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)
See that mess? You need to check your mail client. When I undo the
scrambling...
$ cat hurst.py
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 code runs without error:
$ python hurst.py
Hurst(GBM): 0.502272832664
_______________________________________________
Tutor maillist - Tutor@python.org
To unsubscribe or change subscription options:
https://mail.python.org/mailman/listinfo/tutor
