On 14/02/17 01:55, Allan Tanaka via Tutor wrote:
> Hi. Not sure why this code produces the error like this. This error appears
> when i run the code of print "Hurst(GBM): %s" % hurst(gbm):
> Traceback (most recent call last): File "<pyshell#31>", line 1, in <module>
> print "Hurst(GBM): %s" % hurst(gbm)NameError: name 'hurst' is not defined
>
> Here is the full code:>>> import statsmodels.tsa.stattools as ts
>>>> import urllib>>> from datetime import datetime>>> from pandas_datareader
>>>> import data, wb>>> from pandas_datareader.data import DataReader>>> goog =
>>>> DataReader("GOOG", "yahoo", datetime(2000,1,1), datetime(2017,1,1))>>>
>>>> ts.adfuller(goog['Adj Close'], 1>>> import numpy as np
>>>> from numpy import cumsum, log, polyfit, sqrt, std, subtract>>> from
>>>> numpy.random import randn>>> def hurst(ts): lags = range(2, 100) tau =
>>>> [np.sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in lags] poly =
>>>> np.polyfit(log(lags), log(tau), 1) return poly[0]*2.0>>> gbm =
>>>> log(cumsum(randn(100000))+1000)>>> mr = log(randn(100000)+1000)>>> tr =
>>>> log(cumsum(randn(100000)+1)+1000)>>> print "Hurst(GBM): %s" % hurst(gbm)
The mail system has mangled your code, you need to post
in plain text to preserve layout. I'll try to reconstruct
it based on >>> as the interpreter prompt:
>>> import urllib
>>> from datetime import datetime
>>> from pandas_datareader import data, wb
>>> from pandas_datareader.data import DataReader
>>> goog = DataReader("GOOG", "yahoo", datetime(2000,1,1),
datetime(2017,1,1))
>>> ts.adfuller(goog['Adj Close'], 1
there seems to be a missing closing paren here?
Also where does 'ts' come from, its not defined above?
>>> import numpy as np
>>> from numpy import cumsum, log, polyfit, sqrt, std, subtract
>>> from numpy.random import randn
>>> def hurst(ts):
lags = range(2, 100)
tau = [np.sqrt(std(subtract(ts[lag:], ts[:-lag])))
for lag in lags]
poly = np.polyfit(log(lags), log(tau), 1)
return poly[0]*2.0
>>> gbm = log(cumsum(randn(100000))+1000)
>>> mr = log(randn(100000)+1000)
>>> tr = log(cumsum(randn(100000)+1)+1000)
>>> print "Hurst(GBM): %s" % hurst(gbm)
Is that right?
Apart from the missing ')' and undefined ts, it looks OK.
Have you tried putting it into a file and running it
as a script? That will avoid risk of pollution from
any previous context in the interpreter.
--
Alan G
Author of the Learn to Program web site
http://www.alan-g.me.uk/
http://www.amazon.com/author/alan_gauld
Follow my photo-blog on Flickr at:
http://www.flickr.com/photos/alangauldphotos
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