
2017年03月01日,2380.129883,2400.979980,2322.250000,2362.719971,2362.719971,81547770000
31+
2017年04月01日,2362.340088,2398.159912,2328.949951,2384.199951,2384.199951,65265670000
32+
2017年05月01日,2388.500000,2418.709961,2352.719971,2411.800049,2411.800049,79607170000
33+
2017年06月01日,2415.649902,2453.820068,2405.699951,2423.409912,2423.409912,81002490000
34+
2017年07月01日,2431.389893,2484.040039,2407.699951,2470.300049,2470.300049,63169400000
35+
2017年08月01日,2477.100098,2490.870117,2417.350098,2471.649902,2471.649902,70616030000
36+
2017年09月01日,2474.419922,2519.439941,2446.550049,2519.360107,2519.360107,66337980000
37+
2017年10月01日,2521.199951,2582.979980,2520.399902,2575.260010,2575.260010,70871570000
38+
2017年11月01日,2583.209961,2657.739990,2557.449951,2647.580078,2647.580078,73173260000

‎Tutorials/Beta Tutorial/output.png‎

40.5 KB
Loading[フレーム]

0 commit comments

Comments
(0)

AltStyle によって変換されたページ (->オリジナル) /