macro.py 文件源码

def macro_regression(ret, macro_index,macro_index_list):
    '''
    ?????????????????????????????????????????????????
    ??????????????????????????*???????????????-??????
    :param DataFrame ret: ??????????
    :param DataFrame macro_index: ??????????
    :return: [DataFrame,dict] [loading,significant_list]: ???????????????;??????????
    '''
    loading = pd.DataFrame(np.zeros([ret.shape[1], macro_index.shape[1]]), columns=macro_index.columns)
    # ??????????????????
    significant_list = dict()
    # ??????
    for i in range(len(macro_index_list)):
        significant_list[macro_index_list[i]] = 0
    # p???????????
    pvalue_threshold = 0.1
    # ??????????
    for i in range(ret.shape[1]):
        y = ret.values[:, i]
        # ??????????????
        for j in range(len(macro_index_list)):
            x = macro_index.values[:, j]
            model = sm.OLS(y, x).fit()
            loading.iloc[i, j] = model.params[0]
            if model.pvalues < pvalue_threshold:
                significant_list[macro_index_list[j]] += 1
    return [loading, significant_list]