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December 13, 2017 18:37
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Revisar si una serie tiene una distribución normal
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# -*- coding: utf-8 -*- | |
""" | |
Retornos y Distribución Normal | |
Autor: Guillermo Izquierdo | |
Este código es para fines educativos exclusivamente | |
""" | |
import numpy as np | |
import matplotlib | |
import matplotlib.pyplot as plt | |
from pandas_datareader import data as pdr | |
from datetime import date, timedelta | |
import matplotlib.mlab as mlab | |
matplotlib.style.use('ggplot') | |
def get_index(index): | |
# Definimos las fechas de nuestro indice | |
today = date.today() | |
day = timedelta(days=1) | |
today2 = today - day | |
enddate = today2.isoformat() | |
years = timedelta(weeks=52) | |
period = today - years | |
startdate = period.isoformat() | |
# Definimos el indice que queremos descargar | |
index = index | |
# Obtenemos los datos usando pandas_datareader | |
#Dividimos los datos en dos, precios y retornos | |
data = pdr.get_data_yahoo(index, start=startdate, end=enddate) | |
data['returns'] = data['Close'].pct_change() | |
data = data.dropna() | |
prices = data['Close'] | |
returns = data['returns'] | |
return [prices, returns] | |
def normal_check(dataframe): | |
count, bins, ignored = plt.hist( | |
dataframe, 100, normed=True, align='mid', color='blue', label='Histograma') | |
# Calculamos las medidas de tendencia central | |
mu = np.mean(dataframe) | |
sigma = np.std(dataframe) | |
# Generamos la linea de distribución normal | |
x = mlab.normpdf(bins, mu, sigma) | |
plt.plot(bins, x, color='r', lw=4) | |
plt.title("Distribución Normal de los Retornos") | |
plt.xlabel("Retornos") | |
plt.ylabel("Frecuencia") | |
plt.legend() | |
plt.show() | |
index = '^MXX' | |
indice = get_index(index) | |
normal_check(indice[1]) |
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