偏度的定义:3阶中心距与标注差的比值
在一般情形下,当统计数据为右偏分布时,S_k > 0,且S_k值越大,右偏程度越高;当统计数据为左偏分布时,S_k < 0,且S_k值越小,左偏程度越高。当统计数据为对称分布时,显然有S_k = 0。
偏度在A股市场中的分布:
在行业中分布:
源代码:
import numpy as np import pandas as pd #if __name__=='__main__': dfall = get_all_securities(types=[], date='2018-12-04') stocks = list(dfall.index) skewcount2 = [] for stock in stocks: if stock[0] != '6': df = get_price(stock,start_date=dfall['start_date'][stock],end_date='2018-12-04',frequency = 'daily',fields = ['close']) df = df.where(df.notnull(), df['close'][1]) price = list(df['close']) report2 = [] for i in range(len(price)-1): report2.append(price[i 1]-price[i]) dfreport2 = pd.DataFrame(report2) skewcount2.append(dfreport2.skew()) left2 = sum([int(xi>0) for xi in skewcount2]) right2 = sum([int(xi<0) for xi in skewcount2]) rate2 = left2/(left2 right2)