{"id":98421,"date":"2022-03-26T16:03:54","date_gmt":"2022-03-26T08:03:54","guid":{"rendered":"http:\/\/www.zhushiyao.com\/?p=98421"},"modified":"2022-03-26T16:03:54","modified_gmt":"2022-03-26T08:03:54","slug":"%e8%af%bb%e4%b9%a6%ef%bc%9a%e3%80%8apython%e9%87%8f%e5%8c%96%e4%ba%a4%e6%98%93%e5%ae%9e%e6%88%98%e3%80%8b","status":"publish","type":"post","link":"http:\/\/www.zhushiyao.com\/?p=98421","title":{"rendered":"\u8bfb\u4e66\uff1a\u300apython\u91cf\u5316\u4ea4\u6613\u5b9e\u6218\u300b"},"content":{"rendered":"\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp1 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class=\"wp-block-heading\">chp3  Python\u7c7b\u5e93\u7684\u4f7f\u7528\u2014\u2014\u6570\u636e\u5904\u7406\u53ca\u53ef\u89c6\u5316\u5c55\u793a<\/h2>\n\n\n\n<p>\u5efa\u8bae\u8bfb\u8005\u4f7f\u7528\u5df2\u6709\u7684\u7c7b\u5e93\u89e3\u51b3\u95ee\u9898\u800c\u4e0d\u662f\u81ea\u884c\u7f16\u5199\u76f8\u5e94\u7684\u4ee3\u7801<\/p>\n\n\n\n<p>\u6570\u636e\u5904\u7406\u7684\u6700\u7ec8\u76ee\u7684\u5c31\u662f\u4f7f\u7528\u4e0d\u540c\u7684\u7279\u5f81\u5c5e\u6027\u5bf9\u76ee\u6807\u8fdb\u884c\u533a\u5206\u548c\u8ba1\u7b97\u3002\u5df2\u6709\u7684\u76ee\u6807\u662f\u89c2\u5bdf\u548c\u8bb0\u5f55\u7684\u7ed3\u679c\uff0c\u800c\u6570\u636e\u5904\u7406\u7684\u8fc7\u7a0b\u5c31\u662f\u521b\u5efa\u4e00\u4e2a\u53ef\u8fdb\u884c\u76ee\u6807\u8bc6\u522b\u7684\u6a21\u578b\u7684\u8fc7\u7a0b\u3002<\/p>\n\n\n\n<p>\u5efa\u7acb\u6a21\u578b\u7684\u8fc7\u7a0b\u79f0\u4e3a\u6570\u636e\u5904\u7406\u7684\u8bad\u7ec3\u8fc7\u7a0b\uff0c\u5176\u901f\u5ea6\u548c\u6b63\u786e\u7387\u4e3b\u8981\u53d6\u51b3\u4e8e\u7b97\u6cd5\u7684\u9009\u62e9\uff0c\u800c\u7b97\u6cd5\u662f\u76ee\u6807\u548c\u5c5e\u6027\u4e4b\u95f4\u5efa\u7acb\u67d0\u79cd\u4e00\u4e00\u5bf9\u5e94\u5173\u7cfb\u7684\u8fc7\u7a0b\u3002<\/p>\n\n\n\n<p>\u5f53\u6570\u636e\u5904\u7406\u5efa\u6a21\u7684\u6700\u7ec8\u76ee\u6807\u662f\u6c42\u5f97\u4e00\u4e2a\u5177\u4f53\u6570\u503c\u65f6\uff0c\u5373\u76ee\u6807\u662f\u4e00\u4e2a\u6570\u5b57\uff0c\u90a3\u4e48\u6570\u636e\u5904\u7406\u5efa\u6a21\u7684\u8fc7\u7a0b\u57fa\u672c\u4e0a\u53ef\u4ee5\u88ab\u8f6c\u5316\u4e3a\u56de\u5f52\u95ee\u9898\uff0c\u5dee\u522b\u5728\u4e8e\u662f\u903b\u8f91\u56de\u5f52\u8fd8\u662f\u7ebf\u6027\u56de\u5f52\u3002<\/p>\n\n\n\n<p>\u5bf9\u4e8e\u76ee\u6807\u4e3a\u5e03\u5c14\u578b\u53d8\u91cf\u65f6\uff0c\u95ee\u9898\u5927\u591a\u6570\u88ab\u79f0\u4e3a\u5206\u7c7b\u95ee\u9898\uff0c\u800c\u5e38\u7528\u7684\u5efa\u6a21\u65b9\u6cd5\u662f\u51b3\u7b56\u6811\u65b9\u6cd5\u3002\u4e00\u822c\u6765\u8bf4\uff0c\u5f53\u5206\u7c7b\u7684\u76ee\u6807\u662f\u4e24\u4e2a\u7684\u65f6\u5019\uff0c\u95ee\u9898\u88ab\u8f6c\u5316\u4e3a\u4e8c\u5143\u5206\u7c7b\uff1b\u800c\u5206\u7c7b\u7684\u7ed3\u679c\u591a\u4e8e\u4e24\u4e2a\u7684\u65f6\u5019\uff0c\u5206\u7c7b\u79f0\u4e3a\u591a\u5143\u5206\u7c7b\u3002<\/p>\n\n\n\n<p>\u6570\u636e\u5904\u7406\u7684\u6570\u636e\u5f80\u5f80\u6765\u81ea\u4e8e\u73b0\u5b9e\u793e\u4f1a\uff0c\u56e0\u6b64\u53ef\u80fd\u6570\u636e\u96c6\u4e2d\u5927\u591a\u6570\u7684\u6570\u636e\u90fd\u4f1a\u6709\u67d0\u4e9b\u7279\u5f81\u5c5e\u6027\u7f3a\u5931\uff0c\u800c\u89e3\u51b3\u7684\u529e\u6cd5\u5f80\u5f80\u662f\u91c7\u7528\u5747\u503c\u6216\u8005\u4e0e\u76ee\u6807\u6570\u636e\u8fd1\u4f3c\u7684\u6570\u636e\u7279\u5f81\u5c5e\u6027\u66ff\u4ee3\u3002<\/p>\n\n\n\n<p>NumPy\u7cfb\u7edf\u662fPython\u7684\u4e00\u79cd\u5f00\u6e90\u7684\u6570\u503c\u8ba1\u7b97\u6269\u5c55\u3002\u8fd9\u79cd\u5de5\u5177\u53ef\u7528\u6765\u5b58\u50a8\u548c\u5904\u7406\u5927\u578b\u77e9\u9635\uff0c\u6bd4Python\u81ea\u8eab\u7684\u5d4c\u5957\u5217\u8868\uff08nested list structure\uff09\u7ed3\u6784\u8981\u9ad8\u6548\u5f97\u591a<\/p>\n\n\n\n<p>\u8ba1\u7b97\u6570\u636e\u96c6\u7684\u548c\u3001\u5747\u503c\u3001\u6807\u51c6\u5dee\u4ee5\u53ca\u65b9\u5dee<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">print(np.sum(col1))<br>print(np.mean(col1))<br>print(np.std(col1))<br>print(np.var(col1))<\/pre>\n\n\n\n<p>\u56fe\u5f62\u5316\u6570\u636e\u5904\u7406\u2014\u2014Matplotlib\u5305\u7684\u4f7f\u7528<\/p>\n\n\n\n<p>$pip install pylab<\/p>\n\n\n\n<p>$pip install scipy<\/p>\n\n\n\n<p>$pip install matplotlib<\/p>\n\n\n\n<p>\u753b\u56fe<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">import numpy as np\nimport scipy.stats as stats\nimport matplotlib.pylab as pylab\n\n\ndata = np.mat([[1,200,105,3,False],[2,165,80,2,False],[3,184.5,120,2,False],\n               [4,116,70.8,1,False],[5,270,150,4,True]])\n\ncol1 = []\nfor row in data:\n    print(row)\n    col1.append(row[0, 1])\n\nstats.probplot(col1, plot=pylab)\npylab.show()\n<\/pre>\n\n\n\n<p>scipy\u662f\u4e13\u95e8\u8fdb\u884c\u6570\u636e\u5904\u7406\u7684\u6570\u636e\u5904\u7406\u5305\uff0cprobplot\u8ba1\u7b97\u4e86col1\u6570\u636e\u96c6\u4e2d\u6570\u636e\u5728\u6b63\u6001\u5206\u5e03\u4e0b\u7684\u504f\u79bb\u7a0b\u5ea6\u3002<\/p>\n\n\n\n<p>\u4e0d\u540c\u7684\u5c5e\u6027\u5bf9\u4e8e\u6570\u636e\u5904\u7406\u6765\u8bf4\uff0c\u9700\u8981\u4e00\u4e2a\u7edf\u4e00\u7684\u5ea6\u91cf\u8fdb\u884c\u8ba1\u7b97\uff0c\u5373\u9700\u8981\u5bf9\u5176\u76f8\u4f3c\u5ea6\u8fdb\u884c\u8ba1\u7b97\u3002\u5e38\u7528\u7684\u4e24\u79cd\uff0c\u5373<strong>\u6b27\u51e0\u91cc\u5f97\u76f8\u4f3c\u5ea6\u8ba1\u7b97\u548c\u4f59\u5f26\u76f8\u4f3c\u5ea6\u8ba1\u7b97<\/strong><\/p>\n\n\n\n<p>\u6b27\u51e0\u91cc\u5f97\u8ddd\u79bb\uff08Euclidean Distance\uff09\u662f\u6700\u5e38\u7528\u7684\u8ba1\u7b97\u8ddd\u79bb\u7684\u516c\u5f0f\uff0c\u5b83\u7528\u6765\u8868\u793a\u4e09\u7ef4\u7a7a\u95f4\u4e2d\u4e24\u4e2a\u70b9\u7684\u771f\u5b9e\u8ddd\u79bb\u3002\u6b27\u51e0\u91cc\u5f97\u76f8\u4f3c\u5ea6\u8ba1\u7b97\u662f\u4e00\u79cd\u57fa\u4e8e\u7528\u6237\u4e4b\u95f4\u76f4\u7ebf\u8ddd\u79bb\u7684\u8ba1\u7b97\u65b9\u5f0f\u3002\u5728\u76f8\u4f3c\u5ea6\u8ba1\u7b97\u4e2d\uff0c\u4e0d\u540c\u7684\u7269\u54c1\u6216\u8005\u7528\u6237\u53ef\u4ee5\u5c06\u5176\u5b9a\u4e49\u4e3a\u4e0d\u540c\u7684\u5750\u6807\u70b9\uff0c\u800c<strong>\u5c06\u7279\u5b9a\u76ee\u6807\u5b9a\u4f4d\u4e3a\u5750\u6807\u539f\u70b9<\/strong>\u3002\u4f7f\u7528\u6b27\u51e0\u91cc\u5f97\u8ddd\u79bb\u8ba1\u7b97\u4e24\u4e2a\u70b9\u4e4b\u95f4\u7684\u7edd\u5bf9\u8ddd\u79bb\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"283\" height=\"80\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-4.png\" alt=\"\" class=\"wp-image-98527\"\/><\/figure>\n\n\n\n<p>\u6b27\u51e0\u91cc\u5f97\u7684\u8ba1\u7b97\u6570\u503c\u4e0e\u6700\u7ec8\u7684\u76f8\u4f3c\u5ea6\u8ba1\u7b97\u6210\u53cd\u6bd4\uff0c\u6b27\u6c0f\u8ddd\u79bb\u8d8a\u5c0f\uff0c\u4e24\u7ec4\u6570\u636e\u76f8\u4f3c\u5ea6\u5c31\u8d8a\u5927\uff0c\u6b27\u6c0f\u8ddd\u79bb\u8d8a\u5927\uff0c\u4e24\u7ec4\u6570\u636e\u76f8\u4f3c\u5ea6\u5c31\u8d8a\u5c0f\u3002\u56e0\u6b64\uff0c\u5728\u5b9e\u9645\u4e2d\u5f80\u5f80\u4f7f\u7528\u6b27\u51e0\u91cc\u5f97\u8ddd\u79bb\u7684\u5012\u6570\u4f5c\u4e3a\u76f8\u4f3c\u5ea6\u8ba1\u7b97\u7684\u8fd1\u4f3c\u503c\uff0c\u5373\u4f7f\u75281\/(d+1)\u4f5c\u4e3a\u8fd1\u4f3c\u503c\u3002<\/p>\n\n\n\n<p>\u4e0e\u6b27\u51e0\u91cc\u5f97\u8ddd\u79bb\u76f8\u7c7b\u4f3c\uff0c\u4f59\u5f26\u76f8\u4f3c\u5ea6\u4e5f\u5c06\u7279\u5b9a\u76ee\u6807\uff08\u7269\u54c1\u6216\u8005\u7528\u6237\uff09\u4f5c\u4e3a\u5750\u6807\u4e0a\u7684\u70b9\uff0c\u4f46\u4e0d\u662f\u5750\u6807\u539f\u70b9\uff0c\u4e0e\u7279\u5b9a\u7684\u8ba1\u7b97\u76ee\u6807\u8fdb\u884c\u5939\u89d2\u8ba1\u7b97<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"498\" height=\"233\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-5.png\" alt=\"\" class=\"wp-image-98529\"\/><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"421\" height=\"318\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-6.png\" alt=\"\" class=\"wp-image-98532\"\/><\/figure>\n\n\n\n<p>\u6b27\u51e0\u91cc\u5f97\u76f8\u4f3c\u5ea6\u4ee5\u76ee\u6807\u7edd\u5bf9\u8ddd\u79bb\u4f5c\u4e3a\u8861\u91cf\u7684\u6807\u51c6\uff0c\u800c\u4f59\u5f26\u76f8\u4f3c\u5ea6\u4ee5\u76ee\u6807\u5dee\u5f02\u7684\u5927\u5c0f\u4f5c\u4e3a\u8861\u91cf\u6807\u51c6\u3002\u6b27\u51e0\u91cc\u5f97\u76f8\u4f3c\u5ea6\u6ce8\u91cd\u76ee\u6807\u4e4b\u95f4\u7684\u5dee\u5f02\uff0c\u4e0e\u76ee\u6807\u5728\u7a7a\u95f4\u4e2d\u7684\u4f4d\u7f6e\u76f4\u63a5\u76f8\u5173\u3002\u800c\u4f59\u5f26\u76f8\u4f3c\u5ea6\u662f\u4e0d\u540c\u76ee\u6807\u5728\u7a7a\u95f4\u4e2d\u7684\u5939\u89d2\uff0c\u66f4\u52a0\u8868\u73b0\u5728\u524d\u8fdb\u8d8b\u52bf\u4e0a\u7684\u5dee\u5f02\u3002<\/p>\n\n\n\n<p>\u6b27\u51e0\u91cc\u5f97\u76f8\u4f3c\u5ea6\u7528\u4ee5\u8868\u73b0\u4e0d\u540c\u76ee\u6807\u7684\u7edd\u5bf9\u5dee\u5f02\u6027\uff0c\u4ece\u800c\u5206\u6790\u76ee\u6807\u4e4b\u95f4\u7684\u76f8\u4f3c\u5ea6\u4e0e\u5dee\u5f02\u60c5\u51b5\u3002\u800c\u4f59\u5f26\u76f8\u4f3c\u5ea6\u66f4\u591a\u7684\u662f\u5bf9\u76ee\u6807\u4ece\u65b9\u5411\u8d8b\u52bf\u4e0a\u533a\u5206\uff0c\u5bf9\u7279\u5b9a\u5750\u6807\u6570\u5b57\u4e0d\u654f\u611f\u3002<\/p>\n\n\n\n<p>\u5728\u5206\u6790\u7528\u6237\u76f8\u4f3c\u5ea6\u65f6\uff0c\u66f4\u591a\u7684\u662f\u4f7f\u7528\u6b27\u51e0\u91cc\u5f97\u76f8\u4f3c\u5ea6\u800c\u4e0d\u662f\u4f59\u5f26\u76f8\u4f3c\u5ea6\u5bf9\u5176\u8fdb\u884c\u8ba1\u7b97\u3002\u4f59\u5f26\u76f8\u4f3c\u5ea6\u66f4\u597d\u5730\u533a\u5206\u4e86\u7528\u6237\u7684\u5206\u79bb\u72b6\u6001\u3002<\/p>\n\n\n\n<p>\u56db\u5206\u4f4d\u56fe\u662f\u4e00\u4e2a\u4ee5\u66f4\u597d\u3001\u66f4\u76f4\u89c2\u7684\u65b9\u5f0f\u6765\u8bc6\u522b\u6570\u636e\u4e2d\u5f02\u5e38\u503c\u7684\u65b9\u6cd5\uff0c\u6bd4\u8d77\u6570\u636e\u5904\u7406\u7684\u5176\u4ed6\u65b9\u5f0f\uff0c\u5b83\u80fd\u591f\u66f4\u6709\u6548\u5730\u8ba9\u5206\u6790\u4eba\u5458\u5224\u65ad\u79bb\u7fa4\u503c\u3002<\/p>\n\n\n\n<p>\u6570\u636e\u7684\u6807\u51c6\u5316\u662f\u5c06\u6570\u636e\u6839\u636e\u81ea\u8eab\u4e00\u5b9a\u6bd4\u4f8b\u8fdb\u884c\u5904\u7406\uff0c\u4f7f\u4e4b\u843d\u5165\u4e00\u4e2a\u5c0f\u7684\u7279\u5b9a\u533a\u95f4\uff0c\u4e00\u822c\u4e3a(-1,1)\u4e4b\u95f4\u3002\u76ee\u7684\u662f\u53bb\u9664\u6570\u636e\u7684\u5355\u4f4d\u9650\u5236\uff0c\u5c06\u5176\u8f6c\u5316\u4e3a\u65e0\u91cf\u7eb2\u7684\u7eaf\u6570\u503c\uff0c\u4f7f\u5f97\u4e0d\u540c\u5355\u4f4d\u6216\u91cf\u7ea7\u7684\u6307\u6807\u80fd\u591f\u8fdb\u884c\u6bd4\u8f83\u548c\u52a0\u6743\uff0c\u5176\u4e2d\u6700\u5e38\u7528\u7684\u5c31\u662f0-1\u6807\u51c6\u5316\uff080-1 normalization\uff09\u548cZ-score\u6807\u51c6\u5316\uff08zero-mean normalization\uff09\u3002<\/p>\n\n\n\n<p>0-1\u6807\u51c6\u5316\u4e5f\u53eb\u79bb\u5dee\u6807\u51c6\u5316\uff0c\u662f\u5bf9\u539f\u59cb\u6570\u636e\u7684\u7ebf\u6027\u53d8\u6362\uff0c\u4f7f\u7ed3\u679c\u843d\u5230[0,1]\u533a\u95f4<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"186\" height=\"59\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-7.png\" alt=\"\" class=\"wp-image-98556\"\/><\/figure>\n\n\n\n<p>Z-score\u6807\u51c6\u5316\u4e5f\u53eb\u6807\u51c6\u5dee\u6807\u51c6\u5316\uff0c\u7ecf\u8fc7\u5904\u7406\u7684\u6570\u636e\u7b26\u5408\u6807\u51c6\u6b63\u6001\u5206\u5e03\uff0c\u5373\u5747\u503c\u4e3a0\uff0c\u6807\u51c6\u5dee\u4e3a1<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"133\" height=\"55\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-8.png\" alt=\"\" class=\"wp-image-98557\"\/><\/figure>\n\n\n\n<p>\u03bc\u4e3a\u6240\u6709\u6837\u672c\u6570\u636e\u7684\u5747\u503c\uff0c\u03c3\u4e3a\u6240\u6709\u6837\u672c\u6570\u636e\u7684\u6807\u51c6\u5dee\u3002<\/p>\n\n\n\n<p>\u5bf9\u4e8e\u6bcf\u79cd\u5355\u72ec\u7684\u6570\u636e\u5c5e\u6027\u6765\u8bf4\uff0c\u53ef\u4ee5\u901a\u8fc7\u6570\u636e\u7684\u56db\u5206\u4f4d\u6cd5\u8fdb\u884c\u5904\u7406\u3001\u67e5\u627e\u548c\u5bfb\u627e\u79bb\u7fa4\u503c\uff0c\u4ece\u800c\u5bf9\u5176\u8fdb\u884c\u5206\u6790\u5904\u7406\u3002\u4f46\u662f\u5bf9\u4e8e\u5c5e\u6027\u4e4b\u95f4\u7684\u6a2a\u5411\u6bd4\u8f83\uff0c\u6bcf\u4e2a\u76ee\u6807\u884c\u5c5e\u6027\u4e4b\u95f4\u7684\u6bd4\u8f83\uff0c\u4f7f\u7528\u56db\u5206\u4f4d\u6cd5\u5219\u8f83\u96be\u5224\u65ad<\/p>\n\n\n\n<p><strong>\u5e73\u884c\u5750\u6807\uff08Parallel Coordinates\uff09<\/strong>\u662f\u4e00\u79cd\u5e38\u7528\u7684\u53ef\u89c6\u5316\u65b9\u6cd5\uff0c\u7528\u4e8e\u5bf9\u9ad8\u7ef4\u51e0\u4f55\u548c\u591a\u5143\u6570\u636e\u8fdb\u884c\u53ef\u89c6\u5316\u3002<\/p>\n\n\n\n<p>\u70ed\u70b9\u56fe\u662f\u4e00\u79cd\u5224\u65ad\u5c5e\u6027\u76f8\u5173\u6027\u7684\u5e38\u7528\u65b9\u6cd5\uff0c\u6839\u636e\u4e0d\u540c\u76ee\u6807\u884c\u6570\u636e\u5bf9\u5e94\u7684\u6570\u636e\u76f8\u5173\u6027\u8fdb\u884c\u68c0\u6d4b\u3002<\/p>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp4 \u6398\u91d1\u91cf\u5316<\/h2>\n\n\n\n<p>\u4e0b\u8f7d\u5730\u5740\uff1a<a href=\"https:\/\/www.myquant.cn\/\">https:\/\/www.myquant.cn\/<\/a><\/p>\n\n\n\n<p>\u4f7f\u7528\u6398\u91d1\u91cf\u5316\u76f8\u6bd4\u8f83\u5176\u4ed6\u5e73\u53f0\u7684\u597d\u5904\u5728\u4e8e\uff0c\u53ef\u4ee5\u4f7f\u7528Python IDE\u7f16\u8f91\u5668\u8fdb\u884c\u6570\u636e\u5904\u7406\u548c\u7f16\u8f91\uff0c\u5e76\u901a\u8fc7\u6398\u91d1\u7ec8\u7aef\u83b7\u53d6\u56de\u6d4b\u7ed3\u679c\u3002<\/p>\n\n\n\n<p>\u624b\u52a8\u4e0b\u8f7dSDK<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"828\" height=\"224\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-9.png\" alt=\"\" class=\"wp-image-98602\"\/><\/figure>\n\n\n\n<blockquote class=\"wp-block-quote\"><p>$ python.exe -m pip install gm -i https:\/\/pypi.doubanio.com\/simple<\/p><p><\/p><\/blockquote>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"520\" height=\"329\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-10.png\" alt=\"\" class=\"wp-image-98603\"\/><\/figure>\n\n\n\n<p>\u70b9\u51fb\u6211\u7684\u7b56\u7565\u53ef\u67e5\u770b\u56de\u6d4b\u8bb0\u5f55<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"1408\" height=\"228\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-11.png\" alt=\"\" class=\"wp-image-98604\"\/><\/figure>\n\n\n\n<p>\u70b9\u51fb\u53ef\u67e5\u770b\u8be6\u60c5<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"1454\" height=\"984\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-12.png\" alt=\"\" class=\"wp-image-98605\"\/><\/figure>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"1695\" height=\"713\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-13.png\" alt=\"\" class=\"wp-image-98611\"\/><\/figure>\n\n\n\n<p>\u8fd9\u73a9\u610f\u597d\u50cf\u4e0d\u600e\u4e48\u7075\u5149\u554a\uff0c\u4e00\u5e74\u4e8f3\uff0c4\u4e2a\u70b9\uff0c\u7565\u597d\u4e8e\u6307\u6570<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp5 TA-Lib\u91d1\u878d\u5e93\u4f7f\u7528\u8be6\u89e3<\/h2>\n\n\n\n<p style=\"text-align:left\">\u5b98\u7f51\u79f0\u5176\u4e3aTA-Lib \u6280\u672f\u5206\u6790\u5e93\uff0c\u662f\u4e00\u79cd\u4ee5Python\u4e3a\u57fa\u7840\u7684\u5e7f\u6cdb\u7528\u4e8e\u91cf\u5316\u4ea4\u6613\u4e2d\u5bf9\u91d1\u878d\u5e02\u573a\u6570\u636e\u8fdb\u884c\u5206\u6790\u7684\u51fd\u6570\u5e93\u3002Technical Analysis Library\uff0c\u4e3b\u8981\u529f\u80fd\u662f\u8ba1\u7b97\u884c\u60c5\u6570\u636e\u7684\u6280\u672f\u5206\u6790\u6307\u6807\uff0c\u7528\u6765\u5f00\u53d1\u6280\u672f\u5206\u6790\u7b56\u7565<\/p>\n\n\n\n<p>\u5b98\u7f51\uff1a<a href=\"https:\/\/www.ta-lib.org\/\">https:\/\/www.ta-lib.org\/<\/a><\/p>\n\n\n\n<p><a href=\"https:\/\/pypi.org\/project\/TA-Lib\/\">https:\/\/pypi.org\/project\/TA-Lib\/<\/a><\/p>\n\n\n\n<p>\u5ffd\u7565\u4e00\u4e0b\u8fd9\u4e2a\u4e0d\u77e5\u9053\u54ea\u4e00\u5bb6\u7684 \u6587\u6863\uff1ahttps:\/\/technical-analysis-library-in-python.readthedocs.io\/en\/latest\/ <\/p>\n\n\n\n<p>\n\u5b89\u88c5 \uff1a<code>pip install TA-Lib<\/code><\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"662\" height=\"201\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-14.png\" alt=\"\" class=\"wp-image-98701\"\/><\/figure>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"707\" height=\"281\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-15.png\" alt=\"\" class=\"wp-image-98704\"\/><\/figure>\n\n\n\n<p><a href=\"https:\/\/github.com\/mrjbq7\/ta-lib\">https:\/\/github.com\/mrjbq7\/ta-lib<\/a><\/p>\n\n\n\n<p>\u5b89\u88c5<\/p>\n\n\n\n<h5 class=\"wp-block-heading\">Windows<\/h5>\n\n\n\n<p>Download&nbsp;<a href=\"http:\/\/prdownloads.sourceforge.net\/ta-lib\/ta-lib-0.4.0-msvc.zip\">ta-lib-0.4.0-msvc.zip<\/a>&nbsp;and unzip to&nbsp;<code>C:\\ta-lib<\/code>.<\/p>\n\n\n\n<p>This is a 32-bit binary release. If you want to use 64-bit Python, you will need to build a 64-bit version of the library. Some unofficial (<strong>and unsupported<\/strong>) instructions for building on 64-bit Windows 10, here for reference:<\/p>\n\n\n\n<ol><li>Download and Unzip&nbsp;<code>ta-lib-0.4.0-msvc.zip<\/code><\/li><li>Move the Unzipped Folder&nbsp;<code>ta-lib<\/code>&nbsp;to&nbsp;<code>C:\\<\/code><\/li><li>Download and Install Visual Studio Community 2015<ul><li>Remember to Select&nbsp;<code>[Visual C++]<\/code>&nbsp;Feature<\/li><\/ul><\/li><li>Build TA-Lib Library<ul><li>From Windows Start Menu, Start&nbsp;<code>[VS2015 x64 Native Tools Command Prompt]<\/code><\/li><li>Move to&nbsp;<code>C:\\ta-lib\\c\\make\\cdr\\win32\\msvc<\/code><\/li><li>Build the Library&nbsp;<code>nmake<\/code><\/li><\/ul><\/li><\/ol>\n\n\n\n<p>You might also try these unofficial windows binaries for both 32-bit and 64-bit:<\/p>\n\n\n\n<p><a href=\"https:\/\/www.lfd.uci.edu\/~gohlke\/pythonlibs\/#ta-lib\">https:\/\/www.lfd.uci.edu\/~gohlke\/pythonlibs\/#ta-lib<\/a><\/p>\n\n\n\n<p>\u4e0b\u8f7d\u4e86\u4e00\u4e2a <a href=\"javascript:;\">TA_Lib\u20110.4.24\u2011cp38\u2011cp38\u2011win_amd64.whl<\/a> \u5305<\/p>\n\n\n\n<p>$pip install wheel<\/p>\n\n\n\n<p>\u5b89\u88c5whl\u5305 $pip install TA_Lib\u20110.4.24\u2011cp38\u2011cp38\u2011win_amd64.whl  <\/p>\n\n\n\n<p>\u4e0e\u6398\u91d1\u91cf\u5316\u6570\u636e\u5e93\u8fdb\u884c\u901a\u4fe1\u5fc5\u987b\u4f7f\u7528\u5bf9\u5e94\u7684\u8d26\u6237\u4e0e\u5bc6\u7801<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"987\" height=\"770\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-16.png\" alt=\"\" class=\"wp-image-98712\"\/><\/figure>\n\n\n\n<p>\u53d6\u5f97\u65e5\u5747\u7ebf talib.MA()<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"576\" height=\"401\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-17.png\" alt=\"\" class=\"wp-image-98713\"\/><\/figure>\n\n\n\n<p>EXPMA\u6307\u6807\uff0c\u662f\u4e00\u79cd\u8d8b\u5411\u7c7b\u6307\u6807\uff0c\u662f\u4ee5\u6307\u6570\u5f0f\u9012\u51cf\u52a0\u6743\u7684\u79fb\u52a8\u5e73\u5747\u3002<\/p>\n\n\n\n<p>\u5bf9\u5e94\u51fd\u6570\uff1atalib.EMA()<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"504\" height=\"161\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-18.png\" alt=\"\" class=\"wp-image-98716\"\/><\/figure>\n\n\n\n<p>MACD\u79f0\u4e3a\u6307\u6570\u5e73\u6ed1\u79fb\u52a8\u5e73\u5747\u7ebf\uff0c\u662f\u91d1\u878d\u5206\u6790\u6307\u6807\u4e2d\u5e38\u7528\u7684\u4e00\u4e2a\u6570\u636e\u6307\u6807\uff0c\u7528\u4e8e\u5bf9\u80a1\u7968\u8d8b\u52bf\u7684\u5206\u6790<\/p>\n\n\n\n<p> \u5bf9\u5e94\u51fd\u6570\uff1amacd, signal, hist = talib.MACD(close)<\/p>\n\n\n\n<p>macd, signal, hist = talib.MACD(close, fastperiod=x, slowperiod=y<br> signalperiod=z)<\/p>\n\n\n\n<p>\u753b\u51fa\u56fe\u6765\uff0c\u957f\u5f97\u548c\u80a1\u7968\u8f6f\u4ef6\u91cc\u7684\u8fd8\u662f\u633a\u8c61\u7684\uff0c<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"709\" height=\"847\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-19.png\" alt=\"\" class=\"wp-image-98724\"\/><\/figure>\n\n\n\n<p>\u5bf9\u4e8e\u4e0a\u6da8\u7684\u5feb\u6162\uff0c\u659c\u7387\u8868\u793a\u4e00\u6761\u76f4\u7ebf\uff08\u6216\u66f2\u7ebf\u7684\u5207\u7ebf\uff09\u5173\u4e8e\uff08\u6a2a\uff09\u5750\u6807\u8f74\u503e\u659c\u7a0b\u5ea6\u7684\u91cf\u3002\u5b83\u901a\u5e38\u7528\u76f4\u7ebf\uff08\u6216\u66f2\u7ebf\u7684\u5207\u7ebf\uff09\u4e0e\uff08\u6a2a\uff09\u5750\u6807\u8f74\u5939\u89d2\u7684\u6b63\u5207\uff0c\u6216\u4e24\u70b9\u7684\u7eb5\u5750\u6807\u4e4b\u5dee\u4e0e\u6a2a\u5750\u6807\u4e4b\u5dee\u7684\u6bd4\u6765\u8868\u793a\u3002<\/p>\n\n\n\n<p>\u4f7f\u7528diff\u51fd\u6570\u8ba1\u7b97MACD\u659c\u7387\u6570\u503c\u7684\u65b9\u6cd5<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">macd_gradient = np.diff(macd)<\/pre>\n\n\n\n<h3 class=\"wp-block-heading\">\u56de\u6d4b\u5b9e\u6218<\/h3>\n\n\n\n<p>init\u51fd\u6570\u662f\u56de\u6d4b\u7a0b\u5e8f\u7684\u521d\u59cb\u5316\u7a0b\u5e8f\uff0c\u5728\u8fd9\u91cc\u8fdb\u884c\u6570\u636e\u7684\u521d\u59cb\u5316\uff0c\u4ece\u672c\u4ee3\u7801\u6bb5\u4e2d\u53ef\u4ee5\u770b\u5230\uff0c\u8fd9\u91cc\u901a\u8fc7context\u521d\u59cb\u5316\u4e86\u76ee\u6807\u4ee3\u7801\u3001\u65f6\u95f4\u5468\u671f\u4ee5\u53ca\u6240\u9700\u8981\u8bfb\u53d6\u7684\u5b57\u5178\u3002\u6700\u540e\u901a\u8fc7schedule\u51fd\u6570\u5bf9\u56de\u6d4b\u7684\u6267\u884c\u89c4\u5219\u505a\u4e86\u8bbe\u5b9a\uff0c\u9009\u62e9\u4e86\u56de\u6d4b\u7b97\u6cd5\u4ee5\u53ca\u65f6\u95f4\u89c4\u5219\u3002<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">def init(context):\n    <em>#\u80a1\u7968\u4ee3\u7801 \u5b8b\u57ce\u6f14\u827a\n    <\/em>context.symbol = \"SZSE.300144\"\n    context.frequency = \"1d\"\n    context.fields = \"open,high,low,close\"\n    <em>#\u6bcf\u6b21\u8d2d\u4e70\u80a1\u6570\n    <\/em>context.volume = 2000\n\n    schedule(schedule_func=algo, date_rule=\"1d\", time_rule=\"09:35:00\")<\/pre>\n\n\n\n<p>\u56de\u6d4b\u7b56\u7565\u7684\u5173\u952e\u662f\u7b97\u6cd5\u7684\u8bbe\u5b9a\u3002\u6839\u636e\u4e0d\u540c\u7684\u91d1\u878d\u4ea7\u54c1\u5bf9\u8c61\u8bbe\u7f6e\u4e0d\u540c\u7684\u5206\u6790\u7b97\u6cd5\u4ece\u800c\u51b3\u5b9a\u4e70\u5356\u70b9\u3002<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">def algo(context):\n    now = context.now\n    last_day = get_previous_trading_date(\"SZSE\", now)\n\n\n    data = history_n(symbol=context.symbol, frequency=context.frequency, count=35,\n                 end_time=now, fields=context.fields, fill_missing=\"last\", adjust=ADJUST_PREV, df=True)\n\n    open = np.asarray((data[\"open\"].values))\n    high = np.asarray((data[\"high\"].values))\n    low = np.asarray((data[\"low\"].values))\n    close = np.asarray((data[\"close\"].values))\n    macd, _, _ = talib.MACD(close)\n    macd = macd[-1]\n\n    if macd &gt; 0:\n        order_volume(symbol=context.symbol, volume=context.volume, side=PositionSide_Long,\n                     order_type=OrderType_Market, position_effect=PositionEffect_Open)\n        print(\"\u4e70\u5165\")\n    elif macd &lt; 0:\n        print(\"\u5356\u51fa\")\n        order_volume(symbol=context.symbol, volume=context.volume, side=PositionSide_Short,\n                     order_type=OrderType_Market, position_effect=PositionEffect_Close)\n<\/pre>\n\n\n\n<p>\u4e3b\u65b9\u6cd5\u4e2d\u4e3b\u8981\u5bf9\u8d26\u6237\u4fe1\u606f\u3001Python\u4ee3\u7801\u7684\u540d\u79f0\u3001\u6267\u884c\u7684\u7c7b\u578b\u3001\u8d77\u6b62\u65f6\u95f4\u3001\u590d\u6743\u65b9\u6cd5\u8fdb\u884c\u8bbe\u5b9a\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>if __name__ == '__main__':\n    '''\n        strategy_id\u7b56\u7565ID, \u7531\u7cfb\u7edf\u751f\u6210\n        filename\u6587\u4ef6\u540d, \u8bf7\u4e0e\u672c\u6587\u4ef6\u540d\u4fdd\u6301\u4e00\u81f4\n        mode\u8fd0\u884c\u6a21\u5f0f, \u5b9e\u65f6\u6a21\u5f0f:MODE_LIVE\u56de\u6d4b\u6a21\u5f0f:MODE_BACKTEST\n        token\u7ed1\u5b9a\u8ba1\u7b97\u673a\u7684ID, \u53ef\u5728\u7cfb\u7edf\u8bbe\u7f6e-\u5bc6\u94a5\u7ba1\u7406\u4e2d\u751f\u6210\n        backtest_start_time\u56de\u6d4b\u5f00\u59cb\u65f6\u95f4\n        backtest_end_time\u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\n        backtest_adjust\u80a1\u7968\u590d\u6743\u65b9\u5f0f, \u4e0d\u590d\u6743:ADJUST_NONE\u524d\u590d\u6743:ADJUST_PREV\u540e\u590d\u6743:ADJUST_POST\n        backtest_initial_cash\u56de\u6d4b\u521d\u59cb\u8d44\u91d1\n        backtest_commission_ratio\u56de\u6d4b\u4f63\u91d1\u6bd4\u4f8b\n        backtest_slippage_ratio\u56de\u6d4b\u6ed1\u70b9\u6bd4\u4f8b\n        '''\n    run(strategy_id='d570d331-a218-11ec-9ce7-c46xxxx0',\n        filename='main.py',\n        mode=MODE_BACKTEST,\n        token='1d2786e4ef9b90911axxxx1a2573e7',\n        backtest_start_time='2021-01-01 08:00:00',\n        backtest_end_time='2021-12-31 16:00:00',\n        backtest_adjust=ADJUST_PREV,\n        backtest_initial_cash=500000,\n        backtest_commission_ratio=0.0003,\n        backtest_slippage_ratio=0.0001)<\/code><\/pre>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"1509\" height=\"433\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-20.png\" alt=\"\" class=\"wp-image-98778\"\/><\/figure>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"1170\" height=\"591\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-21.png\" alt=\"\" class=\"wp-image-98788\"\/><\/figure>\n\n\n\n<p><strong>\u56de\u6d4b\u7b56\u7565\u7684\u6838\u5fc3\u662f\u7b97\u6cd5\u7684\u4f7f\u7528<\/strong><\/p>\n\n\n\n<p>RSI\uff08\u76f8\u5bf9\u5f3a\u5f31\u6307\u6570\uff09\u662f\u901a\u8fc7\u6bd4\u8f83\u4e00\u6bb5\u65f6\u671f\u5185\u7684\u5e73\u5747\u6536\u76d8\u6da8\u6570\u548c\u5e73\u5747\u6536\u76d8\u8dcc\u6570\u6765\u5206\u6790\u5e02\u573a\u4e70\u6cbd\u76d8\u7684\u610f\u5411\u548c\u5b9e\u529b\uff0c\u4ece\u800c\u505a\u51fa\u672a\u6765\u5e02\u573a\u7684\u8d70\u52bf\u3002\u4e00\u822c\u771f\u5b9e\u4f7f\u7528\u65f6\u5224\u5b9a\u5f53RSI\u9ad8\u4e8e70\u65f6\uff0c\u80a1\u7968\u53ef\u4ee5\u88ab\u89c6\u4e3a\u8d85\u4e70\uff0c\u662f\u5356\u51fa\u7684\u65f6\u5019\u3002\u5f53RSI\u4f4e\u4e8e30\u65f6\uff0c\u80a1\u7968\u53ef\u4ee5\u88ab\u89c6\u4e3a\u8d85\u5356\uff0c\u662f\u4e70\u5165\u7684\u65f6\u5019\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"1149\" height=\"700\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-22.png\" alt=\"\" class=\"wp-image-98794\"\/><\/figure>\n\n\n\n<p>\u8fd9\u4e2a\u56de\u6d4b\u91cc\u7684\u624b\u7eed\u8d39\u597d\u50cf\u5c11\u4e86\u4e00\u70b9\u3002\u4e00\u5e74\u5f00\u4ed3\u6b21\u657016\u6b21\uff0c\u5e73\u4ed35\u6b21\uff0c\u4ea4\u6613\u6b21\u6570\u4e0d\u7b97\u591a\uff0c\u6536\u76ca\u738713%\uff0c\u8fd8\u662f\u4e0d\u9519\u7684\u3002<\/p>\n\n\n\n<p><\/p>\n\n\n\n<p>\u5e03\u6797\u7ebf\u6307\u6807\u5373BOLL\u6307\u6807\uff0c\u5176\u82f1\u6587\u5168\u79f0\u662fBollinger Bands\u3002\u5e03\u6797\u7ebf\u7531\u7ea6\u7ff0\u00b7\u5e03\u6797\u5148\u751f\u521b\u9020\uff0c\u5176\u5229\u7528\u7edf\u8ba1\u539f\u7406\u6c42\u51fa\u80a1\u4ef7\u7684\u6807\u51c6\u5dee\u4ee5\u53ca\u4fe1\u8d56\u533a\u95f4\uff0c\u4ece\u800c\u786e\u5b9a\u80a1\u4ef7\u7684\u6ce2\u52a8\u8303\u56f4\u53ca\u672a\u6765\u8d70\u52bf\uff0c\u5229\u7528\u6ce2\u5e26\u663e\u793a\u80a1\u4ef7\u7684\u5b89\u5168\u9ad8\u4f4e\u4ef7\u4f4d\uff0c\u56e0\u800c\u4e5f\u88ab\u79f0\u4e3a\u5e03\u6797\u5e26\u3002\u5e03\u6797\u7ebf\u8fd8\u53ef\u4ee5\u7528\u4e8e\u4e70\u5356\u70b9\u7684\u8bbe\u7f6e\uff0c\u5f53\u80a1\u4ef7\u9ad8\u4e8e\u8fd9\u4e2a\u6ce2\u52a8\u533a\u95f4\u65f6\uff0c\u5373\u7a81\u7834\u963b\u529b\u7ebf\uff0c\u8bf4\u660e\u80a1\u4ef7\u865a\u9ad8\uff0c\u6267\u884c\u5356\u51fa\u64cd\u4f5c\u3002\u800c\u80a1\u4ef7\u4f4e\u4e8e\u8fd9\u4e2a\u6ce2\u52a8\u533a\u95f4\uff0c\u5373\u8dcc\u7834\u652f\u6491\u7ebf\uff0c\u8bf4\u660e\u80a1\u4ef7\u865a\u4f4e\uff0c\u6267\u884c\u4e70\u5165\u3002<\/p>\n\n\n\n<p><\/p>\n\n\n\n<p>\u8f68\u9053\u7ebf\u662f\u8d8b\u52bf\u7ebf\u6982\u5ff5\u7684\u5ef6\u4f38\uff0c\u5f53\u80a1\u4ef7\u6cbf\u9053\u8d8b\u52bf\u4e0a\u6da8\u5230\u67d0\u4e00\u4ef7\u4f4d\u6c34\u51c6\u65f6\u4f1a\u9047\u5230\u963b\u529b\uff0c\u56de\u6863\u81f3\u67d0\u4e00\u6c34\u51c6\u65f6\u4ef7\u683c\u53c8\u83b7\u5f97\u652f\u6491\uff0c\u8f68\u9053\u7ebf\u5c31\u5728\u63a5\u9ad8\u70b9\u7684\u5ef6\u957f\u7ebf\u53ca\u63a5\u4f4e\u70b9\u7684\u5ef6\u957f\u7ebf\u4e4b\u95f4\u4e0a\u4e0b\u6765\u56de\uff0c\u5f53\u8f68\u9053\u7ebf\u786e\u7acb\u540e\uff0c\u80a1\u4ef7\u5c31\u53ef\u4ee5\u975e\u5e38\u5bb9\u6613\u5730\u627e\u51fa\u9ad8\u4f4e\u4ef7\u4f4d\u6240\u5728\uff0c\u6295\u8d44\u4eba\u53ef\u4f9d\u6b64\u5224\u65ad\u6765\u64cd\u4f5c\u80a1\u7968\u3002<\/p>\n\n\n\n<p><\/p>\n\n\n\n<p>Dual Thrust\u7b56\u7565<br> Dual Thrust\u7b80\u79f0DT\uff0c\u662fMichael Chalek\u572880\u5e74\u4ee3\u5f00\u53d1\u7684\uff0c\u5c5e\u4e8e\u5f00\u76d8\u533a\u95f4\u7a81\u7834\u7c7b\u4ea4\u6613\u7cfb\u7edf\uff0c\u4ee5\u4eca\u65e5\u5f00\u76d8\u4ef7\u52a0\uff0f\u51cf\u4e00\u5b9a\u6bd4\u4f8b\u7684\u6628\u65e5\u632f\u5e45\u786e\u5b9a\u4e0a\u4e0b\u8f68\uff0c\u3002\u65e5\u5185\u7a81\u7834\u4e0a\u8f68\u65f6\u5e73\u7a7a\u505a\u591a\uff0c\u7a81\u7834\u4e0b\u8f68\u65f6\u5e73\u591a\u505a\u7a7a\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"600\" height=\"431\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-23.png\" alt=\"\" class=\"wp-image-98802\"\/><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp6 \u591a\u56e0\u5b50\u7b56\u7565<\/h2>\n\n\n\n<p>\u56fd\u5185A\u80a1\u7684\u76f8\u5173\u56e0\u5b50<\/p>\n\n\n\n<p>1\uff0e\u89c4\u6a21\u56e0\u5b50\uff1a\u5c0f\u5e02\u503c\u56e0\u5b50<\/p>\n\n\n\n<p>2\uff0e\u6280\u672f\u56e0\u5b50\uff1a\u52a8\u91cf\u53cd\u8f6c\u56e0\u5b50\u3002\u52a8\u91cf\u53cd\u8f6c\u56e0\u5b50\u662f\u5178\u578b\u7684\u6280\u672f\u56e0\u5b50\uff0c\u6307\u7684\u662f\u5355\u4e2a\u6807\u7684\u6da8\u8dcc\u5e45\u5ea6\u7684\u53cd\u8f6c\u6548\u5e94\u660e\u663e\u3002<\/p>\n\n\n\n<p>3\uff0e\u9884\u6d4b\u56e0\u5b50\uff1a\u9884\u6d4b\u6536\u5165\u7684\u56e0\u5b50\u3002\u9884\u6d4b\u56e0\u5b50\u6307\u7684\u662f\u80fd\u591f\u9884\u6d4b\u4e0b\u4e00\u4e2a\u8d22\u52a1\u5468\u671f\u7684\u5404\u79cd\u56e0\u5b50\u3002<\/p>\n\n\n\n<p>\u4e5d\u7c7b\u56e0\u5b50<\/p>\n\n\n\n<p>\u89c4\u6a21\u56e0\u5b50\uff0c\u5982\u603b\u5e02\u503c\u3001\u6d41\u901a\u5e02\u503c\u3001\u81ea\u7531\u6d41\u901a\u5e02\u503c\u3002<br> \u4f30\u503c\u56e0\u5b50\uff0c\u5982\u5e02\u76c8\u7387\uff08TTM\uff09\u3001\u5e02\u51c0\u7387\u3001\u5e02\u9500\u7387\u3001\u5e02\u73b0\u7387\u3001\u4f01\u4e1a\u4ef7\u503c\u500d\u6570\u3002<br> \u6210\u957f\u56e0\u5b50\uff0c\u5982\u8425\u4e1a\u6536\u5165\u540c\u6bd4\u589e\u957f\u7387\u3001\u8425\u4e1a\u5229\u6da6\u540c\u6bd4\u589e\u957f\u7387\u3001\u5f52\u5c5e\u4e8e\u6bcd\u516c\u53f8\u7684\u8fd1\u5229\u6da6\u540c\u6bd4\u589e\u957f\u7387\u3001\u7ecf\u8425\u6d3b\u52a8\u4ea7\u751f\u7684\u73b0\u91d1\u6d41\u91d1\u989d\u540c\u6bd4\u589e\u957f\u7387\u3002<br> \u76c8\u5229\u56e0\u5b50\uff0c\u5982\u51c0\u8d44\u4ea7\u6536\u76ca\u7387\uff08ROE\uff09\u3001\u603b\u8d44\u4ea7\u62a5\u916c\u7387\uff08ROA\uff09\u3001\u9500\u552e\u6bdb\u5229\u7387\u3001\u9500\u552e\u51c0\u5229\u7387\u3002<\/p>\n\n\n\n<p>\u52a8\u91cf\u53cd\u8f6c\u56e0\u5b50\uff0c\u5982\u524d\u4e00\u4e2a\u6708\u6da8\u8dcc\u5e45\u3001\u524d2\u4e2a\u6708\u6da8\u8dcc\u5e45\u3001\u524d3\u4e2a\u6708\u6da8\u8dcc\u5e45\u3001\u524d6\u4e2a\u6708\u6da8\u8dcc\u5e45\u3002<br>\n\u4ea4\u6295\u56e0\u5b50\uff0c\u5982\u524d\u4e00\u4e2a\u6708\u65e5\u5747\u6362\u624b\u7387\u3002<br>\n\u6ce2\u52a8\u56e0\u5b50\uff0c\u5982\u524d\u4e00\u4e2a\u6708\u7684\u6ce2\u52a8\u7387\u3001\u524d\u4e00\u4e2a\u6708\u7684\u632f\u5e45\u3002<br>\n\u80a1\u4e1c\u56e0\u5b50\uff0c\u5982\u6237\u5747\u6301\u80a1\u6bd4\u4f8b\u3001\u6237\u5747\u6301\u80a1\u6bd4\u4f8b\u53d8\u5316\u3001\u673a\u6784\u6301\u80a1\u6bd4\u4f8b\u53d8\u5316\u3002<br>\n\u4e00\u81f4\u6027\u9884\u6d4b\u56e0\u5b50\uff0c\u5982\u7814\u62a5\u6216\u8005\u5206\u6790\u5e08\u9884\u6d4b\u5f53\u5e74\u51c0\u5229\u6da6\u589e\u957f\u7387\u3001\u4e3b\u8425\u4e1a\u52a1\u6536\u5165\u589e\u957f\u7387\u3001\u6700\u8fd1\u4e00\u4e2a\u6708\u9884\u6d4b\u51c0\u5229\u6da6\u4e0a\u8c03\u5e45\u5ea6\u3001\u6700\u8fd1\u4e00\u4e2a\u6708\u9884\u6d4b\u4e3b\u8425\u4e1a\u52a1\u6536\u5165\u4e0a\u8c03\u5e45\u5ea6\u3001\u6700\u8fd1\u4e00\u4e2a\u6708\u4e0a\u8c03\u8bc4\u7ea7\u5360\u6bd4<\/p>\n\n\n\n<p>\u9009\u53d6\u56e0\u5b50\u7684\u7b2c\u4e00\u6b65\u5c31\u662f\u4ece\u6398\u91d1\u91cf\u5316\u6240\u63d0\u4f9b\u7684\u8d22\u52a1\u6570\u636e\u8868\uff08\u6398\u91d1\u91cf\u5316\u4e3b\u754c\u9762\u2192\u5e2e\u52a9\u4e2d\u5fc3\u2192\u6570\u636e\u6587\u6863\uff09\u4e2d\u62bd\u53d6\u7279\u5b9a\u7684\u6570\u636e\u3002\u51fd\u6570\uff1aget_fundamentals_n()<\/p>\n\n\n\n<p>\u5efa\u7acb\u80a1\u7968\u6c60\uff1a get_history_constituents &#8211; \u67e5\u8be2\u6307\u6570\u6210\u4efd\u80a1\u7684\u5386\u53f2\u6570\u636e<\/p>\n\n\n\n<p>\u5728\u91d1\u878d\u7cfb\u7edf\u4e2d\u4ea7\u751f\u80fd\u591f\u8868\u8ff0\u67d0\u4e00\u65b9\u9762\u95ee\u9898\u7684<strong>\u56e0\u5b50<\/strong>\u8d8a\u6765\u8d8a\u591a\uff0c\u5927\u6982\u53ef\u4ee5\u5206\u4e3a\u4f30\u503c\u4e0e\u5e02\u503c\u7c7b\u56e0\u5b50\u3001\u507f\u503a\u80fd\u529b\u548c\u8d44\u672c\u7ed3\u6784\u7c7b\u56e0\u5b50\u3001\u5206\u6790\u5e08\u9884\u671f\u7c7b\u56e0\u5b50\u3001\u5747\u7ebf\u578b\u56e0\u5b50\u3001\u6210\u4ea4\u91cf\u578b\u56e0\u5b50\u3001\u6210\u957f\u80fd\u529b\u7c7b\u56e0\u5b50\u3001\u6bcf\u80a1\u6307\u6807\u56e0\u5b50\u3001\u73b0\u91d1\u6d41\u6307\u6807\u56e0\u5b50\u3001\u76c8\u5229\u80fd\u529b\u548c\u6536\u76ca\u8d28\u91cf\u7c7b\u56e0\u5b50\u3001\u80fd\u91cf\u578b\u56e0\u5b50\u3001\u8425\u8fd0\u80fd\u529b\u7c7b\u56e0\u5b50\u3001\u8d85\u4e70\u8d85\u5356\u578b\u56e0\u5b50\u3001\u8d8b\u52bf\u578b\u56e0\u5b50\u8fd9\u4e9b\u5927\u7c7b\u3002<\/p>\n\n\n\n<p><strong>\u56e0\u5b50IC\u6cd5<\/strong>\u6765\u81ea\u4e8e\u591a\u56e0\u5b50\u6a21\u578b\u7684\u6253\u5206\u6cd5\uff0c\u6307\u7684\u662f\u9009\u7528\u82e5\u5e72\u80fd\u591f\u5bf9\u80a1\u7968\u672a\u6765\u65f6\u95f4\u6bb5\u6536\u76ca\u4ea7\u751f\u9884\u6d4b\u4f5c\u7528\u7684\u56e0\u5b50\uff0c\u6839\u636e\u6bcf\u4e2a\u56e0\u5b50\u5728\u5bf9\u5e94\u4f4d\u7f6e\u7684\u72b6\u51b5\u7ed9\u51fa\u80a1\u7968\u5728\u8be5\u4f4d\u7f6e\u4e0a\u7684\u5f97\u5206\uff0c\u7136\u540e\u6309\u7167\u4e00\u5b9a\u7684\u6743\u91cd\u5c06\u5404\u4e2a\u56e0\u5b50\u7684\u5f97\u5206\u76f8\u52a0\uff0c\u4ece\u800c\u5f97\u5230\u8be5\u80a1\u7968\u5404\u4e2a\u56e0\u5b50\u7684\u6700\u7ec8\u5f97\u5206\u3002<br><\/p>\n\n\n\n<p>\u5728\u6253\u5206\u6a21\u578b\u4e2d\uff0c\u5404\u4e2a\u56e0\u5b50\u7684\u6743\u91cd\u8bbe\u5b9a\u548c\u8ba1\u7b97\u975e\u5e38\u91cd\u8981<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"373\" height=\"161\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-24.png\" alt=\"\" class=\"wp-image-98910\"\/><\/figure>\n\n\n\n<p>IC\u7684\u8ba1\u7b97\u516c\u5f0f\u5b9e\u9645\u4e0a\u5c31\u662f\u4e0d\u540c\u5e8f\u5217\u7684\u76f8\u5173\u7cfb\u6570\u7684\u8ba1\u7b97\uff0c\u90a3\u4e48IC\u503c\u7684\u8ba1\u7b97\u7528\u4e00\u53e5\u8bdd\u89e3\u91ca\u5c31\u662f\uff1a\u201cIC\u503c\u4e3a\u56e0\u5b50\u4e0e\u5bf9\u5e94\u7684\u4e0b\u671f\u6536\u76ca\u7387\u4e4b\u95f4\u7684\u5173\u7cfb\u201d<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>corr = np.corrcoef()<\/code><\/pre>\n\n\n\n<p><\/p>\n\n\n\n<p><strong>IC\u503c\u7684\u8ba1\u7b97\u65b9\u6cd5\uff0c\u5373\u56de\u5f52\u6cd5<\/strong>\u3002\u5c31\u662f\u7528\u8be5\u671f\u7684\u80a1\u7968\u6536\u76ca\u7387\u5bf9\u4e0a\u671f\u7684\u56e0\u5b50\u503c\u505a\u56de\u5f52\uff0c\u5e76\u7528\u8be5\u671f\u7684\u56e0\u5b50\u503c\u9884\u6d4b\u4e0b\u671f\u80a1\u7968\u7684\u6536\u76ca\u7387\uff0c\u53d6\u4e0b\u671f\u9884\u6d4b\u7684\u6536\u76ca\u7387\u548c\u4e0b\u671f\u5b9e\u9645\u6536\u76ca\u7387\u7684\u76f8\u5173\u7cfb\u6570\u3002<\/p>\n\n\n\n<p><\/p>\n\n\n\n<p>\u5728\u91cf\u5316\u5f62\u5f0f\u4e0a\uff0c\u6210\u957f\u578b\u6295\u8d44\u4e3b\u8981\u662f\u901a\u8fc7ROE\u3001ROA\u3001ROIC\u3001\u8425\u4e1a\u6536\u5165\u589e\u957f\u7387\u3001\u4e3b\u8425\u4e1a\u52a1\u5229\u6da6\u7387\u7b49\u53c2\u6570\u6765\u6316\u6398\u6210\u957f\u6027\u76f8\u5bf9\u66f4\u9ad8\u7684\u80a1\u7968\u3002<\/p>\n\n\n\n<p>\u6784\u5efa\u6210\u957f\u6a21\u578b\u3002\u5c06ROIC\u5217\u4e3a\u8d28\u91cf\u6307\u6807\uff0c\u53e6\u5916\u6784\u5efa\u5305\u62ecEBITG\uff08\u606f\u7a0e\u524d\u6536\u76ca\u589e\u957f\u7387\uff09\u3001NPG\uff08\u51c0\u5229\u6da6\u589e\u957f\u7387\uff09\u3001MPG\uff08\u4e3b\u8425\u5229\u6da6\u589e\u957f\u7387\uff09\u3001GPG\uff08\u6bdb\u5229\u6da6\u589e\u957f\u7387\uff09\u3001OPG\uff08\u8425\u4e1a\u5229\u6da6\u589e\u957f\u7387\uff09\u3001OCG\uff08\u7ecf\u8425\u73b0\u91d1\u6d41\u589e\u957f\u7387\uff09\u3001NAG\uff08\u51c0\u8d44\u4ea7\u589e\u957f\u7387\uff09\u3001EPSG\uff08\u6bcf\u80a1\u6536\u76ca\u589e\u957f\u7387\uff09\u3001ROEG\uff08\u51c0\u8d44\u4ea7\u6536\u76ca\u7387\u589e\u957f\u7387\uff09\u3001GMPG\uff08\u6bdb\u5229\u7387\u589e\u957f\u7387\uff0910\u4e2a\u8003\u6838\u516c\u53f8\u6210\u957f\u80fd\u529b\u7684\u6307\u6807\u3002<\/p>\n\n\n\n<p>\u8981\u4f7f\u7528\u7684\u56e0\u5b50\uff1a\u51fd\u6570get_fundamentals_n()<\/p>\n\n\n\n<p>\u970d\u534e\u00b7\u7f57\u65af\u66fc\u8ba4\u4e3a\u53ea\u8981\u5728\u9002\u5f53\u7684\u4ef7\u683c\u4e70\u5165\u7a33\u5b9a\u4e14\u6301\u7eed\u6210\u957f\u83b7\u5229\u7684\u80a1\u7968\uff0c\u4e0d\u9700\u8981\u7ecf\u5e38\u66f4\u6362\u6301\u80a1\uff0c\u6295\u8d44\u62a5\u916c\u7387\u5fc5\u7136\u6307\u65e5\u53ef\u671f\u3002<\/p>\n\n\n\n<p>\u970d\u534e\u00b7\u7f57\u65af\u66fc\u5f3a\u8c03\u5176\u6295\u8d44\u98ce\u683c\u5728\u4e8e\u4e3a\u6295\u8d44\u5927\u4f17\u5efa\u7acb\u5747\u8861\u4e14\u4ee5\u6210\u957f\u4e3a\u5bfc\u5411\u7684\u6295\u8d44\u7ec4\u5408\u3002\u5176\u9009\u80a1\u65b9\u5f0f\u504f\u597d\u5927\u578b\u80a1\u3001\u7ba1\u7406\u826f\u597d\u4e14\u9886\u5bfc\u4ea7\u4e1a\u8d8b\u52bf\u4ee5\u53ca\u4ea7\u751f\u5b9e\u9645\u62a5\u916c\u7387\u7684\u516c\u53f8\uff0c\u4e0d\u4ec5\u91cd\u89c6\u516c\u53f8\u4ea7\u751f\u73b0\u91d1\u7684\u80fd\u529b\uff0c\u4e5f\u5f3a\u8c03\u6709\u7a33\u5b9a\u6210\u957f\u80fd\u529b\u7684\u91cd\u8981\u6027\u3002<\/p>\n\n\n\n<p>\uff081\uff09\u603b\u5e02\u503c\u5927\u4e8e\u7b49\u4e8e50\u4ebf\u7f8e\u5143\u3002\uff082\uff09\u826f\u597d\u7684\u8d22\u52a1\u7ed3\u6784\u3002\uff083\uff09\u8f83\u9ad8\u7684\u80a1\u4e1c\u6743\u76ca\u62a5\u916c\u3002\uff084\uff09\u62e5\u6709\u826f\u597d\u4e14\u6301\u7eed\u7684\u81ea\u7531\u73b0\u91d1\u6d41\u91cf\u3002\uff085\uff09\u7a33\u5b9a\u6301\u7eed\u7684\u8425\u6536\u6210\u957f\u7387\u3002\uff086\uff09\u4f18\u4e8e\u6bd4\u8f83\u6307\u6570\u7684\u76c8\u4f59\u62a5\u916c\u7387\u3002<\/p>\n\n\n\n<p>\u7528\u7a0b\u5e8f\u8bed\u8a00\u7ec4\u7ec7\u8d77\u6765\uff1a\uff081\uff09\u603b\u5e02\u503c\u2265\u5e02\u573a\u5e73\u5747\u503c*1.0\u3002\uff082\uff09\u6700\u8fd1\u4e00\u5b63\u6d41\u52a8\u6bd4\u7387\u2265\u884c\u4e1a\u5e73\u5747\u503c\u3002\uff083\uff09\u8fd1\u56db\u5b63\u80a1\u4e1c\u6743\u76ca\u62a5\u916c\u7387\u2265\u5e02\u573a\u5e73\u5747\u503c\u3002\uff084\uff09\u6700\u8fd1\u4e09\u5e74CPS\u22650\u4e14\u6700\u8fd1\u56db\u5b63CPS\u22650\u3002\uff085\uff09\u8fd1\u56db\u5b63\u8425\u6536\u6210\u957f\u7387\u4e3a6%\u81f330%\u3002\uff086\uff09\u8fd1\u56db\u5b63\u76c8\u4f59\u6210\u957f\u7387\u4e3a8%\u81f350%\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp7 \u5e26\u6280\u672f\u6307\u6807\u7684\u591a\u56e0\u5b50\u7b56\u7565<\/h2>\n\n\n\n<p>\u6280\u672f\u9762\u56e0\u5b50\u4f5c\u4e3a\u591a\u56e0\u5b50\u7b56\u7565\u7684\u91cd\u8981\u7ec4\u6210\u90e8\u5206\uff0c\u5df2\u7ecf\u8d8a\u6765\u8d8a\u591a\u5730\u88ab\u91cf\u5316\u57fa\u91d1\u548c\u7a0b\u5e8f\u8bbe\u8ba1\u4eba\u5458\u6240\u4f7f\u7528\u3002\u5176\u4e3b\u8981\u4f5c\u7528\u662f\u4f5c\u4e3a\u57fa\u672c\u9762\u9009\u80a1\u7684\u4e00\u4e2a\u91cd\u8981\u8865\u5145\uff0c\u89e3\u51b3\u4e86\u57fa\u672c\u9762\u9009\u80a1\u7b56\u7565\u4e2d\u5bf9\u4e70\u5165\u65f6\u673a\u7684\u9009\u62e9\u6709\u6240\u6b20\u7f3a\u7684\u95ee\u9898\u3002<\/p>\n\n\n\n<p>\u57fa\u672c\u9762\u56e0\u5b50\u672c\u8d28\u6765\u6e90\u4e8e\u516c\u53f8\u7684\u8d22\u52a1\u3001\u4f9b\u9500\u3001\u5229\u6da6\u4ee5\u53ca\u4ea7\u51fa<\/p>\n\n\n\n<p>\u6280\u672f\u9762\u56e0\u5b50\u7684\u7ec4\u5408\u8ba1\u7b97\u66f4\u591a\u6d89\u53ca\u6570\u5b66\u3001\u7edf\u8ba1\u7b49<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"748\" height=\"794\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-26.png\" alt=\"\" class=\"wp-image-98978\"\/><\/figure>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"739\" height=\"539\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-27.png\" alt=\"\" class=\"wp-image-98979\"\/><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<p>\u4e00\u4e2a\u56de\u6d4b\u6210\u529f\u7387100%\u7684\u4e2d\u957f\u7ebf\u4e70\u5356\u4f8b\u5b50<\/p>\n\n\n\n<p>\u4e70\u70b9\uff1a<\/p>\n\n\n\n<p>\u627e\u5230\u6628\u5929\u4e4b\u524d\u6210\u4ea4\u91cf\u5927\u4e8e\u6628\u5929\u7684\u6210\u4ea4\u91cf\uff080.8\u500d\uff09\uff0c\u8fd9\u4e2a\u533a\u95f4\u7684\u5929\u6570\u5927\u4e8e30\u5929\u3002<\/p>\n\n\n\n<p>\u6628\u5929\u5355\u65e5\u6210\u4ea4\u91cf\u5927\u4e8e\u8be5\u533a\u95f4\u7684\u5e73\u5747\u6210\u4ea4\u91cf\u76842\u500d\u3002<\/p>\n\n\n\n<p>\u533a\u95f4\u4ef7\u683c\u6ce2\u52a8\u5c0f\u4e8e10%\u3002<\/p>\n\n\n\n<p>\u5356\u70b9\uff1a<\/p>\n\n\n\n<p>5\u65e5\u5747\u7ebf\u503c\u8d85\u8fc730\u65e5\u5747\u7ebf\u503c\u768410%\u4e14\u6362\u624b\u7387\u5927\u4e8e15\u3002<br>\n5\u65e5\u5747\u7ebf\u503c\u8d85\u8fc730\u65e5\u5747\u7ebf\u503c\u768420%\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp8 \u4eba\u4eba\u90fd\u662f\u57fa\u91d1\u7ecf\u7406\u2014\u2014\u4e2d\u8bc1\u7ea2\u5229\u6307\u6570\u589e\u5f3a\u7b56\u7565<\/h2>\n\n\n\n<p>\u7ea2\u5229\u7b56\u7565\u6700\u521d\u53eb\u4f5c\u201c\u72d7\u80a1\u7b56\u7565\u201d\uff08Dogs of the Dow Theory\uff09\uff0c\u662f\u7531\u7f8e\u56fd\u57fa\u91d1\u7ecf\u7406\u8fc8\u514b\u5c14\u00b7\u5965\u5e0c\u91d1\u65af\u57281991\u5e74\u63d0\u51fa\u7684\u3002\u8be5\u7b56\u7565\u7684\u5177\u4f53\u505a\u6cd5\u662f\u6bcf\u5e74\u5e74\u5e95\u5728\u9053\u743c\u65af\u5de5\u4e1a\u5e73\u5747\u6307\u6570\u6210\u5206\u80a1\u4e2d\u627e\u51fa10\u53ea\u80a1\u606f\u7387\u6700\u9ad8\u7684\u80a1\u7968\uff0c\u65b0\u5e74\u4e70\u5165\uff0c\u4e00\u5e74\u540e\u6309\u80a1\u606f\u7387\u9ad8\u4f4e\u66f4\u65b0\u80a1\u7968\u6c60\uff0c\u5982\u6b64\u5faa\u73af\u5f80\u590d\u3002<\/p>\n\n\n\n<p>\u4e2d\u8bc1\u7ea2\u5229\u6307\u6570\u7b80\u79f0\u201c\u4e2d\u8bc1\u7ea2\u5229\u201d\uff0c\u6307\u6570\u4ee3\u7801\u4e3a000922\uff08\u4e0a\u6d77\uff09\/399922\uff08\u6df1\u5733\uff09<\/p>\n\n\n\n<p>\u5173\u6ce8\u3002<\/p>\n\n\n\n<p>\u80a1\u606f\u7387\uff1a\u80a1\u606f\u7387\uff08Dividend Yield Ratio\uff09\u662f\u4e00\u5e74\u7684\u603b\u6d3e\u606f\u989d\u4e0e\u5f53\u65f6\u5e02\u4ef7\u7684\u6bd4\u4f8b\u3002\u4ee5\u5360\u80a1\u7968\u6700\u540e\u9500\u552e\u4ef7\u683c\u7684\u767e\u5206\u6570\u8868\u793a\u5e74\u5ea6\u80a1\u606f\uff0c\u8be5\u6307\u6807\u662f\u6295\u8d44\u6536\u76ca\u7387\u7684\u7b80\u5316\u5f62\u5f0f\u3002\u80a1\u606f\u7387\u662f\u80a1\u606f\u4e0e\u80a1\u7968\u4ef7\u683c\u4e4b\u95f4\u7684\u6bd4\u7387\u3002\u5728\u6295\u8d44\u5b9e\u8df5\u4e2d\uff0c\u80a1\u606f\u7387\u662f\u8861\u91cf\u4f01\u4e1a\u662f\u5426\u5177\u6709\u6295\u8d44\u4ef7\u503c\u7684\u91cd\u8981\u6807\u5c3a\u4e4b\u4e00\u3002<br> \u5e02\u51c0\u7387\uff1a\u5e02\u51c0\u7387\u6307\u7684\u662f\u6bcf\u80a1\u80a1\u4ef7\u4e0e\u6bcf\u80a1\u51c0\u8d44\u4ea7\u7684\u6bd4\u7387\u3002\u5e02\u51c0\u7387\u53ef\u7528\u4e8e\u80a1\u7968\u6295\u8d44\u5206\u6790\uff0c\u4e00\u822c\u6765\u8bf4\u5e02\u51c0\u7387\u8f83\u4f4e\u7684\u80a1\u7968\uff0c\u6295\u8d44\u4ef7\u503c\u8f83\u9ad8\uff0c\u76f8\u53cd\u5219\u6295\u8d44\u4ef7\u503c\u8f83\u4f4e\u3002\u4f46\u5728\u5224\u65ad\u6295\u8d44\u4ef7\u503c\u65f6\uff0c\u8fd8\u8981\u8003\u8651\u5f53\u65f6\u7684\u5e02\u573a\u73af\u5883\u4ee5\u53ca\u516c\u53f8\u7ecf\u8425\u60c5\u51b5\u3001\u76c8\u5229\u80fd\u529b\u7b49\u56e0\u7d20\u3002<br> \u5e02\u76c8\u7387\uff1a\u5e02\u76c8\u7387\uff08Price Earnings ratio\uff0c\u5373P\/E ratio\uff09\u4e5f\u79f0\u201c\u672c\u76ca\u6bd4\u201d\u201c\u80a1\u4ef7\u6536\u76ca\u6bd4\u7387\u201d\u6216\u201c\u5e02\u4ef7\u76c8\u5229\u6bd4\u7387\u201d\u3002<br> \u8d1d\u5854\u503c\uff1a\u4e0e\u5927\u76d8\u7684\u8054\u52a8\u6ce2\u52a8\u7387\u3002<br> \u81ea\u76f8\u5173\u6ce2\u52a8\u7387\uff1a\u81ea\u8eab\u7684\u6ce2\u52a8\u7387\u3002<\/p>\n\n\n\n<p>\u6784\u5efa\u4e00\u4e2a\u57fa\u4e8e\u6307\u6570\u7684\u6307\u6570\u589e\u5f3a\u7ec4\u5408\u7684\u6b65\u9aa4\u5982\u4e0b\uff1a<\/p>\n\n\n\n<p>\uff081\uff09\u6839\u636e\u81ea\u5df1\u7684\u76ee\u6807\u627e\u5230\u5bf9\u5e94\u7279\u5f81\u7684\u6307\u6570\u3002<\/p>\n\n\n\n<p>\uff082\uff09\u7efc\u5408\u91c7\u7528\u591a\u4e2a\u56e0\u5b50\u589e\u5f3a\u6307\u6570\u7684\u7279\u5f81\u3002<\/p>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp 9 \u56de\u5f52\u5206\u6790\u57fa\u7840<\/h2>\n\n\n\n<p>\u591a\u56e0\u5b50\u7b56\u7565\uff0c\u5c31\u662f\u6839\u636e\u5404\u4e2a\u56e0\u5b50\u7684\u5927\u5c0f\u5bf9\u80a1\u7968\u8fdb\u884c\u6253\u5206\uff0c\u7136\u540e\u6309\u7167\u4e00\u5b9a\u7684\u6743\u91cd\u52a0\u6743\u5f97\u5230\u4e00\u4e2a\u603b\u5206\uff0c\u6700\u540e\u6839\u636e\u603b\u5206\u518d\u5bf9\u80a1\u7968\u8fdb\u884c\u7b5b\u9009\u3002\u5bf9\u4e8e\u591a\u56e0\u5b50\u6a21\u578b\u7684\u8bc4\u4ef7\u800c\u8a00\uff0c\u5b9e\u9645\u4e0a\u901a\u8fc7\u8bc4\u5206\u6cd5\u56de\u6d4b\u51fa\u7684\u80a1\u7968\u7ec4\u5408\u6536\u76ca\u7387\uff0c\u5c31\u80fd\u591f\u5bf9\u5907\u9009\u7684\u9009\u80a1\u6a21\u578b\u505a\u51fa\u4f18\u52a3\u8bc4\u4ef7<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"353\" height=\"282\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-28.png\" alt=\"\" class=\"wp-image-98988\"\/><\/figure>\n\n\n\n<p>\u56de\u5f52\u5206\u6790\u9884\u6d4b\u6cd5\u662f\u5728\u5206\u6790\u5e02\u573a\u73b0\u8c61\u81ea\u53d8\u91cf\u548c\u56e0\u53d8\u91cf\u4e4b\u95f4\u76f8\u5173\u5173\u7cfb\u7684\u57fa\u7840\u4e0a\uff0c\u5efa\u7acb\u53d8\u91cf\u4e4b\u95f4\u7684\u56de\u5f52\u65b9\u7a0b\uff0c\u5e76\u5c06\u56de\u5f52\u65b9\u7a0b\u4f5c\u4e3a\u9884\u6d4b\u6a21\u578b\uff0c\u6839\u636e\u81ea\u53d8\u91cf\u5728\u9884\u6d4b\u671f\u7684\u6570\u91cf\u53d8\u5316\u6765\u9884\u6d4b\u56e0\u53d8\u91cf\u5173\u7cfb\uff0c\u5927\u591a\u8868\u73b0\u4e3a\u76f8\u5173\u5173\u7cfb\u3002<\/p>\n\n\n\n<p>\u5728\u5904\u7406\u6d4b\u91cf\u6570\u636e\u65f6\uff0c\u7ecf\u5e38\u8981\u7814\u7a76\u53d8\u91cf\u4e4b\u95f4\u7684\u5173\u7cfb\u3002\u53d8\u91cf\u4e4b\u95f4\u7684\u5173\u7cfb\u4e00\u822c\u5206\u4e3a\u4e24\u79cd\uff0c\u4e00\u79cd\u662f\u5b8c\u5168\u786e\u5b9a\u5173\u7cfb\uff0c\u5373<strong>\u51fd\u6570\u5173\u7cfb<\/strong>\uff1b\u53e6\u4e00\u79cd\u662f<strong>\u76f8\u5173\u5173\u7cfb<\/strong>\uff0c\u5373\u53d8\u91cf\u4e4b\u95f4\u65e2\u5b58\u5728\u7740\u5bc6\u5207\u8054\u7cfb\uff0c\u4f46\u53c8\u4e0d\u80fd\u7531\u4e00\u4e2a\u6216\u591a\u4e2a\u53d8\u91cf\u7684\u503c\u6c42\u51fa\u53e6\u4e00\u4e2a\u53d8\u91cf\u7684\u503c\u3002<\/p>\n\n\n\n<p>\u5bf9\u4e8e\u5f7c\u6b64\u8054\u7cfb\u6bd4\u8f83\u7d27\u5bc6\u7684\u53d8\u91cf\uff0c\u4eba\u4eec\u603b\u5e0c\u671b\u5efa\u7acb\u4e00\u5b9a\u7684\u516c\u5f0f\uff0c\u4ee5\u4fbf\u53d8\u91cf\u4e4b\u95f4\u4e92\u76f8\u63a8\u6d4b\u3002\u56de\u5f52\u5206\u6790\u7684\u4efb\u52a1\u5c31\u662f\u7528\u6570\u5b66\u8868\u8fbe\u5f0f\u6765\u63cf\u8ff0\u76f8\u5173\u53d8\u91cf\u4e4b\u95f4\u7684\u5173\u7cfb\u3002<\/p>\n\n\n\n<p>\u56de\u5f52\u5206\u6790\u7684\u4efb\u52a1\u5c31\u662f\u7528\u6570\u5b66\u8868\u8fbe\u5f0f\u6765\u63cf\u8ff0\u76f8\u5173\u53d8\u91cf\u4e4b\u95f4\u7684\u5173\u7cfb\u3002<\/p>\n\n\n\n<p>\u5206\u4e3a\u4e00\u5143\u56de\u5f52\u5206\u6790\u9884\u6d4b\u6cd5\u548c\u591a\u5143\u56de\u5f52\u5206\u6790\u9884\u6d4b\u6cd5\u3002\u5728\u4e00\u5143\u56de\u5f52\u5206\u6790\u9884\u6d4b\u6cd5\u4e2d\uff0c\u81ea\u53d8\u91cf\u53ea\u6709\u4e00\u4e2a\uff0c\u800c\u5728\u591a\u5143\u56de\u5f52\u5206\u6790\u9884\u6d4b\u6cd5\u4e2d\uff0c\u81ea\u53d8\u91cf\u6709\u4e24\u4e2a\u4ee5\u4e0a\u3002\u4f9d\u636e\u81ea\u53d8\u91cf\u548c\u56e0\u53d8\u91cf\u4e4b\u95f4\u7684\u76f8\u5173\u5173\u7cfb\u4e0d\u540c\uff0c\u53ef\u5206\u4e3a\u7ebf\u6027\u56de\u5f52\u9884\u6d4b\u548c\u975e\u7ebf\u6027\u56de\u5f52\u9884\u6d4b\u3002<\/p>\n\n\n\n<p>\u56de\u5f52\u7b97\u6cd5\u662f\u4e00\u79cd\u57fa\u4e8e\u5df2\u6709\u6570\u636e\u7684\u9884\u6d4b\u7b97\u6cd5\uff0c\u5176\u76ee\u7684\u662f\u7814\u7a76\u6570\u636e\u7279\u5f81\u56e0\u5b50\u4e0e\u7ed3\u679c\u4e4b\u95f4\u7684\u56e0\u679c\u5173\u7cfb\u3002<\/p>\n\n\n\n<p>y\uff1da+\u03b2x+\u03b5<\/p>\n\n\n\n<p>\u4e00\u5143\u7ebf\u6027\u56de\u5f52\u6a21\u578b\u3002\u5176\u4e2d\u662f\u5e38\u6570\u3002\u968f\u673a\u6270\u52a8\u9879\u662f\u65e0\u6cd5\u76f4\u63a5\u89c2\u6d4b\u7684\u968f\u673a\u53d8\u91cf\u3002<\/p>\n\n\n\n<p>\u4e00\u822c\u4e3a\u4e86\u4fbf\u4e8e\u6c42\u89e3\uff0c\u5c06\u4e0a\u8ff0\u516c\u5f0f\u8868\u793a\u4e3a\uff1a<\/p>\n\n\n\n<p>y\uff1da+bx<\/p>\n\n\n\n<p>a\u662f\u6837\u672c\u56de\u5f52\u65b9\u7a0b\u7684\u5e38\u6570\u9879\uff0c\u4e5f\u5c31\u662f\u6837\u672c\u56de\u5f52\u76f4\u7ebf\u5728Y\u8f74\u4e0a\u7684\u622a\u8ddd\uff0c\u8868\u793a\u9664\u81ea\u53d8\u91cfX\u4ee5\u5916\u7684\u5176\u4ed6\u56e0\u7d20\u5bf9\u56e0\u53d8\u91cfY\u7684\u5e73\u5747\u5f71\u54cd\u91cf\uff1bb\u662f\u6837\u672c\u56de\u5f52\u7cfb\u6570\uff0c\u5373\u6837\u672c\u56de\u5f52\u76f4\u7ebf\u7684\u659c\u7387\uff0c\u8868\u793a\u81ea\u53d8\u91cfX\u6bcf\u589e\u52a0\u4e00\u4e2a\u5355\u4f4d\uff0c\u56e0\u53d8\u91cfY\u7684\u5e73\u5747\u589e\u52a0\u91cf\u3002<\/p>\n\n\n\n<p>\u6bcf\u4e2a\u56de\u5f52\u6a21\u578b\u90fd\u53ef\u4ee5\u7531\u4e00\u4e2a\u56de\u5f52\u51fd\u6570\u8868\u73b0\u51fa\u6765\uff0c\u8fd9\u6837\u80fd\u591f\u8f83\u597d\u5730\u8868\u73b0\u51fa\u7279\u5f81\u4e0e\u7ed3\u679c\u4e4b\u95f4\u7684\u5173\u7cfb\u3002<\/p>\n\n\n\n<p>\n\u591a\u5143\u56de\u5f52\u662f\u6307\u4e00\u4e2a\u56e0\u53d8\u91cf\uff08\u9884\u62a5\u5bf9\u8c61\uff09\u3001\u591a\u4e2a\u81ea\u53d8\u91cf\uff08\u9884\u62a5\u56e0\u5b50\uff09\u7684\u56de\u5f52\u6a21\u578b\u3002\u57fa\u672c\u65b9\u6cd5\u662f\u6839\u636e\u5404\u53d8\u91cf\u7684\u503c\u7b97\u51fa\u4ea4\u53c9\u4e58\u79ef\u548c\n\n<\/p>\n\n\n\n<p>\u7531\u4e8e\u5404\u4e2a\u81ea\u53d8\u91cf\u7684\u5355\u4f4d\u53ef\u80fd\u4e0d\u4e00\u6837\uff0c\u56e0\u6b64\u81ea\u53d8\u91cf\u524d\u7cfb\u6570\u7684\u5927\u5c0f\u5e76\u4e0d\u80fd\u8bf4\u660e\u8be5\u56e0\u7d20\u7684\u91cd\u8981\u7a0b\u5ea6<\/p>\n\n\n\n<p>\u6700\u5c0f\u4e8c\u4e58\u6cd5\uff08LS\u7b97\u6cd5\uff09\u662f\u4e00\u79cd\u6570\u5b66\u4f18\u5316\u6280\u672f\uff0c\u4e5f\u662f\u4e00\u79cd\u56de\u5f52\u5206\u6790\u7684\u5e38\u7528\u89e3\u6cd5\u3002\u5b83\u901a\u8fc7\u6700\u5c0f\u5316\u8bef\u5dee\u7684\u5e73\u65b9\u548c\u5bfb\u627e\u6570\u636e\u7684\u6700\u4f73\u51fd\u6570\u5339\u914d\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"397\" height=\"337\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-30.png\" alt=\"\" class=\"wp-image-99425\"\/><\/figure>\n\n\n\n<p>\u82e5\u5e72\u4e2a\u70b9\u4f9d\u6b21\u5206\u5e03\u5728\u5411\u91cf\u7a7a\u95f4\u4e2d\uff0c\u5982\u679c\u5e0c\u671b\u627e\u51fa\u4e00\u6761\u76f4\u7ebf\u548c\u8fd9\u4e9b\u70b9\u8fbe\u5230\u6700\u4f73\u5339\u914d\uff0c\u6700\u7b80\u5355\u7684\u65b9\u6cd5\u5c31\u662f\u5e0c\u671b\u8fd9\u4e9b\u70b9\u5230\u76f4\u7ebf\u7684\u503c\u6700\u5c0f\uff0c\u5373\u4e0b\u9762\u7684\u6700\u5c0f\u4e8c\u4e58\u6cd5\u5b9e\u73b0\u516c\u5f0f\u6700\u5c0f<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"300\" height=\"121\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-31.png\" alt=\"\" class=\"wp-image-99426\"\/><\/figure>\n\n\n\n<p>\u5bf9\u4e8e\u7ed9\u5b9a\u7684\u6570\u636e(xi,yi)(i=1,\u2026,m)\uff0c\u5728\u786e\u5b9a\u7684\u5047\u8bbe\u7a7a\u95f4H\u4e2d\uff0c\u6c42\u89e3f(x)\u2208H\uff0c\u4f7f\u5f97\u6b8b\u5dee\u03b4=\u2211(f(xi)-yi)2\u7684L2-\u8303\u6570\u6700\u5c0f\u3002<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">import statsmodels.api as sm\n\nx_ = sm.add_constant((x1))\nmodel = sm.OLS(y, x_)\nresults = model.fit()<\/pre>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><strong> \u968f\u673a\u68af\u5ea6\u7b97\u6cd5\u7684\u539f\u7406 :<\/strong> \u5728\u4e0b\u964d\u4e00\u4e2a\u68af\u5ea6\u7684\u9636\u5c42\u540e\uff0c\u5bfb\u627e\u4e00\u4e2a\u5f53\u524d\u83b7\u5f97\u7684\u6700\u5927\u5761\u5ea6\u7ee7\u7eed\u4e0b\u964d\u3002\u968f\u673a\u68af\u5ea6\u4e0b\u964d\u7b97\u6cd5\u5c31\u662f\u4e0d\u505c\u5730\u5bfb\u627e\u67d0\u4e2a\u8282\u70b9\u4e2d\u4e0b\u964d\u5e45\u5ea6\u6700\u5927\u7684\u90a3\u4e2a\u8d8b\u52bf\u8fdb\u884c\u8fed\u4ee3\u8ba1\u7b97\uff0c\u76f4\u5230\u5c06\u6570\u636e\u6536\u7f29\u5230\u7b26\u5408\u8981\u6c42\u7684\u8303\u56f4\u4e3a\u6b62\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" loading=\"lazy\" width=\"472\" height=\"74\" src=\"http:\/\/www.zhushiyao.com\/wp-content\/uploads\/2022\/03\/image-32.png\" alt=\"\" class=\"wp-image-99431\"\/><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<p>\u903b\u8f91\u56de\u5f52\u662f\u4e00\u79cd\u5e7f\u4e49\u7684\u7ebf\u6027\u56de\u5f52\u5206\u6790\u6a21\u578b\uff0c\u5e38\u7528\u4e8e\u6570\u636e\u6316\u6398\u3001\u75be\u75c5\u81ea\u52a8\u8bca\u65ad\u3001\u7ecf\u6d4e\u9884\u6d4b\u7b49\u9886\u57df\u3002<\/p>\n\n\n\n<p>\u903b\u8f91\u56de\u5f52\u7684\u4e3b\u8981\u7528\u9014\u5982\u4e0b\u3002<\/p>\n\n\n\n<p>\u5bfb\u627e\u5371\u9669\u56e0\u7d20\uff1a\u5bfb\u627e\u67d0\u4e00\u75be\u75c5\u7684\u5371\u9669\u56e0\u7d20\uff1b<br>\n\u9884\u6d4b\uff1a\u5982\u679c\u5df2\u7ecf\u62df\u5408\u51fa\u56de\u5f52\u6a21\u578b\uff0c\u90a3\u4e48\u53ef\u4ee5\u6839\u636e\u6a21\u578b\u9884\u6d4b\u5728\u4e0d\u540c\u81ea\u53d8\u91cf\u7684\u60c5\u51b5\u4e0b\u53d1\u751f\u67d0\u75c5\u6216\u67d0\u79cd\u60c5\u51b5\u7684\u6982\u7387\u6709\u591a\u5927\u3002<br>\n\u5224\u522b\uff1a\u6839\u636e\u903b\u8f91\u56de\u5f52\u6a21\u578b\u5224\u65ad\u67d0\u4eba\u5c5e\u4e8e\u67d0\u75c5\u6216\u5c5e\u4e8e\u67d0\u79cd\u60c5\u51b5\u7684\u6982\u7387\u6709\u591a\u5927\u3002<\/p>\n\n\n\n<p>\u652f\u6301\u5411\u91cf\u673a\u5b9e\u9645\u4e0a\u662f\u4e00\u79cd\u6709\u76d1\u7763\u7684\u673a\u5668\u5b66\u4e60\u7b97\u6cd5\uff0c\u652f\u6301\u5411\u91cf\u673a\u89e3\u51b3\u7684\u662f\u6709\u76d1\u7763\u7684\u4e8c\u5143\u5206\u7c7b\u95ee\u9898\uff08supervised binary classification\uff09\u3002<\/p>\n\n\n\n<p>SVM\u7684\u4f5c\u7528\u5bf9\u8c61\u662f\u6837\u672c\u7684\u7279\u5f81\u7a7a\u95f4\uff08feature space\uff09\uff0c\u5b83\u662f\u4e00\u4e2a\u6709\u9650\u7ef4\u5ea6\u7684\u5411\u91cf\u7a7a\u95f4\uff0c\u6bcf\u4e2a\u7ef4\u5ea6\u5bf9\u5e94\u7740\u6837\u672c\u7684\u4e00\u4e2a\u7279\u5f81\uff0c\u800c\u8fd9\u4e9b\u7279\u5f81\u7ec4\u5408\u8d77\u6765\u53ef\u4ee5\u5f88\u597d\u5730\u63cf\u8ff0\u88ab\u5206\u7c7b\u7684\u6837\u672c\u3002<\/p>\n\n\n\n<p>SVM\u7b97\u6cd5\u4f1a\u6839\u636e\u5386\u53f2\u6570\u636e\u5728\u7279\u5f81\u7a7a\u95f4\u5185\u6784\u5efa\u4e00\u4e2a\u8d85\u5e73\u9762\uff08hyperplane\uff09\uff0c\u5b83\u5c06\u7279\u5f81\u7a7a\u95f4\u7ebf\u6027\u5206\u5272\u4e3a\u4e24\u90e8\u5206\uff0c\u5bf9\u5e94\u7740\u5206\u7c7b\u95ee\u9898\u7684\u4e24\u7c7b\uff0c\u5206\u522b\u4f4d\u4e8e\u8d85\u5e73\u9762\u7684\u4e24\u4fa7\u3002\u6784\u5efa\u8d85\u5e73\u9762\u7684\u8fc7\u7a0b\u5c31\u662f\u6a21\u578b\u8bad\u7ec3\u8fc7\u7a0b\u3002\u5bf9\u4e8e\u4e00\u4e2a\u7ed9\u5b9a\u7684\u65b0\u6837\u672c\uff0c\u6839\u636e\u5b83\u7684\u7279\u5f81\u503c\uff0c\u5b83\u4f1a\u88ab\u653e\u5728\u8d85\u5e73\u9762\u4e24\u4fa7\u4e2d\u7684\u67d0\u4e00\u4fa7\uff0c\u8fd9\u4fbf\u5b8c\u6210\u4e86\u5206\u7c7b\u3002SVM\u662f\u4e00\u4e2a\u975e\u6982\u7387\u7684\u7ebf\u6027\u5206\u7c7b\u5668\u3002\u8fd9\u662f\u56e0\u4e3aSVM\u6a21\u578b\u56de\u7b54\u7684\u662f\u975e\u6b64\u5373\u5f7c\u7684\u95ee\u9898\uff0c\u65b0\u6837\u672c\u4f1a\u88ab\u786e\u5b9a\u5730\u5206\u5230\u4e24\u7c7b\u4e2d\u7684\u67d0\u4e00\u7c7b\u3002<\/p>\n\n\n\n<p>SVM\u7684\u5f3a\u5927\u4e4b\u5904\u5728\u4e8e\uff0c\u5b83\u4e0d\u4ec5\u4ec5\u5c40\u9650\u4e8e\u662f\u4e00\u4e2a\u9ad8\u7ef4\u7a7a\u95f4\u7684\u7ebf\u6027\u5206\u7c7b\u5668\u3002\u5b83\u901a\u8fc7\u975e\u7ebf\u6027\u7684\u6838\u51fd\u6570\uff08kernel functions\uff09\u628a\u539f\u59cb\u7684\u7279\u5f81\u7a7a\u95f4\u6620\u5c04\u5230\u66f4\u9ad8\u7ef4\u7684\u7279\u5f81\u7a7a\u95f4\uff08\u53ef\u4ee5\u662f\u65e0\u9650\u7ef4\u7684\uff09\uff0c\u5728\u9ad8\u7ef4\u7a7a\u95f4\u4e2d\u518d\u5c06\u8fd9\u4e9b\u6837\u672c\u70b9\u7ebf\u6027\u5206\u5272\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp10 \u56de\u5f52\u6a21\u578b\u7684\u7ecf\u5178\u5e94\u7528<\/h2>\n\n\n\n<p>\u8d44\u672c\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b\uff08Capital Asset Pricing Model\uff0cCAPM\uff09\u662f\u7531\u7f8e\u56fd\u5b66\u8005\u590f\u666e\uff08William Sharpe\uff09\u3001\u6797\u7279\u7eb3\uff08John Lintner\uff09\u3001\u7279\u91cc\u8bfa\uff08Jack Treynor\uff09\u548c\u83ab\u8f9b\uff08Jan Mossin\uff09\u7b49\u4eba\u4e8e1964\u5e74\u5728\u8d44\u4ea7\u7ec4\u5408\u7406\u8bba\u548c\u8d44\u672c\u5e02\u573a\u7406\u8bba\u7684\u57fa\u7840\u4e0a\u53d1\u5c55\u8d77\u6765\u7684\u3002<\/p>\n\n\n\n<p>CAPM\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b\u5047\u8bbe\u6240\u6709\u6295\u8d44\u8005\u90fd\u6309\u9a6c\u79d1\u7ef4\u8328\u7684\u8d44\u4ea7\u9009\u62e9\u7406\u8bba\u8fdb\u884c\u6295\u8d44\uff0c\u5bf9\u671f\u671b\u6536\u76ca\u3001\u65b9\u5dee\u548c\u534f\u65b9\u5dee\u7b49\u7684\u4f30\u8ba1\u5b8c\u5168\u76f8\u540c\uff0c\u6295\u8d44\u4eba\u53ef\u4ee5\u81ea\u7531\u501f\u8d37\u3002\u57fa\u4e8e\u8fd9\u6837\u7684\u5047\u8bbe\uff0cCAPM\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b\u7814\u7a76\u7684\u91cd\u70b9\u5728\u4e8e\u63a2\u6c42\u98ce\u9669\u8d44\u4ea7\u6536\u76ca\u4e0e\u98ce\u9669\u7684\u6570\u91cf\u5173\u7cfb\uff0c\u5373\u4e3a\u4e86\u8865\u507f\u67d0\u4e00\u7279\u5b9a\u7a0b\u5ea6\u7684\u98ce\u9669\uff0c\u6295\u8d44\u8005\u5e94\u8be5\u83b7\u5f97\u591a\u5c11\u7684\u62a5\u916c\u7387\u3002<\/p>\n\n\n\n<p>CAPM\u7684\u5b9a\u4ef7\u6a21\u578b<\/p>\n\n\n\n<p>\u5b9a\u4ef7\u6a21\u578b\u5982\u4e0b\uff1a<\/p>\n\n\n\n<p>Ra=rf+\u03b2a\u00d7(rm\uff0drf)<\/p>\n\n\n\n<p>rf\uff08Risk Free Rate\uff09\u662f\u65e0\u98ce\u9669\u56de\u62a5\u7387\uff08\u76f8\u5bf9\u4e8e\u4e00\u5e74\u671f\u56fd\u503a\uff09\u3002<\/p>\n\n\n\n<p>\u03b2a\u662f\u8bc1\u5238\u7684Beta\u7cfb\u6570\u3002Beta\u7cfb\u6570\u662f\u7528\u4ee5\u5ea6\u91cf\u4e00\u9879\u8d44\u4ea7\u7cfb\u7edf\u98ce\u9669\u7684\u6307\u9488\uff0c\u662f\u7528\u6765\u8861\u91cf\u4e00\u79cd\u8bc1\u5238\u6216\u4e00\u4e2a\u6295\u8d44\u7ec4\u5408\u76f8\u5bf9\u603b\u4f53\u5e02\u573a\u7684\u6ce2\u52a8\u6027\uff08volatility\uff09\u7684\u4e00\u79cd\u98ce\u9669\u8bc4\u4f30\u5de5\u5177\u3002<br> rm\u662f\u5e02\u573a\u671f\u671b\u7684\u56de\u62a5\u7387\uff08Expected Market Return\uff09\u3002<br> rm\uff0drf\u662f\u80a1\u7968\u5e02\u573a\u6ea2\u4ef7\uff08Equity Market Premium\uff0cEMP\uff09\u3002<\/p>\n\n\n\n<p>CAPM\u5b9a\u4ef7\u6a21\u578b\u9700\u8981\u5927\u91cf\u7684\u5047\u8bbe\uff0c\u5f52\u7c7b\u5982\u4e0b\uff1a<\/p>\n\n\n\n<p>\u6295\u8d44\u8005\u5e0c\u671b\u8d22\u5bcc\u8d8a\u591a\u8d8a\u597d\uff0c\u6548\u7528\u662f\u8d22\u5bcc\u7684\u51fd\u6570\uff0c\u8d22\u5bcc\u53c8\u662f\u6295\u8d44\u6536\u76ca\u7387\u7684\u51fd\u6570\uff0c\u56e0\u6b64\u53ef\u4ee5\u8ba4\u4e3a\u6548\u7528\u4e3a\u6536\u76ca\u7387\u7684\u51fd\u6570\u3002<br> \u6295\u8d44\u8005\u80fd\u4e8b\u5148\u77e5\u9053\u6295\u8d44\u6536\u76ca\u7387\u7684\u6982\u7387\u5206\u5e03\u4e3a\u6b63\u6001\u5206\u5e03\u3002<br> \u6295\u8d44\u98ce\u9669\u7528\u6295\u8d44\u6536\u76ca\u7387\u7684\u65b9\u5dee\u6216\u6807\u51c6\u5dee\u6807\u8bc6\u3002<br> \u5f71\u54cd\u6295\u8d44\u51b3\u7b56\u7684\u4e3b\u8981\u56e0\u7d20\u4e3a\u671f\u671b\u6536\u76ca\u7387\u548c\u98ce\u9669\u4e24\u9879\u3002<br> \u6295\u8d44\u8005\u90fd\u9075\u5b88\u4e3b\u5bb0\u539f\u5219\uff08Dominance Rule\uff09\uff0c\u5373\u540c\u4e00\u98ce\u9669\u6c34\u5e73\u4e0b\uff0c\u9009\u62e9\u6536\u76ca\u7387\u8f83\u9ad8\u7684\u8bc1\u5238\uff1b\u540c\u4e00\u6536\u76ca\u7387\u6c34\u5e73\u4e0b\uff0c\u9009\u62e9\u98ce\u9669\u8f83\u4f4e\u7684\u8bc1\u5238\u3002<br> \u53ef\u4ee5\u5728\u65e0\u98ce\u9669\u6298\u73b0\u7387R\u7684\u6c34\u5e73\u4e0b\u65e0\u9650\u5236\u5730\u501f\u5165\u6216\u8d37\u51fa\u8d44\u91d1\u3002<br> \u6240\u6709\u6295\u8d44\u8005\u5bf9\u8bc1\u5238\u6536\u76ca\u7387\u6982\u7387\u5206\u5e03\u7684\u770b\u6cd5\u4e00\u81f4\uff0c\u56e0\u6b64\u5e02\u573a\u4e0a\u7684\u6548\u7387\u8fb9\u754c\u53ea\u6709\u4e00\u6761\u3002<\/p>\n\n\n\n<p>\u6240\u6709\u6295\u8d44\u8005\u5177\u6709\u76f8\u540c\u7684\u6295\u8d44\u671f\u9650\uff0c\u800c\u4e14\u53ea\u6709\u4e00\u671f\u3002<br>\n\u6240\u6709\u7684\u8bc1\u5238\u6295\u8d44\u53ef\u4ee5\u65e0\u9650\u5236\u5730\u7ec6\u5206\uff0c\u5728\u4efb\u4f55\u4e00\u4e2a\u6295\u8d44\u7ec4\u5408\u91cc\u53ef\u4ee5\u542b\u6709\u975e\u6574\u6570\u80a1\u4efd\u3002<br>\n\u4e70\u5356\u8bc1\u5238\u65f6\u6ca1\u6709\u7a0e\u8d1f\u53ca\u4ea4\u6613\u6210\u672c\u3002<br>\n\u6240\u6709\u6295\u8d44\u8005\u53ef\u4ee5\u53ca\u65f6\u514d\u8d39\u83b7\u5f97\u5145\u5206\u7684\u5e02\u573a\u4fe1\u606f\u3002<br>\n\u4e0d\u5b58\u5728\u901a\u8d27\u81a8\u80c0\uff0c\u4e14\u6298\u73b0\u7387\u4e0d\u53d8\u3002<br>\n\u6295\u8d44\u8005\u5177\u6709\u76f8\u540c\u9884\u671f\uff0c\u5373\u4ed6\u4eec\u5bf9\u9884\u671f\u6536\u76ca\u7387\u3001\u6807\u51c6\u5dee\u548c\u8bc1\u5238\u4e4b\u95f4\u7684\u534f\u65b9\u5dee\u5177\u6709\u76f8\u540c\u7684\u9884\u671f\u503c\u3002<\/p>\n\n\n\n<p>\u7b2c\u4e00\uff0c\u6295\u8d44\u8005\u662f\u7406\u6027\u7684\uff0c\u800c\u4e14\u4e25\u683c\u6309\u7167\u9a6c\u79d1\u7ef4\u8328\u6a21\u578b\u7684\u89c4\u5219\u8fdb\u884c\u591a\u6837\u5316\u7684\u6295\u8d44\uff0c\u5e76\u5c06\u4ece\u6709\u6548\u8fb9\u754c\u7684\u67d0\u5904\u9009\u62e9\u6295\u8d44\u7ec4\u5408\uff1b\u7b2c\u4e8c\uff0c\u8d44\u672c\u5e02\u573a\u662f\u5b8c\u7f8e\uff0f\u5b8c\u5168\u5e02\u573a\uff0c\u6ca1\u6709\u4efb\u4f55\u6469\u64e6\u963b\u788d\u6295\u8d44\u3002<\/p>\n\n\n\n<p>Fama-French\u4e09\u56e0\u5b50\u6a21\u578b<\/p>\n\n\n\n<p>Fama\u548cFrench\u5206\u522b\u5206\u6790\u4e86\u539f\u56e0\uff0c\u4ed6\u4eec\u8ba4\u4e3a\uff1a<\/p>\n\n\n\n<p>\u5e02\u503c\u6bd4\u8f83\u5c0f\u7684\u516c\u53f8\u901a\u5e38\u89c4\u6a21\u6bd4\u8f83\u5c0f\uff0c\u516c\u53f8\u76f8\u5bf9\u800c\u8a00\u6ca1\u90a3\u4e48\u7a33\u5b9a\uff0c\u56e0\u6b64\u98ce\u9669\u8f83\u5927\uff0c\u9700\u8981\u83b7\u5f97\u66f4\u9ad8\u7684\u6536\u76ca\u6765\u8865\u507f\u3002<br>\n\u6b64\u5916\u5c31\u662f\u8d26\u9762\u5e02\u503c\u6bd4\u3002\u8d26\u9762\u5e02\u503c\u6bd4\u5c31\u662f\u8d26\u9762\u7684\u6240\u6709\u8005\u6743\u76ca\u9664\u4ee5\u5e02\u503c\uff08\u4ee5\u4e0b\u7b80\u79f0B\/M\uff09\u3002\u82e5B\/M\u8f83\u9ad8\uff0c\u5219\u8bf4\u660e\u5e02\u573a\u4e0a\u5bf9\u516c\u53f8\u7684\u4f30\u503c\u6bd4\u516c\u53f8\u81ea\u5df1\u7684\u4f30\u503c\u66f4\u4f4e\u3002\u8fd9\u4e9b\u516c\u53f8\u4e00\u822c\u90fd\u662f\u9500\u552e\u72b6\u51b5\u6216\u8005\u76c8\u5229\u80fd\u529b\u4e0d\u662f\u5341\u5206\u597d\u7684\u516c\u53f8\uff0c\u56e0\u6b64\u76f8\u5bf9\u4e8e\u4f4eB\/M\u7684\u516c\u53f8\u6765\u8bf4\u9700\u8981\u66f4\u9ad8\u7684\u6536\u76ca\u6765\u8865\u507f\u3002<\/p>\n\n\n\n<p>\u4e00\u822c\u5bf9\u4e8e\u80a1\u7968\u6536\u76ca\u7684\u89e3\u91ca\u8ba4\u4e3a\u6536\u76ca\u98ce\u9669\u540c\u6e90\u3002\u5e02\u573a\u98ce\u9669\u662f\u552f\u4e00\u80fd\u7ed9\u80a1\u7968\u5e26\u6765\u8d85\u989d\u6536\u76ca\u7684\u98ce\u9669\u3002\u4f46\u662f\u57fa\u4e8e\u4ee5\u4e0a\u4e24\u4e2a\u4e8b\u5b9e\u7684\u7814\u7a76\u53d1\u73b0\uff0c<strong>\u9664\u4e86\u5e02\u573a\u98ce\u9669\u5916\uff0cFama-French\u8ba4\u4e3a\u5e02\u573a\u4e0a\u8fd8\u5b58\u5728\u5e02\u503c\u98ce\u9669\u3001\u8d26\u9762\u5e02\u503c\u6bd4\u98ce\u9669\u7b49<\/strong>\uff0c\u636e\u6b64\u5efa\u7acb\u7684\u6a21\u578b\u88ab\u79f0\u4e3a\u201cFama-French\u4e09\u56e0\u5b50\u6a21\u578b\u201d\u3002<\/p>\n\n\n\n<p>\u5bf9\u4e8e\u4f20\u7edf\u7684\u80a1\u7968\u6a21\u578b\u6765\u8bf4\uff0c<strong>\u80a1\u7968\u5e02\u573a\u7684Beta\u503c<\/strong>\u4e0d\u80fd\u89e3\u91ca\u4e0d\u540c\u80a1\u7968\u56de\u62a5\u7387\u7684\u5dee\u5f02\u3002\u5728\u6b64\u57fa\u7840\u4e0a\uff0c\u6709\u5b9e\u8bc1\u7814\u7a76\u8868\u660e\uff0c<strong>\u80a1\u7968\u5e02\u503c\u3001\u8d26\u9762\u5e02\u503c\u6bd4\u3001\u8d22\u52a1\u6760\u6746\uff08leverage\uff09\u548c\u5e02\u76c8\u7387\u7684\u5012\u6570\uff08E\/P\uff09<\/strong>\u7b49\u6307\u6807\u53ef\u4ee5\u5f88\u597d\u5730\u89e3\u91ca\u80a1\u7968\u6536\u76ca<\/p>\n\n\n\n<p>Ri\uff1dai+biRm+siE(SMB)+liE(HMI)+\u03b5i<\/p>\n\n\n\n<p>Ri\u6307\u7684\u662f\u80a1\u7968\u76f8\u5bf9\u65e0\u98ce\u9669\u6295\u8d44\uff08\u4e00\u5e74\u671f\u56fd\u503a\uff09\u7684\u671f\u671b\u989d\u5916\u6536\u76ca\u7387\u3002Ri=E(ri\uff0drf)<\/p>\n\n\n\n<p>Rm\uff0c\u4e3a\u5e02\u573a\u76f8\u5bf9\u65e0\u98ce\u9669\u6295\u8d44\u7684\u671f\u671b\u8d85\u989d\u6536\u76ca\u7387<\/p>\n\n\n\n<p>E(SMB)\u662f\u5c0f\u5e02\u503c\u516c\u53f8\u76f8\u5bf9\u5927\u5e02\u503c\u516c\u53f8\u80a1\u7968\u7684\u671f\u671b\u8d85\u989d\u6536\u76ca\u7387\uff0c<\/p>\n\n\n\n<p>E(HMI)\u5219\u662f\u9ad8B\/M\u516c\u53f8\u80a1\u7968\u6bd4\u8d77\u4f4eB\/M\u516c\u53f8\u80a1\u7968\u7684\u671f\u671b\u8d85\u989d\u6536\u76ca\u7387\uff0c<\/p>\n\n\n\n<p> \u03b5i \u662f\u56de\u5f52\u6b8b\u5dee\u9879\u3002<\/p>\n\n\n\n<p>Fama-French\u57281993\u5e74\u63d0\u51fa\u4e09\u56e0\u5b50\u6a21\u578b\u4e4b\u540e\uff0cCarhart\u57281997\u5e74\u63d0\u51fa\u4e86\u52a8\u91cf\u56e0\u5b50\uff08Momentum\uff09\u4ece\u800c\u5f97\u5230\u56db\u56e0\u5b50\u6a21\u578b\uff0cFama-French 2015\u5e74\u5728\u4e09\u56e0\u5b50\u7684\u57fa\u7840\u4e0a\u7ee7\u7eed\u589e\u52a0\u4e86\u4e24\u4e2a\u56e0\u5b50\uff1a\u76c8\u5229\u80fd\u529b\u56e0\u5b50RMW\u548c\u6295\u8d44\u56e0\u5b50CMA\uff0c\u5f97\u5230\u4e94\u56e0\u5b50\u6a21\u578b\u3002<\/p>\n\n\n\n<p>\u9009\u80a1\u7684\u6838\u5fc3\u601d\u60f3\u5728\u4e8e\u5bfb\u627e\u4ef7\u683c\u4f4e\u4e8e\u5185\u5728\u4ef7\u503c\u7684\u80a1\u7968\uff0c\u4ece\u800c\u83b7\u53d6\u672a\u6765\u4ef7\u683c\u4fee\u590d\u7684\u6536\u76ca<\/p>\n\n\n\n<p>PB-ROE\u6a21\u578b\u4ecb\u7ecd\uff08Price\/Book ratio-Return On Equity\uff09<\/p>\n\n\n\n<p>PB\uff1d\u80a1\u4ef7\uff0f\u8d26\u9762\u4ef7\u503c<\/p>\n\n\n\n<p>ROE\uff1d[(\u51c0\u5229\u6da6\uff0d\u4f18\u5148\u80a1\u80a1\u5229)\/\u671f\u521d\u666e\u901a\u80a1\u80a1\u4e1c\u6743\u76ca]*100%<\/p>\n\n\n\n<p>\u53ef\u4ee5\u7b80\u5355\u5730\u7406\u89e3PB-ROE\u5c31\u662f\u201c\u5e02\u51c0\u7387\uff0d\u51c0\u8d44\u4ea7\u6536\u76ca\u7387\u201d<\/p>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\">chp11 \u914d\u5bf9\u4ea4\u6613\u7684\u9b54\u529b<\/h2>\n\n\n\n<p>\u76f8\u5173\u6027<\/p>\n\n\n\n<p>\u5bf9\u4e8epandas\u6765\u8bf4\uff0c\u76f8\u5173\u7cfb\u6570\u5e76\u4e0d\u662f\u7531pandas\u6839\u51fd\u6570\u63d0\u4f9b\u7684\uff0c\u800c\u662f\u7531DataFrame\u5bf9\u8c61\u5185\u7f6e\u7684\u8ba1\u7b97\u5668\u8ba1\u7b97\u51fa\u7684\u3002concat\u662f\u8fde\u63a5\u51fd\u6570\uff0c\u5c06\u4e0d\u540c\u7684\u6570\u636e\u8fdb\u884c\u8fde\u63a5\uff0caxis\u662f\u5185\u7f6e\u53c2\u6570\uff0c\u7528\u4ee5\u51b3\u5b9a\u4ece\u54ea\u91cc\u8fdb\u884c\u8fde\u63a5\uff0c\u8fd9\u91cc\u7531\u4e8e\u9700\u8981\u8ba1\u7b97\u4e0d\u540c\u7684\u6570\u7ec4\u4e4b\u95f4\u7684\u76f8\u5173\u7cfb\u6570\uff0c\u56e0\u6b64\u9009\u62e9\u5c06\u6570\u636e\u8fde\u63a5\u6210\u4e0d\u540c\u7684\u884c\uff0c\u8ba1\u7b97\u4e0d\u540c\u884c\u4e4b\u95f4\u7684\u76f8\u5173\u7cfb\u6570\u3002<\/p>\n\n\n\n<p>arr = pd.concat([arr_a,arr_b],axis=1)<\/p>\n\n\n\n<p>\u76f8\u5173\u7cfb\u6570\uff1acorr = arr.corr()<\/p>\n\n\n\n<p>\u5747\u503c\uff1anp.mean()<\/p>\n\n\n\n<p>\u65b9\u5dee\uff1anp.var()<\/p>\n\n\n\n<p>\u6807\u51c6\u5dee\uff1a np.std()<\/p>\n\n\n\n<p>\narr = pd.concat([arr_a,arr_b],axis=1)\n\n<\/p>\n\n\n\n<p> \u534f\u65b9\u5dee \uff1acov = arr.cov()<\/p>\n\n\n\n<p><strong>\u534f\u65b9\u5dee<\/strong>\u662f\u5173\u4e8e\u5982\u4f55\u8c03\u8282\u534f\u53d8\u91cf\u5bf9\u56e0\u53d8\u91cf\u7684\u5f71\u54cd\u6548\u5e94\uff0c\u4ece\u800c\u66f4\u52a0\u6709\u6548\u5730\u5206\u6790\u5b9e\u9a8c\u5904\u7406\u6548\u5e94\u7684\u4e00\u79cd\u7edf\u8ba1\u6280\u672f\uff0c\u4e5f\u662f\u5bf9\u5b9e\u9a8c\u8fdb\u884c\u7edf\u8ba1\u63a7\u5236\u7684\u4e00\u79cd\u7efc\u5408\u65b9\u5dee\u5206\u6790\u548c\u56de\u5f52\u5206\u6790\u7684\u65b9\u6cd5\u3002<strong>\u534f\u65b9\u5dee\u53ea\u8868\u793a\u7ebf\u6027\u76f8\u5173\u7684\u65b9\u5411<\/strong>\uff0c\u53d6\u503c\u6b63\u65e0\u7a77\u5230\u8d1f\u65e0\u7a77\u3002\u4e5f\u5c31\u662f\u8bf4\uff0c\u534f\u65b9\u5dee\u4e3a\u6b63\u503c\uff0c\u8bf4\u660e\u4e00\u4e2a\u53d8\u91cf\u53d8\u5927\uff0c\u53e6\u4e00\u4e2a\u53d8\u91cf\u4e5f\u53d8\u5927\uff1b\u53d6\u8d1f\u503c\u8bf4\u660e\u4e00\u4e2a\u53d8\u91cf\u53d8\u5927\uff0c\u53e6\u4e00\u4e2a\u53d8\u91cf\u53d8\u5c0f\uff1b\u53d60\u8bf4\u660e\u4e24\u4e2a\u53d8\u91cf\u6ca1\u6709\u76f8\u5173\u5173\u7cfb\u3002\u9700\u8981\u6ce8\u610f\u7684\u662f\uff0c\u534f\u65b9\u5dee\u7684\u7edd\u5bf9\u503c\u4e0d\u53cd\u6620\u7ebf\u6027\u76f8\u5173\u7684\u7a0b\u5ea6\u3002<\/p>\n\n\n\n<p><strong>\u76f8\u5173\u7cfb\u6570<\/strong>\u4e0d\u4ec5\u8868\u793a\u7ebf\u6027\u76f8\u5173\u7684\u65b9\u5411\uff0c\u8fd8\u8868\u793a\u7ebf\u6027\u76f8\u5173\u7684\u7a0b\u5ea6\uff0c\u53d6\u503c[-1,1]\u3002\u4e5f\u5c31\u662f\u8bf4\uff0c\u76f8\u5173\u7cfb\u6570\u4e3a\u6b63\u503c\uff0c\u8bf4\u660e\u4e00\u4e2a\u53d8\u91cf\u53d8\u5927\uff0c\u53e6\u4e00\u4e2a\u53d8\u91cf\u4e5f\u53d8\u5927\uff1b\u53d6\u8d1f\u503c\u8bf4\u660e\u4e00\u4e2a\u53d8\u91cf\u53d8\u5927\uff0c\u53e6\u4e00\u4e2a\u53d8\u91cf\u53d8\u5c0f\uff1b\u53d60\u8bf4\u660e\u4e24\u4e2a\u53d8\u91cf\u6ca1\u6709\u76f8\u5173\u5173\u7cfb\u3002\u540c\u65f6\uff0c\u76f8\u5173\u7cfb\u6570\u7684\u7edd\u5bf9\u503c\u8d8a\u63a5\u8fd11\uff0c\u7ebf\u6027\u5173\u7cfb\u8d8a\u663e\u8457\u3002\u901a\u5e38\u60c5\u51b5\u4e0b\uff0c\u53d6\u7edd\u5bf9\u503c\u540e\uff0c0\uff5e0.09\u4e3a\u6ca1\u6709\u76f8\u5173\u6027\uff0c0.1\uff5e0.3\u4e3a\u5f31\u76f8\u5173\uff0c0.3\uff5e0.5\u4e3a\u4e2d\u7b49\u76f8\u5173\uff0c0.5\uff5e1.0\u4e3a\u5f3a\u76f8\u5173\u3002<\/p>\n\n\n\n<p>\u914d\u5bf9\u4ea4\u6613\u662f\u4e00\u79cd\u57fa\u4e8e\u7edf\u8ba1\u5efa\u6a21\u5206\u6790\u7684\u4ea4\u6613\u7b56\u7565\uff0c\u5b83\u662f\u901a\u8fc7\u8ba1\u7b97\u4e0d\u540c\u80a1\u7968\u4e4b\u95f4\u662f\u5426\u5177\u6709\u540c\u6837\u7684\u8d8b\u52bf\u4e0e\u8d70\u52bf\u8fdb\u884c\u80a1\u7968\u4ea4\u6613\u7684\u7b56\u7565\u3002<\/p>\n\n\n\n<p><strong>\u5e73\u7a33\u6027<\/strong>\u5c31\u662f\u5728\u4e00\u4e2a\u65f6\u95f4\u5e8f\u5217\u4e2d\u4e0d\u968f\u5916\u754c\u566a\u97f3\u6539\u53d8\u800c\u80fd\u591f\u4fdd\u6301\u7a33\u5b9a\u4e0d\u53d8\u7684\u6027\u8d28<\/p>\n\n\n\n<p>\u76f8\u5173\u7cfb\u6570\u662f\u5bf9\u4e24\u7ec4\u6570\u636e\u96c6\u76f4\u63a5\u7684\u76f8\u5173\u6027\u8fdb\u884c\u8ba1\u7b97\uff0c\u800c\u534f\u6574\u6027\u662f\u5728\u4e0d\u540c\u7684\u6570\u636e\u4e4b\u95f4\u8ba1\u7b97\u5176\u5dee\u503c\u5e76\u5bf9\u5176\u5dee\u503c\u8fdb\u884c\u5206\u6790<\/p>\n\n\n\n<p>\u4e24\u53ea\u80a1\u7968\u7684\u4ef7\u5dee\u8f83\u4e3a\u5e73\u7a33\uff0c\u5176\u5728\u53d8\u5316\u8fc7\u7a0b\u4e2d\uff0c\u524d\u8fdb\u7684\u65b9\u5411\u4e5f\u662f\u4e00\u81f4\u7684\u3002\u8fd9\u79cd\u6027\u8d28\u88ab\u79f0\u4e3a\u201c\u534f\u6574\u6027\u201d\u3002<\/p>\n\n\n\n<p>\u534f\u6574\u6027\u7684\u7b2c\u4e00\u6b65\u662f\u5bf9\u5e8f\u5217\u8fdb\u884c\u5e73\u7a33\u6027\u68c0\u9a8c\u3002<\/p>\n\n\n\n<p>\u4e00\u822c\u6765\u8bf4\uff0c\u5e73\u7a33\u6027\u5206\u4e3a\u4e25\u5e73\u7a33\u6027\u548c\u5f31\u5e73\u7a33\u6027\u3002\u4e25\u5e73\u7a33\u6027\u662f\u6307\u4e00\u4e2a\u5e8f\u5217\u7684\u5206\u5e03\u51fd\u6570\u59cb\u7ec8\u4e0d\u53d8\uff0c\u800c\u5f31\u5e73\u7a33\u6027\u662f\u6307\u5e8f\u5217\u5177\u6709\u4e0d\u53d8\u7684\u7edf\u8ba1\u5e38\u91cf\u3002\u4e00\u822c\u8bf4\u7684\u5e73\u7a33\u6027\u662f\u5f31\u5e73\u7a33\u6027\u3002\u5728\u65f6\u95f4\u5e8f\u5217\u5206\u6790\u4e2d\uff0c\u5e38\u7528\u201c\u5355\u4f4d\u6839\u68c0\u9a8c\u201d\u6765\u5224\u65ad\u4e00\u4e2a\u8fc7\u7a0b\u662f\u5426\u4e3a\u5f31\u5e73\u7a33\u6027\u3002<\/p>\n\n\n\n<p>\u5355\u4f4d\u6839\u68c0\u9a8c\uff1ast = sm.tsa.stattools.adfuller(arr_a)<\/p>\n\n\n\n<p>\u7b2c\u4e00\u4e2a\u53c2\u6570\u4e3a\u201cTest Statistic\u201d\uff0c\u7b2c\u56db\u4e2a\u53c2\u6570\u4e3a\u6d4b\u8bd5\u7684\u5173\u952e\u53c2\u6570\u70b9\u3002\u82e5\u7b2c\u4e00\u4e2a\u53c2\u6570\u5c0f\u4e8e\u7b2c\u56db\u4e2a\u53c2\u6570\u4e2d\u7684\u201c1%\u201d\u6240\u5bf9\u5e94\u7684\u503c\uff0c\u5219\u53ef\u8ba4\u4e3a\u5e8f\u5217\u6ca1\u6709\u5355\u4f4d\u6839\uff0c\u4e3a\u5e73\u7a33\u5e8f\u5217\uff1b\u82e5\u7b2c\u4e00\u4e2a\u53c2\u6570\u5927\u4e8e\u7b2c\u56db\u4e2a\u53c2\u6570\u4e2d\u7684\u201c10%\u201d\u6240\u5bf9\u5e94\u7684\u503c\uff0c\u5219\u53ef\u8ba4\u4e3a\u5e8f\u5217\u5b58\u5728\u5355\u4f4d\u6839\uff0c\u4e3a\u975e\u5e73\u7a33\u5e8f\u5217<\/p>\n\n\n\n<p>\u5bf9\u4e8e\u975e\u5e73\u7a33\u5e8f\u5217\u8f6c\u5316\u4e3a\u5e73\u7a33\u5e8f\u5217\uff0c\u6700\u7b80\u5355\u7684\u529e\u6cd5\u5c31\u662f\u201c\u5dee\u5206\u6cd5\u201d\u3002\u975e\u5e73\u7a33\u5e8f\u5217\u5f80\u5f80\u4e00\u6b21\u5230\u4e24\u6b21\u5dee\u5206\u4e4b\u540e\uff0c\u5c31\u4f1a\u53d8\u6210\u5e73\u7a33\u5e8f\u5217\u3002<\/p>\n\n\n\n<p>\u7ecf\u8fc7\u4e00\u6b21\u5dee\u5206\u8ba1\u7b97\u7684\u5e8f\u5217\u79f0\u4e3a\u201c<strong>\u4e00\u9636\u5dee\u5206<\/strong>\u201d\uff0c\u4ee5\u6b64\u7c7b\u63a8\uff0c\u7ecf\u8fc7n\u6b21\u5dee\u5206\u8ba1\u7b97\u7684\u5e8f\u5217\u79f0\u4e3a\u201c<strong>n\u9636\u5e8f\u5217<\/strong>\u201d\u3002<\/p>\n\n\n\n<p>\u201c<strong>\u5dee\u5206\u6cd5<\/strong>\u201d\u5c31\u662f\u5e8f\u5217\u540e\u4e00\u70b9\u7684\u503c\u51cf\u53bb\u5f53\u524d\u70b9\u7684\u503c\uff0c\u7528\u516c\u5f0f\u8868\u793a\u4e3ayt-y(t-1)\u3002\u503c\u5f97\u6ce8\u610f\u7684\u662f\uff0c\u6bcf\u4e00\u6b21\u5dee\u5206\u4e4b\u540e\uff0c\u90fd\u4f1a\u5c11\u4e00\u4e2a\u5e8f\u5217\u503c\u3002<\/p>\n\n\n\n<p>\u8ba1\u7b97\u5dee\u5206\u7684\u51fd\u6570\uff1aarr_b = np.diff(arr_a)<\/p>\n\n\n\n<p><strong>\u914d\u5bf9\u4ea4\u6613\u7684\u7b97\u6cd5<\/strong><\/p>\n\n\n\n<p>\uff081\uff09\u627e\u51fa\u5177\u6709\u8f83\u5f3a\u76f8\u5173\u6027\u7684\u80a1\u7968\uff0c\u5efa\u7acb\u914d\u5bf9\u80a1\u7968\u6a21\u5f0f\u3002\u8fd9\u6837\u4e00\u822c\u8981\u6c42\u5176\u76f8\u5bf9\u7cfb\u6570\u5927\u4e8e0.95\u3002<\/p>\n\n\n\n<p>\uff082\uff09\u5206\u522b\u68c0\u9a8c\u914d\u5bf9\u6807\u7684\u7684\u5e73\u7a33\u6027\uff0c\u4e00\u822c\u6765\u8bf4\uff0c\u80a1\u7968\u90fd\u4e0d\u4f1a\u76f4\u63a5\u662f\u5e73\u7a33\u6027\u5e8f\u5217\uff0c\u56e0\u6b64\u5728\u5176\u57fa\u7840\u4e0a\u68c0\u9a8c\u914d\u5bf9\u7684\u80a1\u7968\u662f\u5426\u5177\u6709\u540c\u9636\u5dee\u5206\u534f\u6574\u6027\u3002<\/p>\n\n\n\n<p>\uff083\uff09\u505a\u7cfb\u6570\u56de\u5f52\u5206\u6790\uff0c\u786e\u7acb\u7cfb\u6570\u548c\u622a\u8ddd\u503c\u3002<\/p>\n\n\n\n<p>\uff084\uff09\u7528\u5355\u4f4d\u6839\u68c0\u9a8c\u65b0\u751f\u6210\u7684\u503c\u6b8b\u5dee\u662f\u5426\u5e73\u7a33\uff0c\u82e5\u5e73\u7a33\uff0c\u5219\u4e24\u4e2a\u65f6\u5e8f\u662f\u534f\u6574\u7684\uff0c\u5426\u5219\u7ed3\u675f\uff0c\u5b9e\u9a8c\u5931\u8d25\u3002<\/p>\n\n\n\n<p>\uff085\uff09\u6839\u636e\u7b56\u7565\u7f16\u5199\u4ee3\u7801\u3002<\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>chp1 \u8d70\u8fdb\u91cf\u5316\u4ea4\u6613 \u57fa\u4e8e\u5e02\u573a\u975e\u6709\u6548\u6216\u5f31\u6709\u6548\u7684\u7406\u8bba\u57fa\u7840\u4e4b\u4e0a \u5b9a\u91cf\u6295\u8d44\u6b63\u662f\u5728\u627e\u4f30\u503c\u6d3c\u5730\uff0c\u901a\u8fc7\u5168\u9762\u3001\u7cfb\u7edf\u6027\u7684\u626b\u63cf &hellip; <a href=\"http:\/\/www.zhushiyao.com\/?p=98421\" class=\"more-link\">\u7ee7\u7eed\u9605\u8bfb<span class=\"screen-reader-text\">\u201c\u8bfb\u4e66\uff1a\u300apython\u91cf\u5316\u4ea4\u6613\u5b9e\u6218\u300b\u201d<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[2],"tags":[8,232],"_links":{"self":[{"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=\/wp\/v2\/posts\/98421"}],"collection":[{"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=98421"}],"version-history":[{"count":165,"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=\/wp\/v2\/posts\/98421\/revisions"}],"predecessor-version":[{"id":99494,"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=\/wp\/v2\/posts\/98421\/revisions\/99494"}],"wp:attachment":[{"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=98421"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=98421"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/www.zhushiyao.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=98421"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}