Quant Python

The Autocorrelation Function

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xxx xxxxxxxxxxxxxxx xxxxxxxx xx xxx xxxxx xxxxx x xxxxxxxxxx xxxxxxxx xx xxx xxx xxxxxx: xx xx xxx xxxxxxxx, xxxx xxxxxxxxx xxx xxxxxxxxxx xxxxxxxxxx xxx xxxx xx xx xxxxxxx. xxxx-xxxxxx xxxxxxxxx xxx x xxxxxxxxx xxxxxxxxxx-xxxxxxxxx xxxxx xx xxxxxxxxxx xxxxx, xxx xxxxxxxxxxxx xxx xxx xxxxxxxxx (xxx xxxxxx xxxx, xxx xxxxxx xxxxxxxxxx) xx xxx xxxxxxxx xxxx-xx.

xxxxxxxxx xxx(xxxxxx, xxx_xxx).

  • xxxxxx: x xxxx xx xxxxxx, xx xxxxx x xxxx.
  • xxx_xxx: xxx xxxxxxx xxx xx xxxxxxx, xx xxxxxxx ( xxx x ).

xxxxxx [x_x, ..., x_xxx_xxx], xxxx xxxxxxx xx x xxxxxxxx, xxxxx xxx xxxxxxxx xxxxxxxxx: xxxxxx xxx xxxxx xxxxxx xxxx xxxx xxx xxxxxx xxxx ( xxx x ), xxxx

[ x_x ;=; xxxx{xxx_{x=x}^{x-x} (x_x - xxx x)(x_{x-x} - xxx x)} {xxx_{x=x}^{x-x} (x_x - xxx x)^x} ]

xxxx xxxx xxxxxxxxxx xxx xxxxxxxxx xxxx xxxx: xxx xxxx xx xxxxxxxx xxxx xxxx xxx xxxx xxxxxx (xxx xxx xxxxxxxxxxx xxxxxx), xxx xxx xxxxxxxxxxx xx xxx xxxx-xxxxxx xxx xx xxxxxxx xxxxxxxxxx xxx xxxxx xxx. x xxxxxxxx xxxxxx, xx x xxx xx xx xxxxxx xxx xxxxxx xxxxxx, xxx xxxxxxxxxxxxxxx x.x xx xxxxxxxxxx xxxx.

xxxxxxxx

xxx([x.x, x.x, x.x, x.x, x.x, x.x, x.x, x.x, x.x, x.x, x.x, x.x], x)
# [x.xxx, -x.xxxx, -x.xxxx]

xxx([x.x, -x.x, x.x, -x.x, x.x, -x.x, x.x, -x.x], x)
# [-x.xxx, x.xx]

xxx xxxxxxxxxxx xxxxxx xxxxx xxx xxxxxxxxx xx xxxx xxxxxxxxx: xxxxxxxx xxxxxxxx xx xxx x, xxxxxxxx xxxxx xx xxx x.

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Language: Python 3.12acf

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