In this notebook I experiment with synthetic data generation using block bootstrap methods available from the arch
package. The basic idea is to compare the aspects of the real series with the bootstrapped versions.
%load_ext autoreload
%autoreload 2
%load_ext watermark
from pathlib import Path
import time
from pprint import pprint, pformat
import pandas as pd
import numpy as np
import scipy.stats as stats
import statsmodels.api as sm
import numba as nb
from arch.bootstrap import CircularBlockBootstrap
# import visual tools
import matplotlib as mpl
import matplotlib.pyplot as plt
import matplotlib.gridspec as gridspec
%matplotlib inline
import seaborn as sns
sns_params = {
'font.size':9.5,
'font.weight':'medium',
'figure.figsize':(10,7),
}
plt.style.use('seaborn-talk')
plt.style.use('bmh')
#plt.style.use('dark_background')
sns.set_context(sns_params)
savefig_kwds=dict(dpi=300, bbox_inches='tight', frameon=True, format='png')
nanex_colors = ("#f92b20", "#fe701b", "#facd1f", "#d6fd1c", "#65fe1b",
"#1bfe42", "#1cfdb4", "#1fb9fa", "#1e71fb", "#261cfd")
nanex_cmap = mpl.colors.ListedColormap(nanex_colors,name='nanex_cmap')
plt.register_cmap('nanex_cmap', cmap=nanex_cmap)
# import util libs
from tqdm import tqdm, tqdm_notebook
import warnings
warnings.filterwarnings("ignore")
from src.tools.pystore_tools import *
from src.tools.utils import *
from src.CONSTANTS import PROJECT_REPO_NAME
pdir = get_relative_project_dir(
project_repo_name=PROJECT_REPO_NAME, partial=False)
data_dir = Path(pdir/'data')
%watermark -v -m -g
print()
%watermark --iversions
CPython 3.7.2 IPython 6.5.0 compiler : GCC 7.3.0 system : Linux release : 4.19.11-041911-generic machine : x86_64 processor : x86_64 CPU cores : 12 interpreter: 64bit Git hash : 35d8ca2d13e1b93c7e794bba4ad5deadba2f69fb pandas 0.23.4 numpy 1.15.4 numba 0.41.0 matplotlib 3.0.2 seaborn 0.9.0 pystore 0.1.5 dask 1.0.0 logzero 1.5.0
Below I have aggregated some convenience functions to plot the various statistics such as mean, std, min, max, and autocorrelation structures between the real series and the synthetic. The plots also feature comparisons of the indexed price series among the various realizations.
def plot_autocorr(s, lags=50, figsize=(10,7), title=None):
fig = plt.figure(figsize=figsize)
layout = 2, 2
acf_ax = plt.subplot2grid(layout, (0, 0))
abs_acf_ax = plt.subplot2grid(layout, (0, 1))
pacf_ax = plt.subplot2grid(layout, (1, 0))
squared_ax = plt.subplot2grid(layout, (1, 1))
sm.graphics.tsa.plot_acf(s, fft=True, zero=False, lags=lags, ax=acf_ax,
title='Autocorrelation of Returns');
sm.graphics.tsa.plot_acf(s.abs(), fft=True, zero=False,
lags=lags, ax=abs_acf_ax,
title='Autocorrelation of Absolute Returns');
sm.graphics.tsa.plot_pacf(s, zero=False, lags=lags, ax=pacf_ax,
title='Partial Autocorrelation of Returns');
sm.graphics.tsa.plot_acf(s**2, fft=True, zero=False,
lags=lags, ax=squared_ax,
title='Autocorrelation of Squared Returns');
if title: fig.suptitle(title, fontweight='demi', fontsize=16)
fig.tight_layout()
fig.subplots_adjust(top=0.88)
return
def plot_mean_dist(returns, sim_returns, ax):
mean_return = returns.mean()
ax.set_title(f'{returns.name} mean return: {mean_return:.4f}')
sim_means = sim_returns.mean().squeeze()
g = sns.distplot(sim_means, kde=False, ax=ax)
g.axvline(mean_return, color='r')
return
def plot_std_dist(returns, sim_returns, ax):
std = returns.std()
ax.set_title(f'{returns.name} return std: {std:.4f}')
sim_stds = sim_returns.std().squeeze()
g = sns.distplot(sim_stds, kde=False, ax=ax)
g.axvline(std, color='r')
return
def plot_min_dist(returns, sim_returns, ax):
min_ = returns.min()
ax.set_title(f'{returns.name} return min: {min_:.4f}')
sim_mins = sim_returns.min().squeeze()
g = sns.distplot(sim_mins, kde=False, ax=ax)
g.axvline(min_, color='r')
return
def plot_max_dist(returns, sim_returns, ax):
max_ = returns.max()
ax.set_title(f'{returns.name} return max: {max_:.4f}')
sim_maxs = sim_returns.max().squeeze()
g = sns.distplot(sim_maxs, kde=False, ax=ax)
g.axvline(max_, color='r')
return
def plot_autocorr_dist(returns, sim_returns, ax):
autocorr = returns.autocorr()
ax.set_title(f'{returns.name} return autocorr: {autocorr:.4f}')
sim_autocorrs = sim_returns.apply(pd.Series.autocorr).squeeze()
g = sns.distplot(sim_autocorrs, kde=False, ax=ax)
g.axvline(autocorr, color='r')
return
def plot_stat_dist(returns, sim_returns, figsize=(10,7)):
fig = plt.figure(figsize=figsize, constrained_layout=True)
gs = fig.add_gridspec(3, 2)
plot_mean_dist(returns, sim_returns, fig.add_subplot(gs[0,0]))
plot_std_dist(returns, sim_returns, fig.add_subplot(gs[0,1]))
plot_min_dist(returns, sim_returns, fig.add_subplot(gs[1,0]))
plot_max_dist(returns, sim_returns, fig.add_subplot(gs[1,1]))
plot_autocorr_dist(returns, sim_returns, fig.add_subplot(gs[2,:]))
fig.suptitle(f'{returns.name} simulated stat distributions',
fontweight='demi', fontsize=16)
fig.tight_layout()
fig.subplots_adjust(top=0.88)
return
def to_returns(s): return np.log(s/s.shift(1)).dropna()
def to_price_index(df, start=100):
return (start * (np.exp(df.cumsum())))
def cdescribe(x, n_cols=None):
if not n_cols:
d = x.describe()
d.loc['skew'] = x.skew()
d.loc['kurtosis'] = x.kurtosis()
return d
else:
x_ = x.sample(n_cols, axis=1)
d = x_.describe()
d.loc['skew'] = x_.skew()
d.loc['kurtosis'] = x_.kurtosis()
return d
def CBB(s, blocksize, N_paths):
sim_returns = []
bs = CircularBlockBootstrap(blocksize, s)
for i, data in enumerate(tqdm(bs.bootstrap(N_paths))):
tmp = data[0][0].reset_index(drop=True)
sim_returns.append(tmp)
simulations = pd.concat(sim_returns, axis=1, ignore_index=True)
return simulations
def compare_stats(x, y, n_cols=None):
pd.options.display.float_format = '{:,.4f}'.format
data = (pd.concat([cdescribe(x), cdescribe(y, n_cols=n_cols)], axis=1))
return data
def view_all(real, sims, n_cols=20, cmap=None):
plt.set_cmap(cmap)
display(compare_stats(real, sims, n_cols=20))
plot_stat_dist(real, sims)
plot_autocorr(real, title=f'{real.name} Real Returns')
rand_col = np.random.randint(len(sims.columns), size=1)[0]
plot_autocorr(sims[rand_col],
title=f'Simulated Return Path {rand_col}')
return
def plot_realizations(real, sims, start,
n_plot_paths=50, figsize=(10,7), cmap=None):
plt.set_cmap(cmap)
sim_prices = to_price_index(sims, start=100)
fig, ax = plt.subplots(figsize=figsize)
(sim_prices.sample(n_plot_paths, axis=1)
.plot(legend=False, alpha=0.7, lw=1., ax=ax))
(to_price_index(real.reset_index(drop=True))
.plot(legend=True, ax=ax, lw=5, ls='--', color='k'))
plt.title(f'{real.name} {n_plot_paths} simulated price paths')
Below is intraday data from the iex
trading exchange sampled at a 30 sec resolution, resampled to 1 mean using the mean price over the period. The data covers approximately 3 months ending in December 2018.
infp = Path(data_dir/'processed'/'etf_symbols_01.parq')
all_df = pd.read_parquet(infp).swaplevel().sort_index()
cprint(all_df)
------------------------------------------------------------------------------- dataframe information ------------------------------------------------------------------------------- lastSalePrice lastSaleSize volume \ dates symbol 2018-12-31 13:59:00 XME 26.100000 603.333333 18626.000000 XOP 26.425000 74.000000 394477.333333 XPH 36.490000 200.000000 1328.000000 XRT 40.868333 175.333333 134839.333333 XSD 64.600000 100.000000 200.000000 spread mid_price dollar_volume dates symbol 2018-12-31 13:59:00 XME 0.060000 26.130000 486141.60 XOP -17.610000 17.611667 10424067.99 XPH 0.000000 0.000000 48458.72 XRT -13.613333 6.806667 5510663.71 XSD 0.000000 0.000000 12920.00 -------------------------------------------------- <class 'pandas.core.frame.DataFrame'> MultiIndex: 4078721 entries, (2018-10-01 07:30:00, EEM) to (2018-12-31 13:59:00, XSD) Data columns (total 6 columns): lastSalePrice float64 lastSaleSize float64 volume float64 spread float64 mid_price float64 dollar_volume float64 dtypes: float64(6) memory usage: 202.4+ MB None -------------------------------------------------------------------------------
prices = all_df['lastSalePrice'].unstack()
cprint(prices)
------------------------------------------------------------------------------- dataframe information ------------------------------------------------------------------------------- symbol AAXJ ACWI ACWV ACWX AGG BIL \ dates 2018-12-31 13:55:00 63.971667 63.971667 81.090 41.86 106.455000 91.455 2018-12-31 13:56:00 63.990000 63.990000 81.035 41.86 106.455000 91.455 2018-12-31 13:57:00 63.905000 63.905000 81.035 41.86 106.465000 91.455 2018-12-31 13:58:00 63.900000 63.900000 81.030 41.86 106.481667 91.455 2018-12-31 13:59:00 63.936667 63.936667 81.030 41.86 106.498333 91.455 symbol BIV BKF BLV BND ... XLK \ dates ... 2018-12-31 13:55:00 81.265 37.45 87.420000 79.180000 ... 61.696667 2018-12-31 13:56:00 81.265 37.45 87.420000 79.180000 ... 61.706667 2018-12-31 13:57:00 81.265 37.45 87.420000 79.180000 ... 61.536667 2018-12-31 13:58:00 81.265 37.45 87.446667 79.180000 ... 61.586667 2018-12-31 13:59:00 81.265 37.45 87.460000 79.193333 ... 61.643333 symbol XLP XLU XLV XLY XME \ dates 2018-12-31 13:55:00 50.583333 52.821667 86.020000 98.538333 26.080000 2018-12-31 13:56:00 50.623333 52.841667 86.046667 98.610000 26.113333 2018-12-31 13:57:00 50.505000 52.761667 85.843333 98.416667 26.080000 2018-12-31 13:58:00 50.531667 52.768333 85.860000 98.396667 26.086667 2018-12-31 13:59:00 50.578333 52.785000 85.943333 98.483333 26.100000 symbol XOP XPH XRT XSD dates 2018-12-31 13:55:00 26.393333 36.47 40.833333 64.6 2018-12-31 13:56:00 26.423333 36.47 40.888333 64.6 2018-12-31 13:57:00 26.373333 36.47 40.838333 64.6 2018-12-31 13:58:00 26.390000 36.49 40.856667 64.6 2018-12-31 13:59:00 26.425000 36.49 40.868333 64.6 [5 rows x 236 columns] -------------------------------------------------- <class 'pandas.core.frame.DataFrame'> DatetimeIndex: 20567 entries, 2018-10-01 07:30:00 to 2018-12-31 13:59:00 Columns: 236 entries, AAXJ to XSD dtypes: float64(236) memory usage: 37.2 MB None -------------------------------------------------------------------------------
sector = [x for x in prices.columns if x.startswith('XL')]
sectors = prices[sector].dropna()
cprint(sectors)
------------------------------------------------------------------------------- dataframe information ------------------------------------------------------------------------------- symbol XLB XLE XLF XLI XLK \ dates 2018-12-31 13:55:00 50.290000 57.011667 23.693333 64.116667 61.696667 2018-12-31 13:56:00 50.278333 57.060000 23.713333 64.128333 61.706667 2018-12-31 13:57:00 50.195000 56.940000 23.666667 63.996667 61.536667 2018-12-31 13:58:00 50.190000 56.990000 23.668333 64.003333 61.586667 2018-12-31 13:59:00 50.250000 57.091667 23.700000 64.076667 61.643333 symbol XLP XLU XLV XLY dates 2018-12-31 13:55:00 50.583333 52.821667 86.020000 98.538333 2018-12-31 13:56:00 50.623333 52.841667 86.046667 98.610000 2018-12-31 13:57:00 50.505000 52.761667 85.843333 98.416667 2018-12-31 13:58:00 50.531667 52.768333 85.860000 98.396667 2018-12-31 13:59:00 50.578333 52.785000 85.943333 98.483333 -------------------------------------------------- <class 'pandas.core.frame.DataFrame'> DatetimeIndex: 20029 entries, 2018-10-01 07:32:00 to 2018-12-31 13:59:00 Data columns (total 9 columns): XLB 20029 non-null float64 XLE 20029 non-null float64 XLF 20029 non-null float64 XLI 20029 non-null float64 XLK 20029 non-null float64 XLP 20029 non-null float64 XLU 20029 non-null float64 XLV 20029 non-null float64 XLY 20029 non-null float64 dtypes: float64(9) memory usage: 1.5 MB None -------------------------------------------------------------------------------
compute the returns.
sector_returns = to_returns(sectors).dropna()
XLE
¶xle = sector_returns['XLE']
cprint(xle)
------------------------------------------------------------------------------- dataframe information ------------------------------------------------------------------------------- XLE dates 2018-12-31 13:55:00 0.000556 2018-12-31 13:56:00 0.000847 2018-12-31 13:57:00 -0.002105 2018-12-31 13:58:00 0.000878 2018-12-31 13:59:00 0.001782 -------------------------------------------------- <class 'pandas.core.frame.DataFrame'> DatetimeIndex: 20028 entries, 2018-10-01 07:33:00 to 2018-12-31 13:59:00 Data columns (total 1 columns): XLE 20028 non-null float64 dtypes: float64(1) memory usage: 312.9 KB None -------------------------------------------------------------------------------
N_paths = 1_000
block_size = 100
xle_sims = CBB(xle, blocksize=block_size, N_paths=N_paths)
1000it [00:00, 2103.48it/s]
view_all(xle, xle_sims, cmap=None)
XLE | 62 | 15 | 82 | 922 | 601 | 290 | 293 | 871 | 457 | ... | 765 | 65 | 843 | 474 | 877 | 42 | 728 | 458 | 574 | 685 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0009 | 0.0010 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | ... | 0.0010 | 0.0010 | 0.0010 | 0.0010 | 0.0008 | 0.0011 | 0.0010 | 0.0009 | 0.0009 | 0.0009 |
min | -0.0285 | -0.0285 | -0.0285 | -0.0285 | -0.0285 | -0.0190 | -0.0285 | -0.0285 | -0.0243 | -0.0285 | ... | -0.0285 | -0.0285 | -0.0237 | -0.0285 | -0.0148 | -0.0285 | -0.0285 | -0.0243 | -0.0285 | -0.0285 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0004 | -0.0004 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0276 | 0.0276 | 0.0238 | 0.0276 | 0.0276 | 0.0276 | 0.0238 | 0.0276 | 0.0276 | 0.0276 | ... | 0.0276 | 0.0276 | 0.0238 | 0.0276 | 0.0158 | 0.0276 | 0.0238 | 0.0276 | 0.0276 | 0.0276 |
skew | -1.1478 | -1.7493 | -4.3336 | -1.7894 | -0.4918 | 4.8033 | -3.7040 | -3.3357 | -2.9062 | -1.3815 | ... | -1.6492 | -1.8320 | 0.9217 | -0.8227 | 0.0548 | -1.7132 | -0.3340 | -0.8187 | -6.3225 | 0.7036 |
kurtosis | 214.0395 | 232.1456 | 205.1655 | 198.4600 | 196.8028 | 209.8321 | 224.1785 | 249.4489 | 224.3600 | 225.7883 | ... | 206.3803 | 244.7167 | 168.1456 | 226.0526 | 70.0080 | 256.0923 | 211.2428 | 189.3176 | 279.1243 | 196.5652 |
10 rows × 21 columns
<Figure size 432x288 with 0 Axes>
plot_realizations(xle, xle_sims, start=100,
n_plot_paths=250, cmap='nanex_cmap')
<Figure size 432x288 with 0 Axes>
sns.heatmap(sectors.corr())
<matplotlib.axes._subplots.AxesSubplot at 0x7f5feeaaaf60>
concat = pd.concat([xle.reset_index(drop=True), xle_sims],axis=1)
concat.corrwith(concat['XLE'])
XLE 1.0000 0 0.0022 1 -0.0054 2 0.0080 3 0.0076 4 0.0053 5 -0.0108 6 0.0045 7 -0.0012 8 0.0106 9 0.0029 10 -0.0096 11 0.0003 12 0.0013 13 -0.0065 14 -0.0029 15 0.0016 16 -0.0020 17 0.0063 18 -0.0030 19 0.0059 20 -0.0052 21 0.0069 22 0.0023 23 0.0036 24 0.0000 25 0.0007 26 -0.0051 27 0.0154 28 0.0021 ... 970 0.0060 971 -0.0007 972 0.0004 973 0.0018 974 0.0017 975 -0.0063 976 0.0079 977 -0.0030 978 -0.0030 979 -0.0068 980 0.0001 981 -0.0023 982 0.0030 983 -0.0080 984 -0.0047 985 -0.0062 986 0.0047 987 0.0062 988 -0.0192 989 0.0028 990 -0.0018 991 0.0012 992 -0.0042 993 0.0084 994 0.0033 995 0.0108 996 -0.0051 997 0.0007 998 -0.0164 999 -0.0068 Length: 1001, dtype: float64
sns.heatmap(concat.corr())
<matplotlib.axes._subplots.AxesSubplot at 0x7f5feeed0710>
sim_dict = dict()
for sec in sector_returns:
tmp = sector_returns[sec]
N_paths = 2000
block_size = 100
sec_sims = CBB(tmp, blocksize=block_size, N_paths=N_paths)
sim_dict[sec] = sec_sims
view_all(tmp, sec_sims, cmap=None)
plot_realizations(tmp, sec_sims, start=100,
n_plot_paths=100, cmap='nanex_cmap')
2000it [00:01, 1898.11it/s]
XLB | 1246 | 514 | 824 | 172 | 592 | 1876 | 62 | 1277 | 912 | ... | 1368 | 394 | 1766 | 720 | 821 | 613 | 360 | 871 | 1718 | 498 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0007 | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0008 | ... | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0008 | 0.0008 |
min | -0.0212 | -0.0212 | -0.0212 | -0.0165 | -0.0212 | -0.0210 | -0.0210 | -0.0165 | -0.0212 | -0.0212 | ... | -0.0212 | -0.0212 | -0.0210 | -0.0212 | -0.0212 | -0.0165 | -0.0212 | -0.0212 | -0.0212 | -0.0210 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0001 | 0.0002 | 0.0002 | 0.0001 | 0.0002 | 0.0001 | 0.0002 | 0.0001 |
max | 0.0215 | 0.0209 | 0.0185 | 0.0215 | 0.0185 | 0.0209 | 0.0215 | 0.0215 | 0.0209 | 0.0215 | ... | 0.0185 | 0.0159 | 0.0215 | 0.0215 | 0.0185 | 0.0215 | 0.0159 | 0.0209 | 0.0215 | 0.0215 |
skew | 0.1371 | 3.4367 | -3.6326 | 2.4115 | -2.2794 | 2.1112 | 3.2886 | 3.3865 | -3.1153 | 0.0855 | ... | -1.8573 | -0.5275 | -1.6819 | 1.9826 | -2.1505 | 2.4286 | -2.2752 | -2.1781 | -0.4862 | -0.0017 |
kurtosis | 181.2890 | 183.9256 | 167.0301 | 169.2249 | 163.8458 | 202.9235 | 177.4138 | 204.5612 | 186.1422 | 201.5498 | ... | 168.2814 | 115.5665 | 151.4552 | 178.6772 | 175.8756 | 204.7690 | 114.3395 | 188.8145 | 155.7606 | 165.3744 |
10 rows × 21 columns
2000it [00:00, 2220.22it/s]
XLE | 759 | 103 | 71 | 598 | 221 | 1232 | 951 | 1581 | 1653 | ... | 113 | 1800 | 293 | 1002 | 260 | 1419 | 1109 | 233 | 305 | 1076 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 |
std | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0010 | 0.0009 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | ... | 0.0010 | 0.0009 | 0.0009 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0009 |
min | -0.0285 | -0.0243 | -0.0285 | -0.0243 | -0.0243 | -0.0243 | -0.0285 | -0.0285 | -0.0285 | -0.0285 | ... | -0.0285 | -0.0285 | -0.0285 | -0.0285 | -0.0285 | -0.0190 | -0.0237 | -0.0285 | -0.0285 | -0.0243 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0004 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0004 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0276 | 0.0238 | 0.0206 | 0.0238 | 0.0276 | 0.0276 | 0.0238 | 0.0276 | 0.0238 | 0.0276 | ... | 0.0238 | 0.0206 | 0.0276 | 0.0276 | 0.0276 | 0.0238 | 0.0276 | 0.0276 | 0.0276 | 0.0276 |
skew | -1.1478 | -1.4830 | -6.2481 | -1.3173 | -3.2397 | 0.3533 | -3.6229 | -2.4384 | -1.2847 | 1.1128 | ... | -2.8863 | -2.3939 | 0.9301 | -0.5514 | -0.6464 | 0.8583 | 1.5557 | -1.4676 | -0.4689 | -1.7101 |
kurtosis | 214.0395 | 182.4835 | 199.5656 | 178.6037 | 183.4771 | 197.4433 | 233.9060 | 241.9974 | 223.3564 | 214.7726 | ... | 236.0567 | 144.9644 | 253.6961 | 233.6655 | 229.3406 | 131.0603 | 188.0275 | 246.3730 | 193.9853 | 232.7259 |
10 rows × 21 columns
2000it [00:00, 2230.02it/s]
XLF | 165 | 1801 | 942 | 857 | 66 | 95 | 1750 | 1791 | 1068 | ... | 1337 | 1076 | 1295 | 1477 | 621 | 759 | 545 | 1856 | 1443 | 1012 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0008 | 0.0009 | 0.0007 | 0.0008 | 0.0009 | 0.0008 | 0.0008 | 0.0008 | ... | 0.0008 | 0.0009 | 0.0008 | 0.0008 | 0.0009 | 0.0007 | 0.0008 | 0.0008 | 0.0009 | 0.0008 |
min | -0.0240 | -0.0240 | -0.0240 | -0.0240 | -0.0157 | -0.0199 | -0.0240 | -0.0240 | -0.0199 | -0.0240 | ... | -0.0240 | -0.0240 | -0.0240 | -0.0240 | -0.0240 | -0.0199 | -0.0240 | -0.0240 | -0.0240 | -0.0199 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0196 | 0.0196 | 0.0196 | 0.0143 | 0.0196 | 0.0164 | 0.0196 | 0.0164 | 0.0196 | 0.0164 | ... | 0.0157 | 0.0196 | 0.0164 | 0.0196 | 0.0196 | 0.0164 | 0.0196 | 0.0164 | 0.0196 | 0.0164 |
skew | -1.8309 | -1.7554 | -1.2435 | -5.9189 | 1.6907 | -1.5710 | -2.1141 | -5.0086 | -2.2237 | -2.2848 | ... | -1.3765 | -1.3300 | -1.3227 | -4.9571 | -4.6734 | 0.5736 | -3.9689 | -5.0355 | -2.6802 | -4.1898 |
kurtosis | 163.3457 | 162.5939 | 155.3228 | 213.7059 | 107.4517 | 148.1915 | 151.4556 | 214.4406 | 128.9714 | 177.0564 | ... | 135.6505 | 166.5284 | 152.8402 | 204.5689 | 158.8608 | 143.0921 | 167.7563 | 233.8225 | 152.2562 | 142.7599 |
10 rows × 21 columns
2000it [00:00, 2003.05it/s]
XLI | 1270 | 1052 | 1346 | 236 | 1144 | 786 | 387 | 506 | 664 | ... | 219 | 184 | 892 | 1127 | 1400 | 478 | 1888 | 1922 | 887 | 1237 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0009 | 0.0009 | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0008 | 0.0008 | ... | 0.0007 | 0.0008 | 0.0008 | 0.0009 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 |
min | -0.0243 | -0.0243 | -0.0243 | -0.0243 | -0.0180 | -0.0243 | -0.0180 | -0.0196 | -0.0243 | -0.0196 | ... | -0.0196 | -0.0196 | -0.0243 | -0.0243 | -0.0243 | -0.0243 | -0.0196 | -0.0243 | -0.0243 | -0.0196 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0002 | -0.0002 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0003 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0223 | 0.0155 | 0.0223 | 0.0223 | 0.0223 | 0.0223 | 0.0223 | 0.0155 | 0.0223 | 0.0155 | ... | 0.0223 | 0.0223 | 0.0223 | 0.0223 | 0.0223 | 0.0155 | 0.0139 | 0.0223 | 0.0223 | 0.0223 |
skew | -2.0874 | -0.3855 | -3.9744 | -3.4284 | -0.8261 | 1.4367 | -1.2278 | -3.2678 | -2.5994 | -0.7865 | ... | 0.7236 | 0.1356 | -4.8223 | -4.7804 | -3.5214 | -3.7292 | -3.7543 | -2.6257 | -2.0061 | -1.4708 |
kurtosis | 159.4556 | 122.5277 | 150.5805 | 183.2744 | 111.6865 | 210.6491 | 131.3226 | 119.1644 | 216.9766 | 112.6524 | ... | 150.5052 | 182.5728 | 168.0503 | 204.0371 | 198.9529 | 145.5943 | 119.1048 | 275.3121 | 146.9757 | 156.0997 |
10 rows × 21 columns
2000it [00:00, 2064.52it/s]
XLK | 291 | 516 | 1721 | 241 | 483 | 760 | 1744 | 1799 | 847 | ... | 59 | 1293 | 626 | 1828 | 768 | 247 | 316 | 1425 | 807 | 1485 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | 0.0000 |
std | 0.0010 | 0.0010 | 0.0010 | 0.0009 | 0.0010 | 0.0009 | 0.0010 | 0.0010 | 0.0009 | 0.0010 | ... | 0.0009 | 0.0009 | 0.0009 | 0.0010 | 0.0009 | 0.0009 | 0.0009 | 0.0011 | 0.0010 | 0.0009 |
min | -0.0250 | -0.0217 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0217 | -0.0250 | ... | -0.0203 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0217 | -0.0250 | -0.0217 | -0.0250 | -0.0217 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0262 | 0.0262 | 0.0262 | 0.0168 | 0.0262 | 0.0262 | 0.0262 | 0.0262 | 0.0168 | 0.0234 | ... | 0.0262 | 0.0168 | 0.0262 | 0.0262 | 0.0262 | 0.0262 | 0.0262 | 0.0262 | 0.0262 | 0.0234 |
skew | -1.4734 | -1.9988 | -0.7956 | -4.0344 | -2.8603 | -0.5874 | -0.4804 | -3.8362 | -5.1977 | -5.1359 | ... | 3.3713 | -2.2663 | -2.6618 | -0.7318 | -3.6745 | -2.6720 | 0.2229 | 0.5433 | -0.5830 | -1.6581 |
kurtosis | 169.0033 | 183.8149 | 181.2500 | 180.9159 | 189.4075 | 210.7883 | 181.5797 | 174.5759 | 142.3784 | 169.0867 | ... | 168.3775 | 154.9194 | 160.4967 | 175.1471 | 177.1576 | 147.6783 | 204.2995 | 172.0769 | 181.2915 | 140.2097 |
10 rows × 21 columns
2000it [00:01, 1872.83it/s]
XLP | 1963 | 1825 | 642 | 793 | 311 | 1973 | 1380 | 515 | 1088 | ... | 1624 | 653 | 1655 | 844 | 197 | 1421 | 343 | 1178 | 805 | 104 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0006 | 0.0005 | 0.0006 | 0.0006 | 0.0005 | 0.0006 | 0.0006 | 0.0005 | 0.0006 | 0.0006 | ... | 0.0006 | 0.0006 | 0.0005 | 0.0006 | 0.0005 | 0.0006 | 0.0006 | 0.0005 | 0.0006 | 0.0006 |
min | -0.0205 | -0.0123 | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0085 | -0.0120 | -0.0205 | ... | -0.0205 | -0.0120 | -0.0123 | -0.0205 | -0.0123 | -0.0123 | -0.0123 | -0.0123 | -0.0123 | -0.0205 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0164 | 0.0164 | 0.0100 | 0.0100 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | ... | 0.0164 | 0.0164 | 0.0085 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0164 |
skew | -2.6199 | 0.4735 | -6.3335 | -5.6294 | -4.4051 | -1.2431 | -3.5686 | 1.4006 | -0.8851 | -3.8031 | ... | -5.7357 | 0.1819 | -1.3182 | -3.2559 | -0.1692 | 1.0903 | 0.1457 | 0.8835 | 3.6471 | -5.2236 |
kurtosis | 179.0759 | 93.7858 | 219.0657 | 197.3337 | 278.7614 | 167.7890 | 276.9132 | 93.8713 | 124.8939 | 263.0938 | ... | 279.6832 | 96.0415 | 58.8187 | 240.3877 | 99.3617 | 94.3866 | 106.0708 | 143.9933 | 170.4192 | 248.1321 |
10 rows × 21 columns
2000it [00:00, 2133.72it/s]
XLU | 1763 | 1546 | 295 | 1045 | 647 | 1626 | 1496 | 1056 | 1417 | ... | 561 | 526 | 1092 | 789 | 1805 | 282 | 800 | 1981 | 1512 | 946 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | 0.0000 | 0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | ... | 0.0000 | 0.0000 | -0.0000 | 0.0000 | 0.0000 | -0.0000 | 0.0000 | 0.0000 | -0.0000 | -0.0000 |
std | 0.0006 | 0.0007 | 0.0006 | 0.0007 | 0.0007 | 0.0007 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | ... | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0007 | 0.0006 | 0.0006 |
min | -0.0288 | -0.0288 | -0.0288 | -0.0288 | -0.0288 | -0.0288 | -0.0122 | -0.0117 | -0.0288 | -0.0288 | ... | -0.0288 | -0.0131 | -0.0288 | -0.0288 | -0.0288 | -0.0288 | -0.0131 | -0.0131 | -0.0288 | -0.0288 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0165 | 0.0165 | 0.0165 | 0.0127 | 0.0165 | 0.0127 | 0.0127 | 0.0127 | 0.0165 | 0.0165 | ... | 0.0165 | 0.0127 | 0.0083 | 0.0127 | 0.0127 | 0.0094 | 0.0165 | 0.0165 | 0.0083 | 0.0165 |
skew | -4.6218 | -5.1809 | -4.9789 | -4.4373 | -10.7475 | -10.0379 | -0.6546 | 2.3524 | -6.1388 | -3.4668 | ... | -3.8949 | -1.7346 | -10.2977 | -4.7932 | -5.0850 | -10.0283 | 0.4614 | 2.2001 | -6.9951 | -3.0642 |
kurtosis | 288.4771 | 296.8368 | 342.5700 | 225.4223 | 524.2665 | 432.8416 | 77.9959 | 83.0560 | 346.8904 | 258.8393 | ... | 323.0389 | 77.5143 | 426.1454 | 285.1608 | 255.2015 | 389.2546 | 122.4439 | 144.1018 | 283.0038 | 282.4019 |
10 rows × 21 columns
2000it [00:01, 1847.68it/s]
XLV | 1126 | 934 | 1935 | 1388 | 630 | 878 | 1889 | 1743 | 418 | ... | 1373 | 644 | 1048 | 461 | 280 | 873 | 600 | 1769 | 1010 | 1788 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 |
std | 0.0007 | 0.0006 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0006 | 0.0007 | 0.0007 | ... | 0.0006 | 0.0006 | 0.0007 | 0.0007 | 0.0006 | 0.0007 | 0.0007 | 0.0007 | 0.0006 | 0.0006 |
min | -0.0210 | -0.0205 | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0205 | -0.0210 | ... | -0.0210 | -0.0210 | -0.0205 | -0.0205 | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0152 | -0.0117 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0001 |
max | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0156 | 0.0157 | 0.0157 | 0.0157 | 0.0156 | ... | 0.0065 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0156 | 0.0156 |
skew | -2.3524 | -5.3992 | -0.9982 | -1.7147 | -1.4485 | -7.4021 | -2.2142 | -2.0682 | -0.5933 | -4.1903 | ... | -4.4853 | -3.8595 | 1.8440 | -3.0257 | -1.9949 | -0.6967 | -4.4813 | -2.2599 | -1.6680 | 2.0904 |
kurtosis | 169.5654 | 206.9599 | 136.5111 | 139.8345 | 178.7073 | 247.7387 | 153.3463 | 197.5877 | 127.7627 | 206.5862 | ... | 110.4798 | 202.4384 | 140.8837 | 154.5529 | 137.1743 | 149.0507 | 281.4487 | 168.9785 | 98.2079 | 102.2093 |
10 rows × 21 columns
2000it [00:00, 2012.90it/s]
XLY | 1288 | 1850 | 145 | 1838 | 1181 | 1259 | 785 | 483 | 1038 | ... | 1239 | 202 | 1943 | 1732 | 134 | 1240 | 1156 | 1965 | 1922 | 1453 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0009 | 0.0008 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0008 | 0.0009 | ... | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0008 | 0.0008 | 0.0010 | 0.0009 | 0.0008 | 0.0009 |
min | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0306 | ... | -0.0306 | -0.0347 | -0.0306 | -0.0347 | -0.0239 | -0.0347 | -0.0347 | -0.0306 | -0.0237 | -0.0306 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0001 | -0.0001 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | ... | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0002 | 0.0002 | 0.0001 | 0.0001 | 0.0001 |
max | 0.0243 | 0.0170 | 0.0243 | 0.0243 | 0.0243 | 0.0243 | 0.0243 | 0.0170 | 0.0155 | 0.0155 | ... | 0.0243 | 0.0243 | 0.0243 | 0.0170 | 0.0170 | 0.0170 | 0.0243 | 0.0243 | 0.0243 | 0.0243 |
skew | -5.8846 | -3.4847 | -3.4056 | -7.5792 | -3.4436 | -5.0518 | -7.5989 | -6.8850 | -5.2745 | -9.2706 | ... | -3.3213 | -1.5341 | -1.7072 | -7.2687 | -6.0347 | -9.1775 | -7.8613 | -3.1853 | -0.5883 | -2.5349 |
kurtosis | 322.3403 | 226.9012 | 372.6300 | 292.7334 | 243.5613 | 311.0593 | 370.8100 | 290.6795 | 274.5929 | 325.9188 | ... | 276.9286 | 278.4367 | 281.7630 | 372.0641 | 198.2677 | 433.4681 | 363.6691 | 318.9820 | 179.0157 | 274.1203 |
10 rows × 21 columns
<Figure size 432x288 with 0 Axes>
In this section I try to select a random sampling of synthetic realizations and blend them together. Once blended I examine the correlation between the different synthetics that were generated using each of the real sector returns.
n_cols = 10
merged = dict()
for sym in sim_dict.keys():
np.random.seed(0)
tmp = sim_dict[sym]
# pick random set of columns
col_idx = np.random.randint(0, len(tmp.columns)+1, n_cols)
merged[sym] = tmp[col_idx].mean(axis=1)
df = pd.DataFrame(merged)
cprint(df)
display(df.corr())
to_price_index(df).plot()
------------------------------------------------------------------------------- dataframe information ------------------------------------------------------------------------------- XLB XLE XLF XLI XLK XLP XLU XLV XLY 20023 -0.0001 -0.0000 0.0000 -0.0003 0.0003 -0.0001 0.0001 -0.0003 0.0002 20024 0.0003 0.0002 -0.0000 -0.0002 0.0001 -0.0001 0.0000 0.0000 -0.0003 20025 0.0001 0.0000 0.0001 0.0004 0.0001 -0.0002 -0.0002 -0.0000 -0.0002 20026 -0.0000 -0.0002 0.0001 0.0006 0.0001 -0.0001 0.0000 -0.0000 -0.0001 20027 0.0000 -0.0000 0.0000 0.0005 0.0002 -0.0001 0.0000 0.0003 -0.0000 -------------------------------------------------- <class 'pandas.core.frame.DataFrame'> RangeIndex: 20028 entries, 0 to 20027 Data columns (total 9 columns): XLB 20028 non-null float64 XLE 20028 non-null float64 XLF 20028 non-null float64 XLI 20028 non-null float64 XLK 20028 non-null float64 XLP 20028 non-null float64 XLU 20028 non-null float64 XLV 20028 non-null float64 XLY 20028 non-null float64 dtypes: float64(9) memory usage: 1.4 MB None -------------------------------------------------------------------------------
XLB | XLE | XLF | XLI | XLK | XLP | XLU | XLV | XLY | |
---|---|---|---|---|---|---|---|---|---|
XLB | 1.0000 | -0.0065 | -0.0080 | -0.0059 | 0.0003 | 0.0042 | -0.0112 | 0.0002 | -0.0054 |
XLE | -0.0065 | 1.0000 | -0.0031 | -0.0032 | -0.0008 | 0.0033 | 0.0066 | 0.0017 | 0.0000 |
XLF | -0.0080 | -0.0031 | 1.0000 | 0.0076 | -0.0104 | 0.0040 | 0.0006 | 0.0006 | -0.0121 |
XLI | -0.0059 | -0.0032 | 0.0076 | 1.0000 | 0.0028 | -0.0039 | 0.0052 | 0.0075 | -0.0038 |
XLK | 0.0003 | -0.0008 | -0.0104 | 0.0028 | 1.0000 | -0.0021 | 0.0046 | -0.0103 | -0.0158 |
XLP | 0.0042 | 0.0033 | 0.0040 | -0.0039 | -0.0021 | 1.0000 | -0.0024 | 0.0067 | -0.0005 |
XLU | -0.0112 | 0.0066 | 0.0006 | 0.0052 | 0.0046 | -0.0024 | 1.0000 | 0.0042 | 0.0157 |
XLV | 0.0002 | 0.0017 | 0.0006 | 0.0075 | -0.0103 | 0.0067 | 0.0042 | 1.0000 | -0.0023 |
XLY | -0.0054 | 0.0000 | -0.0121 | -0.0038 | -0.0158 | -0.0005 | 0.0157 | -0.0023 | 1.0000 |
<matplotlib.axes._subplots.AxesSubplot at 0x7f603a6f87b8>
to_price_index(sector_returns.reset_index(drop=True)).plot(legend=False)
<matplotlib.axes._subplots.AxesSubplot at 0x7f603a0f76d8>
bsize = len(sector_returns)//10
bsize
2002
sim_dict = dict()
for sec in sector_returns:
tmp = sector_returns[sec]
N_paths = 2000
sec_sims = CBB(tmp, blocksize=bsize, N_paths=N_paths)
sim_dict[sec] = sec_sims
view_all(tmp, sec_sims, cmap=None)
plot_realizations(tmp, sec_sims, start=100,
n_plot_paths=100, cmap='nanex_cmap')
2000it [00:01, 1964.18it/s]
XLB | 1896 | 175 | 1678 | 1556 | 1775 | 980 | 597 | 1170 | 1831 | ... | 966 | 828 | 215 | 1559 | 522 | 884 | 156 | 229 | 1439 | 943 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0009 | 0.0008 | 0.0007 | 0.0008 | 0.0007 | 0.0007 | 0.0007 | 0.0008 | 0.0008 | ... | 0.0008 | 0.0009 | 0.0007 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0007 | 0.0007 |
min | -0.0212 | -0.0212 | -0.0212 | -0.0165 | -0.0212 | -0.0210 | -0.0212 | -0.0165 | -0.0212 | -0.0212 | ... | -0.0210 | -0.0212 | -0.0212 | -0.0210 | -0.0212 | -0.0212 | -0.0212 | -0.0212 | -0.0210 | -0.0210 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0001 | -0.0001 | -0.0001 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0001 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0001 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | ... | 0.0002 | 0.0001 | 0.0001 | 0.0001 | 0.0002 | 0.0002 | 0.0002 | 0.0001 | 0.0002 | 0.0001 |
max | 0.0215 | 0.0215 | 0.0215 | 0.0215 | 0.0215 | 0.0185 | 0.0215 | 0.0215 | 0.0215 | 0.0215 | ... | 0.0209 | 0.0215 | 0.0215 | 0.0209 | 0.0215 | 0.0209 | 0.0215 | 0.0209 | 0.0159 | 0.0136 |
skew | 0.1371 | 0.5961 | 2.9020 | 2.6371 | 0.4968 | -0.4889 | -3.7657 | -0.0501 | -2.6834 | -0.9591 | ... | 0.6904 | -0.2199 | -0.0850 | -2.9673 | 1.5027 | 1.8141 | 2.7429 | -1.2280 | -2.3784 | -3.6000 |
kurtosis | 181.2890 | 203.6852 | 198.2933 | 153.7250 | 227.2436 | 202.1635 | 246.6032 | 189.2459 | 217.0933 | 214.7765 | ... | 125.3999 | 222.3020 | 195.4388 | 171.6026 | 178.4131 | 137.2013 | 171.5601 | 156.1754 | 106.8695 | 142.9359 |
10 rows × 21 columns
2000it [00:00, 2064.86it/s]
XLE | 1531 | 1619 | 1358 | 839 | 1068 | 361 | 1906 | 1850 | 311 | ... | 931 | 671 | 29 | 863 | 557 | 1462 | 1143 | 234 | 55 | 819 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0009 | 0.0009 | 0.0010 | 0.0009 | 0.0008 | 0.0009 | 0.0010 | 0.0008 | 0.0009 | 0.0010 | ... | 0.0008 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0008 | 0.0009 |
min | -0.0285 | -0.0285 | -0.0285 | -0.0285 | -0.0190 | -0.0285 | -0.0243 | -0.0156 | -0.0243 | -0.0285 | ... | -0.0285 | -0.0243 | -0.0243 | -0.0285 | -0.0237 | -0.0237 | -0.0285 | -0.0285 | -0.0243 | -0.0237 |
25% | -0.0003 | -0.0003 | -0.0004 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0002 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0276 | 0.0276 | 0.0238 | 0.0276 | 0.0276 | 0.0238 | 0.0276 | 0.0276 | 0.0276 | 0.0276 | ... | 0.0276 | 0.0276 | 0.0238 | 0.0238 | 0.0276 | 0.0276 | 0.0276 | 0.0276 | 0.0276 | 0.0276 |
skew | -1.1478 | -2.8715 | -2.4582 | 0.3946 | 2.0974 | -4.9892 | 3.2422 | 7.5789 | 1.1556 | -2.7595 | ... | -2.5221 | 2.5067 | -0.8486 | -4.2510 | 4.5926 | 3.3340 | -0.4775 | -1.3597 | 0.3310 | -0.0118 |
kurtosis | 214.0395 | 261.4171 | 173.1707 | 209.9200 | 157.0713 | 265.4786 | 223.0889 | 305.8699 | 209.3088 | 259.2767 | ... | 262.7322 | 231.0933 | 176.7496 | 273.7074 | 238.4274 | 240.0153 | 248.5392 | 244.1089 | 251.4077 | 166.1346 |
10 rows × 21 columns
2000it [00:01, 1520.33it/s]
XLF | 1741 | 3 | 556 | 14 | 1745 | 1109 | 1036 | 1739 | 1831 | ... | 1273 | 1254 | 1907 | 1349 | 551 | 880 | 966 | 247 | 826 | 1938 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0007 | 0.0008 | 0.0008 | 0.0008 | 0.0009 | 0.0008 | ... | 0.0007 | 0.0008 | 0.0009 | 0.0007 | 0.0007 | 0.0007 | 0.0009 | 0.0008 | 0.0009 | 0.0007 |
min | -0.0240 | -0.0240 | -0.0240 | -0.0199 | -0.0188 | -0.0188 | -0.0188 | -0.0188 | -0.0240 | -0.0240 | ... | -0.0240 | -0.0199 | -0.0240 | -0.0240 | -0.0199 | -0.0199 | -0.0240 | -0.0240 | -0.0240 | -0.0199 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0004 | -0.0002 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0004 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0196 | 0.0196 | 0.0164 | 0.0196 | 0.0164 | 0.0157 | 0.0157 | 0.0196 | 0.0157 | 0.0196 | ... | 0.0143 | 0.0157 | 0.0196 | 0.0121 | 0.0196 | 0.0157 | 0.0196 | 0.0157 | 0.0164 | 0.0196 |
skew | -1.8309 | -1.9804 | -4.5554 | -1.5897 | -0.6747 | 0.6518 | -1.0601 | 1.7356 | -5.3833 | -1.4178 | ... | -6.6019 | -3.0892 | -0.8595 | -2.7092 | -0.9136 | -2.2852 | 0.0343 | -4.5681 | -5.4322 | -1.2552 |
kurtosis | 163.3457 | 232.6213 | 215.8258 | 160.9978 | 131.2443 | 117.4986 | 100.3135 | 167.8789 | 191.4928 | 158.0004 | ... | 242.8285 | 131.2206 | 95.7254 | 153.1437 | 179.2485 | 155.6258 | 142.6622 | 187.9911 | 208.2921 | 179.4559 |
10 rows × 21 columns
2000it [00:00, 2101.28it/s]
XLI | 591 | 756 | 1122 | 925 | 1600 | 880 | 166 | 946 | 1895 | ... | 913 | 1003 | 1283 | 855 | 521 | 432 | 816 | 301 | 1198 | 1673 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 |
std | 0.0008 | 0.0009 | 0.0009 | 0.0006 | 0.0007 | 0.0007 | 0.0008 | 0.0009 | 0.0008 | 0.0007 | ... | 0.0008 | 0.0009 | 0.0008 | 0.0009 | 0.0008 | 0.0009 | 0.0008 | 0.0007 | 0.0008 | 0.0008 |
min | -0.0243 | -0.0243 | -0.0243 | -0.0243 | -0.0130 | -0.0243 | -0.0243 | -0.0196 | -0.0243 | -0.0243 | ... | -0.0196 | -0.0196 | -0.0243 | -0.0243 | -0.0196 | -0.0196 | -0.0164 | -0.0243 | -0.0243 | -0.0196 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0002 | -0.0002 | -0.0002 | -0.0003 | -0.0003 | -0.0003 | -0.0002 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0002 | -0.0003 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0003 | 0.0003 | 0.0002 | 0.0002 | 0.0002 | 0.0003 | 0.0003 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0003 | 0.0003 | 0.0003 | 0.0002 | 0.0003 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0223 | 0.0223 | 0.0223 | 0.0223 | 0.0125 | 0.0223 | 0.0223 | 0.0223 | 0.0223 | 0.0223 | ... | 0.0223 | 0.0223 | 0.0223 | 0.0155 | 0.0223 | 0.0155 | 0.0155 | 0.0101 | 0.0223 | 0.0223 |
skew | -2.0874 | -4.3366 | -2.0921 | -0.4272 | -1.3930 | -5.0409 | 1.0363 | -0.6139 | 1.4903 | -2.5780 | ... | -1.8314 | -1.6121 | -2.6640 | -2.8117 | -0.2611 | -2.0608 | -1.5634 | -2.9666 | -2.3394 | 2.6442 |
kurtosis | 159.4556 | 165.7859 | 198.1047 | 236.3074 | 60.2477 | 320.1340 | 142.0435 | 151.9006 | 168.3258 | 181.6438 | ... | 180.5297 | 157.1687 | 159.5960 | 107.7876 | 189.1267 | 83.2650 | 80.6744 | 128.1471 | 154.3589 | 233.8026 |
10 rows × 21 columns
2000it [00:00, 2166.50it/s]
XLK | 515 | 1724 | 589 | 1434 | 484 | 423 | 1566 | 1271 | 477 | ... | 254 | 1294 | 1145 | 69 | 919 | 787 | 737 | 62 | 691 | 1667 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0010 | 0.0010 | 0.0010 | 0.0008 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | 0.0009 | 0.0010 | ... | 0.0009 | 0.0010 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | 0.0010 | 0.0008 | 0.0009 | 0.0009 |
min | -0.0250 | -0.0250 | -0.0250 | -0.0217 | -0.0250 | -0.0217 | -0.0250 | -0.0210 | -0.0250 | -0.0250 | ... | -0.0210 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0217 | -0.0217 | -0.0250 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0002 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0002 | 0.0003 | 0.0003 |
max | 0.0262 | 0.0162 | 0.0262 | 0.0262 | 0.0262 | 0.0262 | 0.0234 | 0.0262 | 0.0262 | 0.0234 | ... | 0.0262 | 0.0262 | 0.0262 | 0.0262 | 0.0234 | 0.0162 | 0.0168 | 0.0234 | 0.0262 | 0.0262 |
skew | -1.4734 | -4.7968 | -1.8083 | -1.1981 | -3.2286 | -0.0529 | -1.4761 | -0.6467 | -0.8986 | -3.1574 | ... | 2.4803 | -2.9814 | -1.3473 | -1.4289 | -3.5736 | -5.1159 | -3.3146 | 0.0642 | -0.2444 | -1.5789 |
kurtosis | 169.0033 | 135.8292 | 143.3679 | 137.5483 | 141.7220 | 166.8879 | 163.1462 | 163.2691 | 215.7039 | 174.4687 | ... | 202.9129 | 176.5630 | 149.0553 | 185.5495 | 158.7175 | 211.0076 | 148.2422 | 189.1465 | 159.2766 | 190.3159 |
10 rows × 21 columns
2000it [00:00, 2231.95it/s]
XLP | 1647 | 1515 | 1565 | 1282 | 1308 | 1406 | 586 | 1390 | 163 | ... | 1 | 830 | 1075 | 1923 | 542 | 870 | 120 | 1083 | 1762 | 837 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0006 | 0.0006 | 0.0005 | 0.0005 | 0.0005 | 0.0006 | 0.0007 | 0.0006 | 0.0006 | 0.0006 | ... | 0.0006 | 0.0005 | 0.0005 | 0.0007 | 0.0005 | 0.0005 | 0.0006 | 0.0006 | 0.0006 | 0.0005 |
min | -0.0205 | -0.0123 | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0123 | -0.0205 | ... | -0.0205 | -0.0205 | -0.0123 | -0.0205 | -0.0205 | -0.0085 | -0.0205 | -0.0205 | -0.0205 | -0.0205 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0164 | 0.0164 | 0.0085 | 0.0100 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | ... | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0085 | 0.0164 | 0.0100 | 0.0164 | 0.0100 | 0.0164 |
skew | -2.6199 | 0.2191 | -6.6037 | -3.1755 | -3.4748 | -1.9596 | -2.7286 | -4.3307 | 0.1242 | -0.6893 | ... | -4.0532 | -5.5262 | -0.0350 | -0.1703 | -4.5333 | 1.0131 | -7.1273 | -8.0494 | -2.8088 | -2.4146 |
kurtosis | 179.0759 | 91.8256 | 262.5485 | 173.5333 | 253.8984 | 221.4874 | 164.4669 | 207.9430 | 102.0042 | 219.8111 | ... | 175.3541 | 299.8259 | 106.2396 | 169.8845 | 191.5631 | 122.4488 | 256.9264 | 308.5751 | 120.4767 | 189.4635 |
10 rows × 21 columns
2000it [00:01, 1924.45it/s]
XLU | 766 | 1688 | 946 | 964 | 1758 | 6 | 1215 | 630 | 1344 | ... | 1288 | 471 | 1894 | 1113 | 293 | 8 | 1420 | 1957 | 804 | 1167 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | 0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | 0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | 0.0000 | -0.0000 | 0.0000 | -0.0000 | 0.0000 |
std | 0.0006 | 0.0008 | 0.0007 | 0.0008 | 0.0006 | 0.0006 | 0.0006 | 0.0007 | 0.0007 | 0.0006 | ... | 0.0007 | 0.0008 | 0.0007 | 0.0006 | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0006 | 0.0006 |
min | -0.0288 | -0.0288 | -0.0288 | -0.0288 | -0.0122 | -0.0288 | -0.0131 | -0.0288 | -0.0288 | -0.0288 | ... | -0.0288 | -0.0288 | -0.0288 | -0.0131 | -0.0131 | -0.0131 | -0.0288 | -0.0131 | -0.0288 | -0.0288 |
25% | -0.0002 | -0.0003 | -0.0003 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0003 | 0.0003 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0165 | 0.0083 | 0.0127 | 0.0165 | 0.0165 | 0.0083 | 0.0165 | 0.0083 | 0.0127 | 0.0094 | ... | 0.0127 | 0.0165 | 0.0165 | 0.0165 | 0.0165 | 0.0165 | 0.0165 | 0.0165 | 0.0127 | 0.0165 |
skew | -4.6218 | -11.0533 | -6.8728 | -8.3097 | 0.5340 | -13.6743 | -0.0898 | -11.4892 | -10.9438 | -13.4487 | ... | -4.2115 | -10.9931 | -3.3655 | -0.3626 | -0.4261 | -0.6716 | -10.9830 | -1.1461 | -6.6477 | -4.1312 |
kurtosis | 288.4771 | 416.2732 | 315.3696 | 373.8160 | 83.1527 | 616.9000 | 115.2532 | 475.8592 | 528.2010 | 612.8528 | ... | 199.8546 | 468.8448 | 269.6737 | 91.3450 | 78.4566 | 137.9397 | 474.6568 | 115.2568 | 330.9100 | 334.7550 |
10 rows × 21 columns
2000it [00:00, 2194.42it/s]
XLV | 1837 | 228 | 8 | 1278 | 1248 | 121 | 784 | 633 | 444 | ... | 43 | 1414 | 1492 | 284 | 478 | 221 | 159 | 1409 | 1528 | 947 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0007 | 0.0007 | 0.0008 | 0.0008 | 0.0007 | 0.0005 | 0.0006 | 0.0007 | 0.0006 | 0.0008 | ... | 0.0008 | 0.0007 | 0.0006 | 0.0006 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 |
min | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0152 | -0.0210 | -0.0210 | -0.0117 | -0.0152 | ... | -0.0210 | -0.0205 | -0.0103 | -0.0152 | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0210 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0001 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0001 | 0.0001 | 0.0002 | 0.0001 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0157 | 0.0156 | 0.0157 | 0.0156 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0156 | 0.0157 | ... | 0.0156 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0156 | 0.0156 | 0.0157 | 0.0137 |
skew | -2.3524 | -3.5657 | -1.9865 | -6.1501 | -0.7506 | 1.4649 | -4.1610 | -4.3893 | -0.0192 | 0.1605 | ... | -4.7683 | -1.5283 | 2.2074 | 1.1753 | -2.6803 | -2.2764 | -2.6516 | -2.7713 | -3.1298 | -5.4637 |
kurtosis | 169.5654 | 178.0853 | 114.2085 | 217.3394 | 151.1790 | 189.6468 | 259.7723 | 215.9689 | 75.8674 | 79.1320 | ... | 195.5369 | 125.4990 | 119.3239 | 157.3187 | 216.2734 | 132.4802 | 132.0774 | 143.2659 | 219.2530 | 229.7407 |
10 rows × 21 columns
2000it [00:01, 1878.60it/s]
XLY | 1020 | 1576 | 1133 | 808 | 979 | 586 | 1062 | 1029 | 374 | ... | 1457 | 35 | 1333 | 1567 | 436 | 1636 | 1913 | 1274 | 381 | 1522 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0009 | 0.0009 | 0.0008 | 0.0009 | 0.0009 | 0.0010 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | ... | 0.0007 | 0.0009 | 0.0009 | 0.0010 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | 0.0009 | 0.0009 |
min | -0.0347 | -0.0347 | -0.0306 | -0.0347 | -0.0306 | -0.0347 | -0.0347 | -0.0306 | -0.0239 | -0.0347 | ... | -0.0142 | -0.0306 | -0.0347 | -0.0347 | -0.0306 | -0.0347 | -0.0239 | -0.0347 | -0.0347 | -0.0347 |
25% | -0.0002 | -0.0001 | -0.0002 | -0.0002 | -0.0001 | -0.0002 | -0.0002 | -0.0001 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0001 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0002 | 0.0001 | 0.0001 | 0.0001 | 0.0002 | ... | 0.0001 | 0.0001 | 0.0002 | 0.0001 | 0.0001 | 0.0002 | 0.0001 | 0.0001 | 0.0001 | 0.0001 |
max | 0.0243 | 0.0243 | 0.0243 | 0.0170 | 0.0243 | 0.0243 | 0.0243 | 0.0243 | 0.0243 | 0.0243 | ... | 0.0170 | 0.0243 | 0.0243 | 0.0243 | 0.0243 | 0.0170 | 0.0243 | 0.0243 | 0.0243 | 0.0243 |
skew | -5.8846 | -2.7230 | -2.5234 | -6.3559 | -3.2912 | -6.7044 | -5.6896 | -3.4145 | -2.6872 | -5.4760 | ... | -1.0662 | -4.8364 | -3.0423 | -4.4491 | -1.9206 | -8.6096 | -3.1206 | -5.2372 | -8.4103 | -6.8083 |
kurtosis | 322.3403 | 324.2767 | 342.3814 | 288.0925 | 262.8460 | 348.2047 | 251.2739 | 199.4428 | 239.8628 | 296.5051 | ... | 100.0997 | 290.2901 | 341.3542 | 215.0692 | 192.3817 | 341.7369 | 179.6777 | 257.1080 | 468.1683 | 336.1627 |
10 rows × 21 columns
<Figure size 432x288 with 0 Axes>
n_cols = 2
merged = dict()
for sym in sim_dict.keys():
np.random.seed(0)
tmp = sim_dict[sym]
# pick random set of columns
col_idx = np.random.randint(0, len(tmp.columns)+1, n_cols)
merged[sym] = tmp[col_idx].mean(axis=1)
df = pd.DataFrame(merged)
cprint(df)
display(df.corr())
to_price_index(df).plot()
------------------------------------------------------------------------------- dataframe information ------------------------------------------------------------------------------- XLB XLE XLF XLI XLK XLP XLU XLV XLY 20023 -0.0002 0.0001 0.0003 0.0008 -0.0001 -0.0003 0.0000 -0.0000 0.0000 20024 -0.0003 0.0000 0.0001 -0.0004 0.0005 -0.0001 -0.0002 0.0000 -0.0029 20025 -0.0001 0.0004 -0.0002 0.0008 -0.0001 -0.0013 -0.0000 -0.0003 0.0002 20026 0.0005 -0.0001 0.0002 -0.0001 0.0004 0.0003 -0.0003 -0.0000 0.0005 20027 -0.0005 -0.0007 0.0007 0.0003 -0.0004 0.0000 -0.0002 0.0003 0.0001 -------------------------------------------------- <class 'pandas.core.frame.DataFrame'> RangeIndex: 20028 entries, 0 to 20027 Data columns (total 9 columns): XLB 20028 non-null float64 XLE 20028 non-null float64 XLF 20028 non-null float64 XLI 20028 non-null float64 XLK 20028 non-null float64 XLP 20028 non-null float64 XLU 20028 non-null float64 XLV 20028 non-null float64 XLY 20028 non-null float64 dtypes: float64(9) memory usage: 1.4 MB None -------------------------------------------------------------------------------
XLB | XLE | XLF | XLI | XLK | XLP | XLU | XLV | XLY | |
---|---|---|---|---|---|---|---|---|---|
XLB | 1.0000 | -0.0073 | -0.0073 | 0.0073 | -0.0004 | 0.0059 | -0.0045 | 0.0015 | 0.0026 |
XLE | -0.0073 | 1.0000 | -0.0033 | -0.0133 | -0.0124 | 0.0000 | -0.0020 | -0.0138 | 0.0045 |
XLF | -0.0073 | -0.0033 | 1.0000 | -0.0035 | -0.0005 | 0.0094 | -0.0052 | 0.0036 | 0.0113 |
XLI | 0.0073 | -0.0133 | -0.0035 | 1.0000 | -0.0205 | 0.0121 | -0.0007 | 0.0016 | 0.0013 |
XLK | -0.0004 | -0.0124 | -0.0005 | -0.0205 | 1.0000 | 0.0010 | -0.0098 | -0.0062 | 0.0067 |
XLP | 0.0059 | 0.0000 | 0.0094 | 0.0121 | 0.0010 | 1.0000 | -0.0055 | -0.0007 | 0.0152 |
XLU | -0.0045 | -0.0020 | -0.0052 | -0.0007 | -0.0098 | -0.0055 | 1.0000 | 0.0019 | -0.0058 |
XLV | 0.0015 | -0.0138 | 0.0036 | 0.0016 | -0.0062 | -0.0007 | 0.0019 | 1.0000 | 0.0139 |
XLY | 0.0026 | 0.0045 | 0.0113 | 0.0013 | 0.0067 | 0.0152 | -0.0058 | 0.0139 | 1.0000 |
<matplotlib.axes._subplots.AxesSubplot at 0x7f5ff21f47b8>
sns.heatmap(df.corr())
<matplotlib.axes._subplots.AxesSubplot at 0x7f5fee172128>
bsize = len(sector_returns)//1000
bsize
20
sim_dict = dict()
for sec in sector_returns:
tmp = sector_returns[sec]
N_paths = 2000
sec_sims = CBB(tmp, blocksize=bsize, N_paths=N_paths)
sim_dict[sec] = sec_sims
view_all(tmp, sec_sims, cmap=None)
plot_realizations(tmp, sec_sims, start=100,
n_plot_paths=100, cmap='nanex_cmap')
2000it [00:00, 2001.74it/s]
XLB | 677 | 980 | 1240 | 156 | 522 | 529 | 666 | 1739 | 937 | ... | 1268 | 579 | 1387 | 1554 | 1295 | 161 | 609 | 453 | 1135 | 944 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0007 | 0.0009 | 0.0008 | 0.0008 | ... | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 |
min | -0.0212 | -0.0212 | -0.0212 | -0.0210 | -0.0212 | -0.0212 | -0.0165 | -0.0212 | -0.0148 | -0.0212 | ... | -0.0212 | -0.0212 | -0.0210 | -0.0212 | -0.0212 | -0.0212 | -0.0212 | -0.0212 | -0.0212 | -0.0210 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0001 | 0.0002 | 0.0002 | 0.0002 | 0.0001 | 0.0002 | 0.0002 | 0.0002 | 0.0001 | ... | 0.0002 | 0.0001 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0001 | 0.0001 | 0.0002 |
max | 0.0215 | 0.0215 | 0.0122 | 0.0215 | 0.0215 | 0.0215 | 0.0159 | 0.0215 | 0.0215 | 0.0215 | ... | 0.0215 | 0.0159 | 0.0215 | 0.0159 | 0.0215 | 0.0209 | 0.0185 | 0.0215 | 0.0215 | 0.0215 |
skew | 0.1371 | -0.1417 | -6.1776 | 1.2851 | 1.0850 | 0.7289 | -0.5612 | 2.0744 | 3.1372 | 2.4930 | ... | 2.1272 | -2.2079 | 1.2361 | -4.9260 | -2.3792 | -1.3809 | -0.4451 | -3.0906 | -0.1248 | 1.3562 |
kurtosis | 181.2890 | 190.5087 | 174.3888 | 176.9133 | 211.3141 | 218.5825 | 100.6125 | 184.8790 | 154.4930 | 178.0023 | ... | 203.2630 | 155.4187 | 180.7399 | 168.0472 | 192.0637 | 153.6302 | 160.8378 | 209.1074 | 205.2468 | 211.1271 |
10 rows × 21 columns
2000it [00:01, 1527.09it/s]
XLE | 1178 | 867 | 1421 | 1540 | 407 | 924 | 776 | 907 | 889 | ... | 1441 | 1370 | 467 | 1500 | 1750 | 719 | 1127 | 1433 | 1870 | 29 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | ... | 0.0009 | 0.0009 | 0.0010 | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0010 | 0.0009 | 0.0009 |
min | -0.0285 | -0.0285 | -0.0243 | -0.0285 | -0.0285 | -0.0285 | -0.0285 | -0.0190 | -0.0243 | -0.0190 | ... | -0.0243 | -0.0285 | -0.0285 | -0.0243 | -0.0237 | -0.0237 | -0.0243 | -0.0285 | -0.0190 | -0.0243 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0276 | 0.0238 | 0.0276 | 0.0238 | 0.0276 | 0.0238 | 0.0276 | 0.0276 | 0.0238 | 0.0276 | ... | 0.0238 | 0.0276 | 0.0238 | 0.0276 | 0.0238 | 0.0276 | 0.0276 | 0.0276 | 0.0276 | 0.0276 |
skew | -1.1478 | -2.8260 | 1.0916 | -2.4168 | 0.8885 | -4.2321 | -2.4182 | 5.9813 | -3.7479 | 1.6226 | ... | 0.0636 | -3.2737 | -5.0477 | -1.8505 | -3.5507 | 2.7036 | 1.2201 | -0.4163 | -0.3846 | 0.8656 |
kurtosis | 214.0395 | 223.2623 | 196.0302 | 187.9230 | 220.6214 | 200.8067 | 232.7723 | 232.7578 | 185.5386 | 164.9665 | ... | 174.3500 | 216.3197 | 233.4102 | 189.9042 | 164.5938 | 186.7034 | 193.9302 | 203.4123 | 192.9288 | 177.8141 |
10 rows × 21 columns
2000it [00:01, 1861.51it/s]
XLF | 1740 | 3 | 556 | 14 | 1744 | 1109 | 1036 | 1738 | 1830 | ... | 1273 | 1254 | 1758 | 1349 | 551 | 880 | 966 | 247 | 826 | 1937 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0008 | 0.0009 | 0.0008 | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0008 | ... | 0.0008 | 0.0009 | 0.0008 | 0.0007 | 0.0009 | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0008 |
min | -0.0240 | -0.0199 | -0.0240 | -0.0240 | -0.0240 | -0.0240 | -0.0240 | -0.0240 | -0.0240 | -0.0240 | ... | -0.0240 | -0.0240 | -0.0240 | -0.0199 | -0.0240 | -0.0199 | -0.0188 | -0.0161 | -0.0240 | -0.0240 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0196 | 0.0196 | 0.0196 | 0.0196 | 0.0196 | 0.0196 | 0.0124 | 0.0116 | 0.0196 | 0.0124 | ... | 0.0157 | 0.0196 | 0.0196 | 0.0124 | 0.0164 | 0.0196 | 0.0196 | 0.0164 | 0.0196 | 0.0196 |
skew | -1.8309 | -1.8669 | -2.0439 | -3.7788 | -3.4560 | -1.4950 | -4.1251 | -5.2518 | 0.8244 | -7.6571 | ... | -2.7196 | -1.9024 | 0.2801 | -1.8443 | -1.2959 | 2.5587 | 0.9814 | 0.5453 | -1.5732 | -2.5499 |
kurtosis | 163.3457 | 149.3680 | 172.9099 | 175.8822 | 156.8778 | 164.4893 | 152.2320 | 152.8054 | 158.3904 | 222.6836 | ... | 140.8416 | 193.5190 | 190.7759 | 89.9409 | 119.6764 | 148.7031 | 150.6661 | 103.5064 | 157.0718 | 183.7905 |
10 rows × 21 columns
2000it [00:00, 2006.46it/s]
XLI | 591 | 756 | 1122 | 925 | 1600 | 880 | 166 | 946 | 1895 | ... | 913 | 1003 | 1283 | 855 | 521 | 432 | 816 | 301 | 1198 | 1673 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0008 | 0.0009 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | ... | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 |
min | -0.0243 | -0.0243 | -0.0243 | -0.0196 | -0.0196 | -0.0243 | -0.0243 | -0.0243 | -0.0243 | -0.0243 | ... | -0.0243 | -0.0243 | -0.0243 | -0.0243 | -0.0196 | -0.0196 | -0.0243 | -0.0243 | -0.0243 | -0.0196 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0223 | 0.0223 | 0.0091 | 0.0223 | 0.0155 | 0.0223 | 0.0125 | 0.0223 | 0.0223 | 0.0155 | ... | 0.0223 | 0.0223 | 0.0125 | 0.0155 | 0.0223 | 0.0223 | 0.0223 | 0.0155 | 0.0223 | 0.0155 |
skew | -2.0874 | -3.8477 | -6.3408 | -2.0301 | -2.3205 | -2.1235 | -5.8893 | -1.1540 | -2.2837 | -3.7214 | ... | -0.9359 | -1.4121 | -3.0722 | -2.6817 | 0.4404 | 2.0420 | -1.8390 | -1.9374 | -1.1277 | -0.8874 |
kurtosis | 159.4556 | 204.0114 | 153.0070 | 153.4632 | 107.1216 | 150.7252 | 163.1473 | 158.6432 | 133.1090 | 126.0889 | ... | 192.0133 | 191.2180 | 133.1437 | 156.3091 | 161.1342 | 161.4159 | 169.0677 | 132.9042 | 156.8377 | 117.1895 |
10 rows × 21 columns
2000it [00:00, 2120.20it/s]
XLK | 515 | 1724 | 589 | 1434 | 484 | 423 | 1566 | 1271 | 477 | ... | 254 | 1294 | 1145 | 69 | 919 | 787 | 737 | 62 | 691 | 1667 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 |
std | 0.0010 | 0.0008 | 0.0010 | 0.0010 | 0.0010 | 0.0010 | 0.0010 | 0.0009 | 0.0009 | 0.0010 | ... | 0.0009 | 0.0010 | 0.0009 | 0.0010 | 0.0009 | 0.0009 | 0.0010 | 0.0009 | 0.0011 | 0.0010 |
min | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0217 | -0.0217 | -0.0217 | ... | -0.0217 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0250 | -0.0217 | -0.0217 | -0.0250 | -0.0217 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0262 | 0.0262 | 0.0262 | 0.0262 | 0.0234 | 0.0234 | 0.0262 | 0.0168 | 0.0262 | 0.0262 | ... | 0.0234 | 0.0262 | 0.0262 | 0.0262 | 0.0234 | 0.0234 | 0.0262 | 0.0262 | 0.0262 | 0.0234 |
skew | -1.4734 | -0.5641 | -4.1772 | 0.2764 | -6.4935 | -5.2622 | -0.3953 | -2.1598 | -0.8621 | -2.0962 | ... | -2.0640 | -3.1550 | -2.3444 | -2.6528 | -3.8514 | -1.1022 | -2.1969 | 2.3482 | -1.4198 | -2.5362 |
kurtosis | 169.0033 | 144.6124 | 186.9137 | 210.4360 | 180.4816 | 179.8373 | 179.3953 | 123.0319 | 154.4180 | 156.2109 | ... | 143.0848 | 201.6141 | 199.1844 | 180.1259 | 153.0189 | 165.2174 | 153.4307 | 151.1748 | 165.1128 | 131.1736 |
10 rows × 21 columns
2000it [00:01, 1820.21it/s]
XLP | 1647 | 1515 | 1565 | 1282 | 1308 | 1406 | 586 | 1390 | 163 | ... | 1 | 830 | 1075 | 1923 | 542 | 870 | 120 | 1083 | 1762 | 837 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0006 | 0.0006 | 0.0006 | 0.0005 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0005 | ... | 0.0006 | 0.0005 | 0.0006 | 0.0006 | 0.0005 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0006 |
min | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0123 | -0.0205 | -0.0123 | -0.0123 | ... | -0.0205 | -0.0123 | -0.0205 | -0.0205 | -0.0123 | -0.0205 | -0.0205 | -0.0205 | -0.0205 | -0.0205 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0164 | 0.0164 | 0.0164 | 0.0100 | 0.0085 | 0.0164 | 0.0164 | 0.0100 | 0.0164 | 0.0100 | ... | 0.0164 | 0.0085 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0164 | 0.0100 | 0.0164 | 0.0164 |
skew | -2.6199 | -2.5297 | -1.8718 | -4.4267 | -6.6827 | -3.7349 | -0.2222 | -7.2700 | -0.1933 | -1.4516 | ... | -3.2955 | -1.6504 | -3.4354 | -2.1199 | 0.1334 | -4.8149 | -3.8084 | -3.8218 | -2.8477 | -3.1024 |
kurtosis | 179.0759 | 171.3726 | 177.0812 | 154.2791 | 236.2330 | 181.8034 | 140.8859 | 270.7496 | 114.8396 | 81.6045 | ... | 186.8181 | 63.2578 | 283.3236 | 177.4215 | 100.6963 | 259.1166 | 239.4574 | 144.8828 | 214.1250 | 261.4663 |
10 rows × 21 columns
2000it [00:00, 2149.37it/s]
XLU | 766 | 1688 | 946 | 964 | 1758 | 6 | 1215 | 630 | 1344 | ... | 1288 | 471 | 1894 | 1113 | 293 | 8 | 1420 | 1957 | 804 | 1167 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | 0.0000 | 0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | ... | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | 0.0000 | 0.0000 |
std | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0007 | ... | 0.0007 | 0.0007 | 0.0007 | 0.0006 | 0.0007 | 0.0007 | 0.0006 | 0.0007 | 0.0006 | 0.0006 |
min | -0.0288 | -0.0131 | -0.0288 | -0.0288 | -0.0131 | -0.0117 | -0.0131 | -0.0288 | -0.0122 | -0.0288 | ... | -0.0288 | -0.0288 | -0.0288 | -0.0131 | -0.0288 | -0.0288 | -0.0288 | -0.0288 | -0.0288 | -0.0288 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0165 | 0.0165 | 0.0127 | 0.0165 | 0.0165 | 0.0165 | 0.0094 | 0.0127 | 0.0165 | 0.0165 | ... | 0.0127 | 0.0165 | 0.0165 | 0.0127 | 0.0127 | 0.0165 | 0.0165 | 0.0127 | 0.0094 | 0.0165 |
skew | -4.6218 | -0.4098 | -8.4375 | -4.6058 | 0.2684 | 1.4073 | -1.1883 | -4.6658 | 2.8860 | -2.2420 | ... | -8.4369 | -2.0535 | -7.3364 | -1.6599 | -10.9997 | -4.3866 | -5.6146 | -4.7903 | -5.5295 | -2.3420 |
kurtosis | 288.4771 | 107.1373 | 416.1029 | 287.8695 | 89.5112 | 103.2450 | 74.0028 | 305.3777 | 148.0466 | 300.0195 | ... | 408.8205 | 282.3211 | 406.3395 | 74.0284 | 493.9227 | 273.0486 | 306.8650 | 251.6421 | 291.6380 | 279.3676 |
10 rows × 21 columns
2000it [00:01, 1835.16it/s]
XLV | 1837 | 228 | 8 | 1278 | 1248 | 121 | 784 | 633 | 444 | ... | 43 | 1414 | 1492 | 284 | 478 | 221 | 159 | 1409 | 1528 | 947 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | ... | 0.0006 | 0.0006 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0006 | 0.0006 | 0.0006 | 0.0007 |
min | -0.0210 | -0.0117 | -0.0210 | -0.0210 | -0.0152 | -0.0210 | -0.0152 | -0.0205 | -0.0210 | -0.0210 | ... | -0.0205 | -0.0205 | -0.0210 | -0.0210 | -0.0210 | -0.0210 | -0.0205 | -0.0210 | -0.0152 | -0.0210 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0001 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | ... | 0.0094 | 0.0137 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0157 | 0.0156 | 0.0156 | 0.0157 |
skew | -2.3524 | 1.9497 | -3.8050 | -2.2142 | 0.0358 | -3.1237 | -0.3229 | -0.7431 | -4.6582 | -1.2292 | ... | -4.1518 | -2.8448 | -2.0246 | -2.1495 | -2.6590 | 0.0104 | 0.0884 | -0.6330 | -1.3146 | -4.8903 |
kurtosis | 169.5654 | 107.8261 | 197.8220 | 173.1988 | 84.1140 | 192.0715 | 108.1389 | 187.3340 | 194.7046 | 159.5923 | ... | 159.6766 | 112.7442 | 213.9536 | 192.6115 | 178.3424 | 141.2140 | 142.6760 | 142.3703 | 101.8394 | 228.8681 |
10 rows × 21 columns
2000it [00:00, 2125.87it/s]
XLY | 1020 | 1576 | 1133 | 808 | 979 | 586 | 1062 | 1029 | 374 | ... | 1457 | 35 | 1333 | 1567 | 436 | 1636 | 1913 | 1274 | 381 | 1522 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | ... | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 | 20,028.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 |
std | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0010 | 0.0010 | 0.0009 | 0.0008 | 0.0009 | 0.0009 | ... | 0.0009 | 0.0009 | 0.0009 | 0.0009 | 0.0008 | 0.0008 | 0.0008 | 0.0009 | 0.0008 | 0.0009 |
min | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0347 | -0.0239 | -0.0306 | -0.0306 | ... | -0.0347 | -0.0347 | -0.0347 | -0.0306 | -0.0306 | -0.0142 | -0.0142 | -0.0347 | -0.0306 | -0.0306 |
25% | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0002 | -0.0001 | -0.0002 | -0.0002 | -0.0001 | -0.0002 | -0.0001 | -0.0002 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | ... | 0.0001 | 0.0002 | 0.0001 | 0.0001 | 0.0001 | 0.0002 | 0.0001 | 0.0001 | 0.0002 | 0.0001 |
max | 0.0243 | 0.0243 | 0.0243 | 0.0170 | 0.0243 | 0.0170 | 0.0146 | 0.0155 | 0.0243 | 0.0243 | ... | 0.0243 | 0.0155 | 0.0243 | 0.0243 | 0.0155 | 0.0243 | 0.0243 | 0.0243 | 0.0243 | 0.0243 |
skew | -5.8846 | -3.7884 | -7.3464 | -7.5966 | -10.2302 | -10.7390 | -11.4218 | -4.2366 | -2.8387 | -3.1804 | ... | -2.0146 | -8.0856 | -5.0532 | -5.7722 | -6.5593 | 1.9519 | 2.3921 | -7.3853 | -1.2999 | -6.2241 |
kurtosis | 322.3403 | 338.0267 | 355.3725 | 335.4467 | 397.7533 | 435.0558 | 456.5697 | 178.3485 | 298.6801 | 348.5538 | ... | 265.1206 | 342.8499 | 316.7715 | 290.1377 | 257.4333 | 150.0971 | 164.0710 | 398.6008 | 261.3226 | 320.5218 |
10 rows × 21 columns
<Figure size 432x288 with 0 Axes>
symbols = ['SPY', 'IWM', 'ACWI', 'EEM', 'GLD',
'TLT', 'BND', 'SHY', 'LQD', 'HYG', 'VNQ']
etfs = to_returns(prices[symbols].dropna())
cprint(etfs)
------------------------------------------------------------------------------- dataframe information ------------------------------------------------------------------------------- symbol SPY IWM ACWI EEM GLD TLT BND \ dates 2018-12-31 13:55:00 0.0006 0.0013 0.0006 0.0005 -0.0001 0.0001 0.0000 2018-12-31 13:56:00 0.0006 0.0014 0.0003 0.0005 -0.0001 0.0000 0.0000 2018-12-31 13:57:00 -0.0022 -0.0011 -0.0013 -0.0010 -0.0000 0.0002 0.0000 2018-12-31 13:58:00 0.0004 0.0001 -0.0001 0.0008 -0.0001 -0.0001 0.0000 2018-12-31 13:59:00 0.0011 -0.0002 0.0006 0.0003 0.0001 0.0001 0.0002 symbol SHY LQD HYG VNQ dates 2018-12-31 13:55:00 -0.0001 0.0000 0.0002 0.0008 2018-12-31 13:56:00 -0.0000 0.0001 0.0003 0.0019 2018-12-31 13:57:00 -0.0001 0.0000 -0.0005 -0.0013 2018-12-31 13:58:00 0.0000 -0.0000 -0.0001 0.0005 2018-12-31 13:59:00 0.0000 -0.0000 -0.0002 0.0006 -------------------------------------------------- <class 'pandas.core.frame.DataFrame'> DatetimeIndex: 19475 entries, 2018-10-01 07:54:00 to 2018-12-31 13:59:00 Data columns (total 11 columns): SPY 19475 non-null float64 IWM 19475 non-null float64 ACWI 19475 non-null float64 EEM 19475 non-null float64 GLD 19475 non-null float64 TLT 19475 non-null float64 BND 19475 non-null float64 SHY 19475 non-null float64 LQD 19475 non-null float64 HYG 19475 non-null float64 VNQ 19475 non-null float64 dtypes: float64(11) memory usage: 1.8 MB None -------------------------------------------------------------------------------
bsize = 20
sim_dict = dict()
for sec in etfs:
tmp = etfs[sec]
N_paths = 2000
sec_sims = CBB(tmp, blocksize=bsize, N_paths=N_paths)
sim_dict[sec] = sec_sims
view_all(tmp, sec_sims, cmap=None)
plot_realizations(tmp, sec_sims, start=100,
n_plot_paths=100, cmap='nanex_cmap')
2000it [00:01, 1441.34it/s]
SPY | 113 | 1601 | 1217 | 315 | 1841 | 188 | 1749 | 1519 | 1400 | ... | 458 | 857 | 1764 | 1796 | 177 | 42 | 792 | 1228 | 632 | 1523 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | ... | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 | 0.0007 |
min | -0.0174 | -0.0172 | -0.0172 | -0.0172 | -0.0137 | -0.0172 | -0.0174 | -0.0172 | -0.0174 | -0.0172 | ... | -0.0167 | -0.0167 | -0.0167 | -0.0174 | -0.0174 | -0.0172 | -0.0174 | -0.0174 | -0.0172 | -0.0167 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0003 | 0.0003 | 0.0002 | 0.0002 | 0.0003 | 0.0003 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0003 | 0.0002 | 0.0003 | 0.0002 | 0.0002 | 0.0003 | 0.0002 |
max | 0.0151 | 0.0151 | 0.0151 | 0.0140 | 0.0138 | 0.0140 | 0.0151 | 0.0140 | 0.0151 | 0.0151 | ... | 0.0151 | 0.0151 | 0.0151 | 0.0151 | 0.0151 | 0.0151 | 0.0140 | 0.0151 | 0.0151 | 0.0151 |
skew | -1.9427 | -1.5934 | 0.5309 | -0.7475 | 0.1073 | -3.6428 | -0.8783 | -1.7674 | -1.9066 | -1.9644 | ... | -0.0328 | -1.5710 | -2.0569 | -3.9726 | 0.6549 | 0.6636 | -5.5873 | -1.3771 | -1.1314 | -0.1267 |
kurtosis | 135.7526 | 150.6978 | 127.5928 | 137.7303 | 84.6741 | 139.8318 | 142.7964 | 98.8066 | 129.6674 | 132.0144 | ... | 108.7389 | 124.8278 | 121.6657 | 154.8474 | 156.0084 | 133.1368 | 162.6387 | 139.5350 | 151.5716 | 123.5925 |
10 rows × 21 columns
2000it [00:00, 2177.62it/s]
IWM | 212 | 81 | 1286 | 1074 | 265 | 1906 | 5 | 1797 | 1981 | ... | 566 | 1358 | 753 | 125 | 1414 | 1622 | 264 | 634 | 399 | 1795 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0007 | 0.0007 | 0.0008 | 0.0007 | 0.0008 | 0.0008 | ... | 0.0008 | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0008 |
min | -0.0202 | -0.0168 | -0.0202 | -0.0168 | -0.0177 | -0.0202 | -0.0202 | -0.0202 | -0.0177 | -0.0202 | ... | -0.0202 | -0.0177 | -0.0202 | -0.0124 | -0.0202 | -0.0177 | -0.0202 | -0.0168 | -0.0202 | -0.0202 |
25% | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | ... | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
max | 0.0145 | 0.0145 | 0.0145 | 0.0145 | 0.0145 | 0.0145 | 0.0135 | 0.0145 | 0.0110 | 0.0145 | ... | 0.0145 | 0.0145 | 0.0135 | 0.0135 | 0.0135 | 0.0145 | 0.0135 | 0.0145 | 0.0145 | 0.0135 |
skew | -2.5253 | -2.0364 | -2.6869 | -1.3275 | -2.0373 | -2.0454 | -2.1633 | -1.7819 | -3.6592 | -3.5099 | ... | -2.2120 | -1.1807 | -3.6691 | -0.1221 | -3.5562 | -1.3457 | -3.9541 | -1.9652 | -2.5521 | -3.1215 |
kurtosis | 104.6582 | 77.7391 | 118.4079 | 77.7146 | 103.5452 | 99.9602 | 109.2990 | 99.5228 | 106.0419 | 110.4966 | ... | 107.6019 | 90.6505 | 129.4762 | 37.2707 | 118.3479 | 82.6710 | 129.8126 | 81.3485 | 126.7357 | 96.8011 |
10 rows × 21 columns
2000it [00:00, 2149.48it/s]
ACWI | 769 | 1767 | 962 | 637 | 1150 | 958 | 1981 | 395 | 1050 | ... | 828 | 1086 | 682 | 1710 | 1731 | 371 | 418 | 726 | 197 | 513 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0006 | 0.0007 | ... | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0006 | 0.0006 |
min | -0.0167 | -0.0151 | -0.0153 | -0.0167 | -0.0167 | -0.0167 | -0.0167 | -0.0167 | -0.0144 | -0.0167 | ... | -0.0167 | -0.0167 | -0.0167 | -0.0167 | -0.0167 | -0.0151 | -0.0153 | -0.0151 | -0.0167 | -0.0167 |
25% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
max | 0.0151 | 0.0151 | 0.0151 | 0.0151 | 0.0134 | 0.0151 | 0.0151 | 0.0151 | 0.0134 | 0.0134 | ... | 0.0134 | 0.0151 | 0.0151 | 0.0134 | 0.0134 | 0.0151 | 0.0151 | 0.0134 | 0.0124 | 0.0151 |
skew | -1.9723 | -1.2960 | -2.9620 | -3.2450 | -2.3807 | 1.7215 | -3.7871 | -1.5880 | 0.5969 | -3.3979 | ... | -3.0702 | -3.0542 | -1.1676 | 1.0592 | -6.3292 | -3.2281 | -3.9710 | -0.5625 | -1.0234 | -3.8973 |
kurtosis | 184.3940 | 181.7890 | 190.4615 | 199.0968 | 163.1057 | 181.6962 | 182.0486 | 188.5716 | 150.4877 | 199.9873 | ... | 194.6107 | 226.4913 | 181.6373 | 140.5830 | 221.0016 | 157.0432 | 170.4355 | 155.7410 | 147.5997 | 219.9716 |
10 rows × 21 columns
2000it [00:00, 2151.77it/s]
EEM | 494 | 1871 | 219 | 820 | 560 | 107 | 487 | 1308 | 1802 | ... | 330 | 1225 | 272 | 1028 | 154 | 749 | 724 | 90 | 1638 | 1877 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | 0.0000 | -0.0000 | -0.0000 |
std | 0.0008 | 0.0008 | 0.0007 | 0.0008 | 0.0007 | 0.0007 | 0.0008 | 0.0008 | 0.0008 | 0.0008 | ... | 0.0008 | 0.0008 | 0.0008 | 0.0008 | 0.0009 | 0.0009 | 0.0007 | 0.0008 | 0.0008 | 0.0008 |
min | -0.0226 | -0.0226 | -0.0226 | -0.0226 | -0.0204 | -0.0204 | -0.0226 | -0.0226 | -0.0226 | -0.0226 | ... | -0.0226 | -0.0226 | -0.0226 | -0.0226 | -0.0226 | -0.0226 | -0.0226 | -0.0226 | -0.0226 | -0.0226 |
25% | -0.0002 | -0.0003 | -0.0002 | -0.0002 | -0.0002 | -0.0003 | -0.0002 | -0.0002 | -0.0003 | -0.0002 | ... | -0.0002 | -0.0002 | -0.0003 | -0.0002 | -0.0003 | -0.0003 | -0.0002 | -0.0002 | -0.0002 | -0.0003 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
max | 0.0242 | 0.0242 | 0.0242 | 0.0242 | 0.0242 | 0.0242 | 0.0242 | 0.0181 | 0.0242 | 0.0173 | ... | 0.0242 | 0.0242 | 0.0242 | 0.0181 | 0.0181 | 0.0242 | 0.0242 | 0.0181 | 0.0242 | 0.0242 |
skew | -0.1780 | -0.4885 | -0.3095 | -4.0768 | 0.1299 | 4.2493 | -2.7809 | -5.1059 | 0.7594 | -5.7570 | ... | -0.6813 | -6.4116 | 1.6848 | -1.6379 | -3.1225 | 0.9598 | 4.3015 | -0.0033 | -1.4276 | -0.5942 |
kurtosis | 258.8837 | 308.7587 | 313.5124 | 294.4639 | 281.1151 | 330.2965 | 272.8270 | 273.3847 | 259.6875 | 245.0028 | ... | 261.8980 | 279.8267 | 290.8805 | 235.4039 | 237.1729 | 263.5386 | 274.6021 | 203.7074 | 247.6395 | 282.4913 |
10 rows × 21 columns
2000it [00:00, 2167.82it/s]
GLD | 910 | 1695 | 334 | 505 | 1136 | 1101 | 911 | 1773 | 1613 | ... | 951 | 1166 | 1713 | 639 | 1951 | 1360 | 613 | 929 | 1308 | 233 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | -0.0000 | -0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 |
std | 0.0004 | 0.0004 | 0.0004 | 0.0004 | 0.0004 | 0.0004 | 0.0004 | 0.0004 | 0.0004 | 0.0003 | ... | 0.0004 | 0.0004 | 0.0004 | 0.0003 | 0.0004 | 0.0004 | 0.0004 | 0.0003 | 0.0003 | 0.0003 |
min | -0.0138 | -0.0138 | -0.0109 | -0.0138 | -0.0138 | -0.0138 | -0.0138 | -0.0109 | -0.0138 | -0.0138 | ... | -0.0047 | -0.0138 | -0.0138 | -0.0138 | -0.0138 | -0.0109 | -0.0138 | -0.0109 | -0.0138 | -0.0138 |
25% | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0000 | 0.0000 | 0.0001 | 0.0000 | 0.0001 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0001 | 0.0001 | 0.0001 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0001 | 0.0000 |
max | 0.0144 | 0.0132 | 0.0144 | 0.0144 | 0.0132 | 0.0144 | 0.0144 | 0.0132 | 0.0144 | 0.0107 | ... | 0.0132 | 0.0132 | 0.0144 | 0.0132 | 0.0123 | 0.0144 | 0.0144 | 0.0123 | 0.0123 | 0.0132 |
skew | 10.2055 | 2.3744 | 14.2718 | 13.5500 | 3.2418 | 6.4586 | 11.0610 | 13.7891 | -0.3286 | 1.9861 | ... | 17.2521 | 11.2333 | 3.1074 | -6.5802 | 6.6043 | 15.5694 | 9.3012 | 11.8843 | 7.1493 | -0.0411 |
kurtosis | 601.9122 | 551.2636 | 494.6185 | 607.0791 | 648.8878 | 696.2331 | 527.9346 | 582.4510 | 663.1337 | 508.6740 | ... | 460.3351 | 590.8842 | 609.7670 | 749.5527 | 519.0393 | 575.7716 | 564.0511 | 614.5900 | 638.8106 | 797.4911 |
10 rows × 21 columns
2000it [00:01, 1801.88it/s]
TLT | 70 | 1477 | 223 | 968 | 432 | 1300 | 1904 | 1504 | 793 | ... | 981 | 186 | 644 | 1132 | 1405 | 1234 | 49 | 239 | 129 | 406 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | 0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 | 0.0000 | ... | 0.0000 | -0.0000 | 0.0000 | 0.0000 | -0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
std | 0.0003 | 0.0003 | 0.0003 | 0.0004 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | ... | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 | 0.0003 |
min | -0.0069 | -0.0060 | -0.0069 | -0.0060 | -0.0069 | -0.0069 | -0.0060 | -0.0069 | -0.0060 | -0.0069 | ... | -0.0069 | -0.0069 | -0.0060 | -0.0069 | -0.0069 | -0.0058 | -0.0069 | -0.0060 | -0.0060 | -0.0069 |
25% | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
max | 0.0096 | 0.0091 | 0.0060 | 0.0096 | 0.0091 | 0.0096 | 0.0096 | 0.0096 | 0.0096 | 0.0091 | ... | 0.0091 | 0.0096 | 0.0072 | 0.0096 | 0.0091 | 0.0096 | 0.0096 | 0.0096 | 0.0096 | 0.0091 |
skew | 4.4352 | 5.2155 | 0.6870 | 5.0951 | 4.2582 | 3.9411 | 5.1501 | 4.0913 | 0.9793 | 2.3851 | ... | 4.3656 | 1.3859 | 4.1410 | 4.3245 | 3.5112 | 7.7669 | 5.6236 | 7.5006 | 3.8812 | 5.7842 |
kurtosis | 208.6153 | 195.0706 | 148.5809 | 165.2571 | 183.4702 | 218.4375 | 202.0295 | 224.5576 | 180.8471 | 192.2126 | ... | 204.9660 | 187.4786 | 146.0383 | 193.5538 | 223.5801 | 261.1949 | 250.1902 | 241.4015 | 191.3973 | 225.9908 |
10 rows × 21 columns
2000it [00:00, 2069.90it/s]
BND | 84 | 26 | 1269 | 196 | 657 | 1199 | 637 | 1230 | 41 | ... | 1595 | 1198 | 1315 | 1401 | 158 | 357 | 870 | 701 | 646 | 1563 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | -0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 |
std | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | ... | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 |
min | -0.0027 | -0.0027 | -0.0027 | -0.0025 | -0.0027 | -0.0027 | -0.0027 | -0.0025 | -0.0027 | -0.0027 | ... | -0.0016 | -0.0027 | -0.0025 | -0.0019 | -0.0027 | -0.0027 | -0.0025 | -0.0027 | -0.0027 | -0.0025 |
25% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
max | 0.0033 | 0.0033 | 0.0033 | 0.0033 | 0.0023 | 0.0033 | 0.0021 | 0.0033 | 0.0024 | 0.0033 | ... | 0.0024 | 0.0033 | 0.0033 | 0.0033 | 0.0033 | 0.0033 | 0.0033 | 0.0033 | 0.0033 | 0.0023 |
skew | 2.9365 | 4.9578 | 2.2669 | 5.3258 | -0.3531 | 2.5080 | -2.0026 | 2.9254 | 3.0221 | 2.8903 | ... | 2.6066 | 2.6176 | 4.8221 | 2.4962 | -1.5381 | 1.9148 | 7.1752 | 4.4216 | 5.7855 | 2.0823 |
kurtosis | 281.8252 | 308.7125 | 266.6380 | 248.1384 | 221.5067 | 296.4084 | 238.8937 | 246.8166 | 222.9310 | 345.1514 | ... | 189.1892 | 275.3908 | 259.2988 | 254.8429 | 318.4074 | 389.5688 | 291.6320 | 349.3787 | 391.6335 | 188.9241 |
10 rows × 21 columns
2000it [00:00, 2096.54it/s]
SHY | 1082 | 1587 | 463 | 936 | 771 | 1599 | 594 | 1482 | 135 | ... | 651 | 1683 | 190 | 1278 | 730 | 1644 | 490 | 957 | 984 | 997 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 | 0.0000 | ... | -0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | -0.0000 |
std | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
min | -0.0021 | -0.0004 | -0.0021 | -0.0021 | -0.0016 | -0.0014 | -0.0014 | -0.0016 | -0.0016 | -0.0021 | ... | -0.0021 | -0.0016 | -0.0014 | -0.0021 | -0.0021 | -0.0021 | -0.0021 | -0.0016 | -0.0021 | -0.0021 |
25% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
max | 0.0016 | 0.0016 | 0.0016 | 0.0016 | 0.0016 | 0.0016 | 0.0016 | 0.0016 | 0.0016 | 0.0016 | ... | 0.0008 | 0.0009 | 0.0016 | 0.0009 | 0.0009 | 0.0016 | 0.0016 | 0.0016 | 0.0009 | 0.0008 |
skew | -6.6386 | 18.8949 | -4.7572 | -7.2842 | 1.3579 | 10.2173 | 11.1342 | 1.3333 | 0.2146 | -6.4951 | ... | -16.6369 | 1.7010 | 8.3246 | -11.8974 | -16.9518 | -7.7151 | -7.3808 | -1.9720 | -6.5956 | -19.5935 |
kurtosis | 812.2771 | 713.9810 | 825.6623 | 852.9997 | 527.5481 | 574.6776 | 527.1440 | 682.0118 | 700.3729 | 766.9180 | ... | 1,106.0044 | 460.6044 | 630.6524 | 913.3198 | 958.9412 | 981.4554 | 848.0590 | 724.4831 | 645.8657 | 872.2842 |
10 rows × 21 columns
2000it [00:00, 2127.47it/s]
LQD | 1127 | 1942 | 882 | 1784 | 1504 | 1533 | 1928 | 1304 | 265 | ... | 824 | 661 | 1416 | 1634 | 720 | 1877 | 1065 | 1101 | 78 | 1532 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 |
std | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | ... | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 |
min | -0.0044 | -0.0043 | -0.0044 | -0.0043 | -0.0044 | -0.0044 | -0.0028 | -0.0044 | -0.0044 | -0.0043 | ... | -0.0028 | -0.0044 | -0.0044 | -0.0044 | -0.0027 | -0.0043 | -0.0043 | -0.0043 | -0.0044 | -0.0044 |
25% | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
max | 0.0050 | 0.0031 | 0.0050 | 0.0050 | 0.0046 | 0.0050 | 0.0031 | 0.0046 | 0.0050 | 0.0050 | ... | 0.0050 | 0.0050 | 0.0050 | 0.0031 | 0.0050 | 0.0050 | 0.0031 | 0.0050 | 0.0050 | 0.0046 |
skew | 1.8693 | 0.3513 | -1.5800 | 3.9412 | 1.4691 | 0.9005 | 1.4132 | 4.5957 | 2.7656 | -0.3790 | ... | 8.2245 | 0.6907 | 5.2183 | -2.5443 | 3.5879 | 6.8464 | 0.9095 | 1.9729 | 0.3151 | 2.7680 |
kurtosis | 394.0263 | 226.6345 | 533.0329 | 365.9521 | 310.4217 | 359.2107 | 226.0957 | 316.5539 | 446.6328 | 361.9779 | ... | 405.6867 | 344.4966 | 509.0144 | 267.8517 | 310.0328 | 387.3741 | 270.9554 | 371.4728 | 406.1734 | 351.0420 |
10 rows × 21 columns
2000it [00:00, 2153.51it/s]
HYG | 353 | 291 | 621 | 104 | 334 | 1910 | 1824 | 92 | 1298 | ... | 1548 | 895 | 205 | 1385 | 1110 | 1103 | 97 | 1759 | 1382 | 561 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 |
std | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | ... | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 | 0.0002 |
min | -0.0052 | -0.0052 | -0.0047 | -0.0047 | -0.0047 | -0.0052 | -0.0052 | -0.0052 | -0.0052 | -0.0052 | ... | -0.0038 | -0.0045 | -0.0047 | -0.0047 | -0.0047 | -0.0052 | -0.0047 | -0.0052 | -0.0052 | -0.0045 |
25% | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
max | 0.0045 | 0.0045 | 0.0042 | 0.0045 | 0.0045 | 0.0041 | 0.0045 | 0.0045 | 0.0045 | 0.0041 | ... | 0.0039 | 0.0045 | 0.0045 | 0.0042 | 0.0045 | 0.0042 | 0.0045 | 0.0045 | 0.0039 | 0.0045 |
skew | -2.3023 | -3.9919 | -3.1755 | -2.8107 | -2.5294 | -5.1977 | 1.0772 | -2.8722 | -2.3080 | -4.3494 | ... | -2.2386 | -0.0507 | 0.0651 | -3.0868 | -0.0277 | -5.1372 | 0.3579 | -2.2148 | -3.7803 | 3.2277 |
kurtosis | 155.9981 | 161.5990 | 146.7170 | 149.6638 | 155.5116 | 167.2779 | 151.0723 | 148.9034 | 166.7580 | 173.2259 | ... | 98.4464 | 135.2666 | 134.6617 | 133.9388 | 166.3642 | 156.0118 | 160.0824 | 160.5609 | 149.5785 | 145.9401 |
10 rows × 21 columns
2000it [00:00, 2092.64it/s]
VNQ | 1890 | 894 | 702 | 773 | 751 | 1379 | 1312 | 37 | 620 | ... | 363 | 577 | 170 | 1986 | 546 | 1839 | 1749 | 1146 | 1 | 747 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
count | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | ... | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 | 19,475.0000 |
mean | -0.0000 | -0.0000 | 0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | -0.0000 | ... | -0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 | -0.0000 | -0.0000 | 0.0000 | -0.0000 |
std | 0.0007 | 0.0007 | 0.0006 | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0007 | 0.0007 | 0.0006 | ... | 0.0007 | 0.0007 | 0.0007 | 0.0006 | 0.0006 | 0.0007 | 0.0006 | 0.0006 | 0.0006 | 0.0006 |
min | -0.0319 | -0.0319 | -0.0146 | -0.0228 | -0.0209 | -0.0319 | -0.0125 | -0.0319 | -0.0228 | -0.0209 | ... | -0.0319 | -0.0319 | -0.0319 | -0.0146 | -0.0228 | -0.0319 | -0.0125 | -0.0087 | -0.0146 | -0.0228 |
25% | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0002 | -0.0001 | ... | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 | -0.0001 |
50% | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | ... | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
75% | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | ... | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 | 0.0001 |
max | 0.0125 | 0.0125 | 0.0125 | 0.0125 | 0.0101 | 0.0125 | 0.0122 | 0.0125 | 0.0124 | 0.0124 | ... | 0.0125 | 0.0124 | 0.0125 | 0.0125 | 0.0122 | 0.0124 | 0.0125 | 0.0125 | 0.0124 | 0.0101 |
skew | -9.1858 | -10.9076 | -0.8027 | -3.0991 | -3.6318 | -10.5352 | 0.0046 | -9.4183 | -3.8658 | -3.3336 | ... | -12.1681 | -12.6691 | -6.7949 | 0.5043 | -3.8995 | -12.6032 | 0.9252 | 1.5606 | -0.5446 | -9.9320 |
kurtosis | 451.2637 | 486.0593 | 109.4474 | 267.0798 | 153.6820 | 579.9189 | 63.8547 | 494.4111 | 188.5878 | 171.9093 | ... | 531.8643 | 496.5955 | 416.1268 | 86.6872 | 218.4092 | 484.4879 | 97.0111 | 73.9845 | 96.0734 | 380.9036 |
10 rows × 21 columns
<Figure size 432x288 with 0 Axes>
sim_no = 100
window = 240
for sym in etfs.columns:
fig, ax = plt.subplots(figsize=(10,5))
sim_dict[sym][sim_no].rolling(window).std().plot(ax=ax,
label=f'{sym} sim {sim_no}',alpha=0.75)
etfs[sym].reset_index(drop=True).rolling(window).std().plot(ax=ax, alpha=0.75)
ax.legend()