python-33品种期货自相关系数

# -*- coding: utf-8 -*-
"""
Created on Thu Jun 22 17:03:16 2017
@author: yunjinqi 
E-mail:yunjinqi@qq.com 
Differentiate yourself in the world from anyone else.
"""
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import statsmodels.tsa.stattools as ts
import statsmodels.api as sm
from statsmodels.graphics.api import qqplot
namelist=['cu','al','zn','pb','sn','au','ag','rb','hc','bu','ru','m9','y9','a9',
              'p9','c9','cs','jd','l9','v9','pp','j9','jm','i9','sr','cf',
              'zc','fg','ta','ma','oi','rm','sm']
j=0
for i in namelist:
    filename='C:/Users/HXWD/Desktop/数据/'+i+'.csv'
    data=pd.read_csv(filename,encoding='gbk')
    data.columns=['date','open','high','low','close','amt','opi']
    data.head()
    data=np.log(data['close'])
    r=data-data.shift(1)
    r=r.dropna()
    #print(r)
    x = np.array(r)
    print(i)
    lag_acf = acf(x, nlags=40)
    lag_pacf = pacf(x, nlags=40, method='ols')
    fig = plt.figure(figsize=(12,8))
    ax1=fig.add_subplot(211)
    print(lag_acf)
    fig = sm.graphics.tsa.plot_acf(x,lags=40,ax=ax1)
    ax2 = fig.add_subplot(212)
    print(lag_pacf)
    fig = sm.graphics.tsa.plot_pacf(x,lags=40,ax=ax2)
    plt.show()