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[Machine Learning for Trading] {ud501} Lesson 7: 01-06 Histograms and scatter plots

时间:2019-06-04 11:06:36      阅读:138      评论:0      收藏:0      [点我收藏+]

标签:idt   mic   apple   com   fit   ssi   wro   hat   put   

A closer look at daily returns

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 Histogram of daily returns

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gaussian => kurtosis = 0

 

 

 

 How to plot a histogram

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 Computing histogram statistics

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Select the option that best describes the relationship between XYZ and SPY.

Note:

  • These are histograms of daily return values, i.e. X-axis is +/- change (%), and Y-axis is the number of occurrences.
  • We are considering two general properties indicated by the histogram for each stock: return and volatility (or risk).

 

 

 

 Plot two histograms together

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 Scatterplots

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Fitting a line to data points 

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 Slope does not equal correlation

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 Correlation vs slope

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 Scatterplots in python

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Real world use of kurtosis


In early 2000s investment banks built bonds based on mortgages( morgage: 抵押) => assume these mortgages was normally distributed

=> on that basis, they were able to show that these bonds had low probability of fault => 2 mistakes

=> (1) return of each mortagage was independent 

=> (2) using gassian distrubution discribing the return

(1) and (2) were proved to be wrong => precipitated the great recession of 2008

 

 

[Machine Learning for Trading] {ud501} Lesson 7: 01-06 Histograms and scatter plots

标签:idt   mic   apple   com   fit   ssi   wro   hat   put   

原文地址:https://www.cnblogs.com/ecoflex/p/10972290.html

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