python-33品种期货自相关系数

# -*- coding: utf-8 -*-"""Created on Thu Jun 22 17:03:16 2017@author: yunjinqi  E-mail:[e-mail]  Differentiate yourself in the world from anyone else."""import pandas as pdimport numpy as npimport matplotlib.pyplot as pltimport statsmodels.tsa.stattools as tsimport statsmodels.api as smfrom statsmodels.graphics.api import qqplotnamelist=['cu','al','zn','pb','sn','au','ag','rb','hc','bu','ru','m9','y9','a9',              'p9','c9','cs','jd','l9','v9','pp','j9','jm','i9','sr','cf',              'zc','fg','ta','ma','oi','rm','sm']j=0for i in namelist:        filename='C:/Users/HXWD/Desktop/数据/'+i+'.csv'    data=pd.read_csv(filename,encoding='gbk')    data.columns=['date','open','high','low','close','amt','opi']    data.head()    data=np.log(data['close'])    r=data-data.shift(1)    r=r.dropna()    #print(r)    x = np.array(r)    print(i)    lag_acf = acf(x, nlags=40)    lag_pacf = pacf(x, nlags=40, method='ols')    fig = plt.figure(figsize=(12,8))    ax1=fig.add_subplot(211)    print(lag_acf)    fig = sm.graphics.tsa.plot_acf(x,lags=40,ax=ax1)    ax2 = fig.add_subplot(212)    print(lag_pacf)    fig = sm.graphics.tsa.plot_pacf(x,lags=40,ax=ax2)    plt.show()

33期货品种指数的对数收益率的自相关检验，基本上不存在自相关。