ch09fifth.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "from pandas import DataFrame, Series\n",
    "import matplotlib.pyplot as plt\n",
    "%matplotlib inline"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "collapsed": false
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   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>category</th>\n",
       "      <th>data</th>\n",
       "      <th>weights</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>a</td>\n",
       "      <td>1.016068</td>\n",
       "      <td>0.273315</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>a</td>\n",
       "      <td>-1.611363</td>\n",
       "      <td>0.969514</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>a</td>\n",
       "      <td>-2.169703</td>\n",
       "      <td>0.301117</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>a</td>\n",
       "      <td>-1.501790</td>\n",
       "      <td>0.822700</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>b</td>\n",
       "      <td>-1.184955</td>\n",
       "      <td>0.779356</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>b</td>\n",
       "      <td>-1.291867</td>\n",
       "      <td>0.312252</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>b</td>\n",
       "      <td>0.913494</td>\n",
       "      <td>0.686205</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>b</td>\n",
       "      <td>-0.385359</td>\n",
       "      <td>0.344992</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "  category      data   weights\n",
       "0        a  1.016068  0.273315\n",
       "1        a -1.611363  0.969514\n",
       "2        a -2.169703  0.301117\n",
       "3        a -1.501790  0.822700\n",
       "4        b -1.184955  0.779356\n",
       "5        b -1.291867  0.312252\n",
       "6        b  0.913494  0.686205\n",
       "7        b -0.385359  0.344992"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "df = DataFrame({'category': ['a', 'a', 'a', 'a', 'b', 'b', 'b', 'b'],\n",
    "               'data': np.random.randn(8),\n",
    "               'weights': np.random.rand(8)})\n",
    "df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "category\n",
       "a   -1.340881\n",
       "b   -0.392401\n",
       "dtype: float64"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "grouped = df.groupby('category')\n",
    "get_wavg = lambda g: np.average(g['data'], weights=g['weights'])\n",
    "grouped.apply(get_wavg)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "np.average?"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
       "      <th>XOM</th>\n",
       "      <th>SPX</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2011-10-11</th>\n",
       "      <td>400.29</td>\n",
       "      <td>27.00</td>\n",
       "      <td>76.27</td>\n",
       "      <td>1195.54</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2011-10-12</th>\n",
       "      <td>402.19</td>\n",
       "      <td>26.96</td>\n",
       "      <td>77.16</td>\n",
       "      <td>1207.25</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2011-10-13</th>\n",
       "      <td>408.43</td>\n",
       "      <td>27.18</td>\n",
       "      <td>76.37</td>\n",
       "      <td>1203.66</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2011-10-14</th>\n",
       "      <td>422.00</td>\n",
       "      <td>27.27</td>\n",
       "      <td>78.11</td>\n",
       "      <td>1224.58</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "              AAPL   MSFT    XOM      SPX\n",
       "2011-10-11  400.29  27.00  76.27  1195.54\n",
       "2011-10-12  402.19  26.96  77.16  1207.25\n",
       "2011-10-13  408.43  27.18  76.37  1203.66\n",
       "2011-10-14  422.00  27.27  78.11  1224.58"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "close_px = pd.read_csv('ch09/stock_px.csv', parse_dates=True, index_col=0)\n",
    "close_px[-4:]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>AAPL</th>\n",
       "      <th>MSFT</th>\n",
       "      <th>XOM</th>\n",
       "      <th>SPX</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2003</th>\n",
       "      <td>0.541124</td>\n",
       "      <td>0.745174</td>\n",
       "      <td>0.661265</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2004</th>\n",
       "      <td>0.374283</td>\n",
       "      <td>0.588531</td>\n",
       "      <td>0.557742</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2005</th>\n",
       "      <td>0.467540</td>\n",
       "      <td>0.562374</td>\n",
       "      <td>0.631010</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2006</th>\n",
       "      <td>0.428267</td>\n",
       "      <td>0.406126</td>\n",
       "      <td>0.518514</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007</th>\n",
       "      <td>0.508118</td>\n",
       "      <td>0.658770</td>\n",
       "      <td>0.786264</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008</th>\n",
       "      <td>0.681434</td>\n",
       "      <td>0.804626</td>\n",
       "      <td>0.828303</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2009</th>\n",
       "      <td>0.707103</td>\n",
       "      <td>0.654902</td>\n",
       "      <td>0.797921</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2010</th>\n",
       "      <td>0.710105</td>\n",
       "      <td>0.730118</td>\n",
       "      <td>0.839057</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2011</th>\n",
       "      <td>0.691931</td>\n",
       "      <td>0.800996</td>\n",
       "      <td>0.859975</td>\n",
       "      <td>1.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "          AAPL      MSFT       XOM  SPX\n",
       "2003  0.541124  0.745174  0.661265  1.0\n",
       "2004  0.374283  0.588531  0.557742  1.0\n",
       "2005  0.467540  0.562374  0.631010  1.0\n",
       "2006  0.428267  0.406126  0.518514  1.0\n",
       "2007  0.508118  0.658770  0.786264  1.0\n",
       "2008  0.681434  0.804626  0.828303  1.0\n",
       "2009  0.707103  0.654902  0.797921  1.0\n",
       "2010  0.710105  0.730118  0.839057  1.0\n",
       "2011  0.691931  0.800996  0.859975  1.0"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "rets = close_px.pct_change().dropna()\n",
    "spx_corr = lambda x: x.corrwith(x['SPX'])\n",
    "by_year = rets.groupby(lambda x: x.year)\n",
    "by_year.apply(spx_corr)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "2003    0.480868\n",
       "2004    0.259024\n",
       "2005    0.300093\n",
       "2006    0.161735\n",
       "2007    0.417738\n",
       "2008    0.611901\n",
       "2009    0.432738\n",
       "2010    0.571946\n",
       "2011    0.581987\n",
       "dtype: float64"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 苹果和微软的年度相关系数\n",
    "by_year.apply(lambda g: g['AAPL'].corr(g['MSFT']))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {
    "collapsed": false
   },
   "outputs": [],
   "source": [
    "DataFrame.corrwith?"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "import statsmodels.api as sm\n",
    "def regress(data, yvar, xvars):\n",
    "    Y = data[yvar]\n",
    "    X = data[xvars]\n",
    "    X['intercept'] = 1.\n",
    "    # 最小二乘法（Ordinary Least Squares, OLS）\n",
    "    result = sm.OLS(Y, X).fit()\n",
    "    return result.params"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>SPX</th>\n",
       "      <th>intercept</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2003</th>\n",
       "      <td>1.195406</td>\n",
       "      <td>0.000710</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2004</th>\n",
       "      <td>1.363463</td>\n",
       "      <td>0.004201</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2005</th>\n",
       "      <td>1.766415</td>\n",
       "      <td>0.003246</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2006</th>\n",
       "      <td>1.645496</td>\n",
       "      <td>0.000080</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2007</th>\n",
       "      <td>1.198761</td>\n",
       "      <td>0.003438</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2008</th>\n",
       "      <td>0.968016</td>\n",
       "      <td>-0.001110</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2009</th>\n",
       "      <td>0.879103</td>\n",
       "      <td>0.002954</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2010</th>\n",
       "      <td>1.052608</td>\n",
       "      <td>0.001261</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2011</th>\n",
       "      <td>0.806605</td>\n",
       "      <td>0.001514</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "           SPX  intercept\n",
       "2003  1.195406   0.000710\n",
       "2004  1.363463   0.004201\n",
       "2005  1.766415   0.003246\n",
       "2006  1.645496   0.000080\n",
       "2007  1.198761   0.003438\n",
       "2008  0.968016  -0.001110\n",
       "2009  0.879103   0.002954\n",
       "2010  1.052608   0.001261\n",
       "2011  0.806605   0.001514"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "by_year.apply(regress, 'AAPL', ['SPX'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "d:\\Anaconda2\\lib\\site-packages\\ipykernel\\__main__.py:5: SettingWithCopyWarning: \n",
      "A value is trying to be set on a copy of a slice from a DataFrame.\n",
      "Try using .loc[row_indexer,col_indexer] = value instead\n",
      "\n",
      "See the caveats in the documentation: http://pandas.pydata.org/pandas-docs/stable/indexing.html#indexing-view-versus-copy\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "SPX          1.025987\n",
       "intercept    0.001896\n",
       "dtype: float64"
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "regress(rets.loc[:, :], 'AAPL', ['SPX'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "sm.OLS?"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([-1.,  1.])"
      ]
     },
     "execution_count": 25,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Y = [1,2,3,4,5,6,7,8]\n",
    "X = [2,3,4,5,6,7,8,9]\n",
    "X = sm.add_constant(X)\n",
    "model = sm.OLS(Y,X)\n",
    "results = model.fit()\n",
    "results.params"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": []
  }
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