AKShare 论文数据
AKShare 波动率数据
已实现波动率数据
Oxford-Man
接口：article_oman_rv
目标地址：https://realized.oxford-man.ox.ac.uk/data/visualization
描述：获取 Oxford-Man 已实现波动率数据
限量：单次返回某个指数具体指标的所有历史数据
输入参数
名称 |
类型 |
描述 |
|---|---|---|
symbol |
str |
symbol="FTSE"，具体指数请查看如下 已实现波动率指数一览表 |
index |
str |
index="rk_th2"，具体指标请查看如下 已实现波动率指标一览表 |
已实现波动率指数一览表
Symbol |
Name |
Earliest Available |
Latest Available |
|---|---|---|---|
.AEX |
AEX index |
January 03, 2000 |
November 28, 2019 |
.AORD |
All Ordinaries |
January 04, 2000 |
November 28, 2019 |
.BFX |
Bell 20 Index |
January 03, 2000 |
November 28, 2019 |
.BSESN |
S&P BSE Sensex |
January 03, 2000 |
November 28, 2019 |
.BVLG |
PSI All-Share Index |
October 15, 2012 |
November 28, 2019 |
.BVSP |
BVSP BOVESPA Index |
January 03, 2000 |
November 28, 2019 |
.DJI |
Dow Jones Industrial Average |
January 03, 2000 |
November 27, 2019 |
.FCHI |
CAC 40 |
January 03, 2000 |
November 28, 2019 |
.FTMIB |
FTSE MIB |
June 01, 2009 |
November 28, 2019 |
.FTSE |
FTSE 100 |
January 04, 2000 |
November 28, 2019 |
.GDAXI |
DAX |
January 03, 2000 |
November 28, 2019 |
.GSPTSE |
S&P/TSX Composite index |
May 02, 2002 |
November 28, 2019 |
.HSI |
HANG SENG Index |
January 03, 2000 |
November 28, 2019 |
.IBEX |
IBEX 35 Index |
January 03, 2000 |
November 28, 2019 |
.IXIC |
Nasdaq 100 |
January 03, 2000 |
November 27, 2019 |
.KS11 |
Korea Composite Stock Price Index (KOSPI) |
January 04, 2000 |
November 28, 2019 |
.KSE |
Karachi SE 100 Index |
January 03, 2000 |
November 28, 2019 |
.MXX |
IPC Mexico |
January 03, 2000 |
November 28, 2019 |
.N225 |
Nikkei 225 |
February 02, 2000 |
November 28, 2019 |
.NSEI |
NIFTY 50 |
January 03, 2000 |
November 28, 2019 |
.OMXC20 |
OMX Copenhagen 20 Index |
October 03, 2005 |
November 28, 2019 |
.OMXHPI |
OMX Helsinki All Share Index |
October 03, 2005 |
November 28, 2019 |
.OMXSPI |
OMX Stockholm All Share Index |
October 03, 2005 |
November 28, 2019 |
.OSEAX |
Oslo Exchange All-share Index |
September 03, 2001 |
November 28, 2019 |
.RUT |
Russel 2000 |
January 03, 2000 |
November 27, 2019 |
.SMSI |
Madrid General Index |
July 04, 2005 |
November 28, 2019 |
.SPX |
S&P 500 Index |
January 03, 2000 |
November 27, 2019 |
.SSEC |
Shanghai Composite Index |
January 04, 2000 |
November 28, 2019 |
.SSMI |
Swiss Stock Market Index |
January 04, 2000 |
November 28, 2019 |
.STI |
Straits Times Index |
January 03, 2000 |
November 28, 2019 |
.STOXX50E |
EURO STOXX 50 |
January 03, 2000 |
November 28, 2019 |
已实现波动率指标一览表
Code |
Description |
|---|---|
bv |
Bipower Variation (5-min) |
bv_ss |
Bipower Variation (5-min Sub-sampled) |
close_price |
Closing (Last) Price |
close_time |
Closing Time |
medrv |
Median Realized Variance (5-min) |
nobs |
Number of Observations |
open_price |
Opening (First) Price |
open_time |
Opening Time |
open_to_close |
Open to Close Return |
rk_parzen |
Realized Kernel Variance (Non-Flat Parzen) |
rk_th2 |
Realized Kernel Variance (Tukey-Hanning(2)) |
rk_twoscale |
Realized Kernel Variance (Two-Scale/Bartlett) |
rsv |
Realized Semi-variance (5-min) |
rsv_ss |
Realized Semi-variance (5-min Sub-sampled) |
rv10 |
Realized Variance (10-min) |
rv10_ss |
Realized Variance (10-min Sub-sampled) |
rv5 |
Realized Variance (5-min) |
rv5_ss |
Realized Variance (5-min Sub-sampled) |
输出参数
Oxford-Man-已实现波动率数据
名称 |
类型 |
描述 |
|---|---|---|
index |
datetime.datetime |
日期 |
data |
float |
数据 |
接口示例
import akshare as ak
article_oman_rv_df = ak.article_oman_rv(symbol="FTSE", index="rk_th2")
print(article_oman_rv_df)
数据示例
2000-01-04 22.95
2000-01-05 19.37
2000-01-06 18.22
2000-01-07 19.34
2000-01-10 15.67
...
2019-11-04 6.71
2019-11-05 5.90
2019-11-06 6.43
2019-11-07 5.81
2019-11-08 6.75
Risk-Lab
接口：article_rlab_rv
目标地址：https://dachxiu.chicagobooth.edu/
描述：获取 Risk-Lab 已实现波动率数据
限量：单次返回某个指数所有历史数据
输入参数
名称 |
类型 |
描述 |
|---|---|---|
symbol |
str |
symbol="39693"，某个具体指数 help(article_rlab_rv) |
输出参数
Risk-Lab-已实现波动率数据
名称 |
类型 |
描述 |
|---|---|---|
index |
datetime.datetime |
日期 |
data |
float |
数据 |
接口示例
import akshare as ak
article_rlab_rv_df = ak.article_rlab_rv(symbol="39693")
print(article_rlab_rv_df)
数据示例
1996-01-02 0.000000
1996-01-04 0.000000
1996-01-05 0.000000
1996-01-09 0.000000
1996-01-10 0.000000
...
2019-11-04 0.175107
2019-11-05 0.185112
2019-11-06 0.210373
2019-11-07 0.240808
2019-11-08 0.199549
AKShare 多因子数据
Current Research Returns
接口：article_ff_crr
目标地址：https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
描述：获取 Current Research Returns 多因子数据；更多信息请访问目标地址
限量：单次返回所有历史数据
输入参数
名称 |
类型 |
描述 |
|---|---|---|
- |
- |
- |
输出参数
名称 |
类型 |
描述 |
|---|---|---|
item |
object |
- |
September 2019 |
object |
动态日期 |
Last 3 Months |
object |
动态日期 |
Last 12 Months |
object |
动态日期 |
接口示例
import akshare as ak
article_ff_crr_df = ak.article_ff_crr()
print(article_ff_crr_df)
数据示例
item ... Last 12 Months
0 Fama/French 3 Research Factors ... -
1 Rm-Rf ... 8.12
2 SMB ... -9.44
3 HML ... -14.98
4 Fama/French 5 Research Factors (2x3) ... -
5 Rm-Rf ... 8.12
6 SMB ... -12.25
7 HML ... -14.98
8 RMW ... 8.46
9 CMA ... -14.63
10 Fama/French Research Portfolios ... -
11 Size and Book-to-Market Portfolios ... -
12 Small Value ... -7.16
13 Small Neutral ... 1.97
14 Big Neutral ... -2.47
15 Small Growth ... -2.56
16 Big Value ... 0.51
17 Big Growth ... 22.70
18 Size and Operating Profitability Portfolios ... -
19 Small Robust ... 4.19
20 Small Neutral ... 0.17
21 Small Weak ... -4.93
22 Big Robust ... 19.99
23 Big Neutral ... 5.67
24 Big Weak ... 12.20
25 Size and Investment Portfolios ... -
26 Small Conservative ... -6.81
27 Small Neutral ... -1.21
28 Small Aggressive ... 1.64
29 Big Conservative ... 0.77
30 Big Neutral ... 14.75
31 Big Aggressive ... 21.59
[32 rows x 4 columns]
AKShare 政策不确定性数据
国家和地区指数
接口：article_epu_index
目标地址：https://www.policyuncertainty.com/index.html
描述：国家或地区的经济政策不确定性(EPU)数据
限量：单次返回某个具体国家或地区的所有月度经济政策不确定性数据
输入参数
名称 |
类型 |
描述 |
|---|---|---|
symbol |
str |
symbol="China"；按 国家和地区一览表 输入相应参数 |
国家和地区一览表
英文名词 |
说明 |
|---|---|
Global |
|
Australia |
|
Canada |
|
China |
|
Europe |
欧洲 |
Germany |
欧洲 |
Hong Kong |
|
Ireland |
|
Japan |
|
Mexico |
|
Russia |
|
Spain |
|
UK |
|
USA |
|
Brazil |
|
Chile |
|
Colombia |
有两种，默认第一种(FKT) |
France |
欧洲 |
Greece |
|
India |
|
Italy |
欧洲 |
South Korea |
|
Netherlands |
|
Singapore |
|
Sweden |
输出参数
名称 |
类型 |
描述 |
|---|---|---|
- |
- |
每个国家或地区不同 |
接口示例
import akshare as ak
article_epu_index_df = ak.article_epu_index(symbol="China") # 注意单词第一个字母大写
print(article_epu_index_df)
数据示例
year month China_Policy_Index
0 1995 1 192.911910
1 1995 2 193.987850
2 1995 3 88.227035
3 1995 4 131.034710
4 1995 5 177.096860
.. ... ... ...
342 2023 7 704.566080
343 2023 8 709.881990
344 2023 9 819.746150
345 2023 10 603.739890
346 2023 11 743.397580
[347 rows x 3 columns]