Endeks korelasyonu ve Excel’e aktarma

Python ile Zaman Serisi Verilerini Manipüle Etme

Stefan Jansen

Founder & Lead Data Scientist at Applied Artificial Intelligence

Endeksinizin ek analizi

Günlük getiri korelasyonları:
Tüm bileşenler arasında hesapla
Sonucu ısı haritası olarak görselleştir
Sonuçları .xls ve .xlsx ile Excel’e yaz:
Tek çalışma sayfası
Birden çok çalışma sayfası

Endeks bileşenleri - fiyat verisi

data = DataReader(tickers, 'google', start='2016', end='2017')['Close']

data.info()

DatetimeIndex: 252 entries, 2016-01-04 to 2016-12-30
Data columns (total 12 columns):
ABB     252 non-null float64
BABA    252 non-null float64
JNJ     252 non-null float64
JPM     252 non-null float64
KO      252 non-null float64
ORCL    252 non-null float64
PG      252 non-null float64
T       252 non-null float64
TM      252 non-null float64
UPS     252 non-null float64
WMT     252 non-null float64
XOM     252 non-null float64

Endeks bileşenleri: getiri korelasyonları

daily_returns = data.pct_change()

correlations = daily_returns.corr()

ABB  BABA  JNJ  JPM   KO  ORCL   PG    T   TM  UPS  WMT  XOM
ABB  1.00  0.40 0.33 0.56 0.31  0.53 0.34 0.29 0.48 0.50 0.15 0.48
BABA 0.40  1.00 0.27 0.27 0.25  0.38 0.21 0.17 0.34 0.35 0.13 0.21
JNJ  0.33  0.27 1.00 0.34 0.30  0.37 0.42 0.35 0.29 0.45 0.24 0.41
JPM  0.56  0.27 0.34 1.00 0.22  0.57 0.27 0.13 0.49 0.56 0.14 0.48
KO   0.31  0.25 0.30 0.22 1.00  0.31 0.62 0.47 0.33 0.50 0.25 0.29
ORCL 0.53  0.38 0.37 0.57 0.31  1.00 0.41 0.32 0.48 0.54 0.21 0.42
PG   0.34  0.21 0.42 0.27 0.62  0.41 1.00 0.43 0.32 0.47 0.33 0.34
T    0.29  0.17 0.35 0.13 0.47  0.32 0.43 1.00 0.28 0.41 0.31 0.33
TM   0.48  0.34 0.29 0.49 0.33  0.48 0.32 0.28 1.00 0.52 0.20 0.30
UPS  0.50  0.35 0.45 0.56 0.50  0.54 0.47 0.41 0.52 1.00 0.33 0.45
WMT  0.15  0.13 0.24 0.14 0.25  0.21 0.33 0.31 0.20 0.33 1.00 0.21
XOM  0.48  0.21 0.41 0.48 0.29  0.42 0.34 0.33 0.30 0.45 0.21 1.00

Endeks bileşenleri: getiri korelasyonları

sns.heatmap(correlations, annot=True)
plt.xticks(rotation=45)
plt.title('Daily Return Correlations')

ch4_4_v2 - Index Correlation & Saving Results to Excel.010.png

Tek bir Excel çalışma sayfasına kaydetme

correlations.to_excel(excel_writer= 'correlations.xls',
                      sheet_name='correlations',
                      startrow=1,
                      startcol=1)

ch4_4_v2 - Index Correlation & Saving Results to Excel.012.png

Birden çok Excel çalışma sayfasına kaydetme

data.index = data.index.date # Yalnızca tarih bileşenini tut

with pd.ExcelWriter('stock_data.xlsx') as writer:

    corr.to_excel(excel_writer=writer, sheet_name='correlations')

    data.to_excel(excel_writer=writer, sheet_name='prices')

    data.pct_change().to_excel(writer, sheet_name='returns')

ch4_4_v2 - Index Correlation & Saving Results to Excel.015.png

Haydi pratik yapalım!

Python ile Zaman Serisi Verilerini Manipüle Etme