2023年3月9日 13:50:04go评论64阅读模式

英文:

python equivalent for MATLABS vratiotest

问题

我正在跟随《Algorithmic Trading》这本书，目前在第2章：均值回归的基础部分。

我有一些货币对及其收盘价格，我想检查哪一对的价差是均值回归的。

该书中使用MATLAB进行所有编程，而我正在使用Python。

首先提到了MATLAB包中的adf函数，其等价的Python代码是：

from statsmodels.tsa.stattools import adfuller
ad = adfuller(spread, maxlag=1)

然后提到了cadf，我认为其等价的Python代码是：

from statsmodels.tsa.stattools import coint
t_statistic, p_value, crit_value = coint(x, y)

然而，我找不到MATLAB的vratiotest的Python等价物。请告诉我是否有一个Python函数可以执行与MATLAB的vratiotest相同的功能。

英文:

I am following the book Algorithmic Trading and I am on Chapter 2: The Basics of Mean Reversion.

I have a few pairs and their close prices and I want to check the spread of which pair is mean-reverting.

The book uses MATLAB for all its programming and I am using Python.

First, there was a mention of adf function in MATLAB's package and its equivalent python code is:

from statsmodels.tsa.stattools import adfuller
ad = adfuller(spread, maxlag = 1)

Then there is a mention of cadf and I think its equivalent python code is:

from statsmodels.tsa.stattools import coint
t_statistic, p_value, crit_value = coint(x, y)

However, I cannot find the python equivalent for MATLAB's vratiotest.

Please let me know if there is a python function which performs same as MATLAB's vratiotest.

答案1

得分: 0

arch.unitroot.VarianceRatio

from arch.unitroot import VarianceRatio

英文:

These may not be exactly what you are looking for:

arch.unitroot.VarianceRatio

from arch.unitroot import VarianceRatio

Here is the python code for Variance Ratio Test - Lo and MacKinlay

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