ADF檢驗判斷股價是否隨機遊走
阿新 • • 發佈:2017-10-06
style 上下 nco stat sed utf-8 logs sin .com
從tushare上下載‘002337‘的數據
import tushare as ts data = ts.get_h_data(‘002337‘) data.to_csv(‘e:/stockData/002337.csv‘)
做ADF Test:
import pandas as pd import statsmodels.tsa.stattools as ts x = pd.read_csv(‘e:/stockData/002337.csv‘, encoding=‘utf-8‘, index_col=‘date‘) result = ts.adfuller(x.open, 1) print(result)
ADF檢驗結果
ADF Test Statistic -0.60992263732190832 p-value 0.8687241171140645 #Lags Used 1 Number of Observations Used 242 Critical Value(1%) -3.4576641321552009 Critical Value(5%) -2.8735585105960224 Critical Value(10%) -2.5731749894132916
p-value要小於0.05.等於0是最好的。平穩性好,非隨機遊走,可統計套利。
ADF Test Statistic要小於Critical Value,小於1%時平穩性最好,5%次之,依次類推。
如果ADF Test Statistic大於三個Critical Value,說明股價是隨機遊走的,無法進行統計套利,要尋找投資組合。
幾篇文章http://www.cnblogs.com/foley/p/5582358.html
http://blog.sina.com.cn/s/blog_7439e81e0102vh59.html
ADF檢驗判斷股價是否隨機遊走