标签:ud501 01 return Scatterplots bonds daily histogram each 06
A closer look at daily returns
Histogram of daily returns
gaussian => kurtosis = 0
How to plot a histogram
Computing histogram statistics
Select the option that best describes the relationship between XYZ and SPY.
Note:
- These are histograms of daily return values, i.e. X-axis is +/- change (%), and Y-axis is the number of occurrences.
- We are considering two general properties indicated by the histogram for each stock: return and volatility (or risk).
Plot two histograms together
Scatterplots
Fitting a line to data points
Slope does not equal correlation
Correlation vs slope
Scatterplots in python
Real world use of kurtosis
In early 2000s investment banks built bonds based on mortgages( morgage: 抵押) => assume these mortgages was normally distributed
=> on that basis, they were able to show that these bonds had low probability of fault => 2 mistakes
=> (1) return of each mortagage was independent
=> (2) using gassian distrubution discribing the return
(1) and (2) were proved to be wrong => precipitated the great recession of 2008
标签:ud501,01,return,Scatterplots,bonds,daily,histogram,each,06 来源: https://www.cnblogs.com/ecoflex/p/10972290.html
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