industry_return.py 文件源码

def ind_reg_ret(ind_ret,ret):
    '''
    ???????????????????????????????????????????????
    :param DataFrame ind_ret: ????????*????
    :param DataFrame ret: ????????*????
    :return:
    '''
    #???pvalue????0.1
    pvalue_threshold=0.1
    ind_loading=np.zeros([ret.shape[1],ind_ret.shape[1]])
    # ?????????????????????????
    for i in range(ret.shape[1]):
        # ?????????????
        for j in range(ind_ret.shape[1]):
            model=sm.OLS(ret.values[:,i],ind_ret.values[:,j]).fit()
            #???????????
            ind_loading[i,j]=model.params[0]
        #??pvalue?????????????????significant_stocks_list?1
    ind_loading=pd.DataFrame(ind_loading,columns=ind_ret.columns)
    return ind_loading