## [AKShare](https://github.com/akfamily/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 | 必选 | 描述 | |--------|-----|-----|-------------------------------------------| | symbol | str | Y | symbol="FTSE", 具体指数请查看如下 **已实现波动率指数一览表** | | index | str | Y | 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 | 默认显示 | 描述 | |-------|-------------------|------|-----| | index | datetime.datetime | Y | 日期 | | data | float | Y | 数据 | 接口示例 ```python 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 ```python 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](https://github.com/akfamily/akshare) 多因子数据 ### Current Research Returns 接口: article_ff_crr 目标地址: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html 描述: 获取 Current Research Returns 多因子数据 限量: 单次返回所有历史数据 输入参数 | 名称 | 类型 | 必选 | 描述 | |-----|-----|-----|-----| | - | - | - | - | 输出参数 FF-Current Research Returns | 名称 | 类型 | 默认显示 | 描述 | | --------------- | ----- | -------- | ---------------- | | September 2019 | float | Y | - | | Last 3 Months | float | Y | - | | Last 12 Months | float | Y | - | 接口示例 ```python import akshare as ak df = ak.article_ff_crr() print(df) ``` 数据示例 ``` September 2019 Last 3 Months \ Fama/French 3 Research Factors - - Rm-Rf 1.44 0.00 SMB -0.89 -5.36 HML 6.73 1.39 Fama/French 5 Research Factors (2x3) - - Rm-Rf 1.44 0.00 SMB 0.33 -4.94 HML 6.73 1.39 RMW 1.98 2.16 CMA 3.58 2.82 Fama/French Research Portfolios - - Size and Book-to-Market Portfolios - - Small Value 5.77 -4.01 Small Neutral 3.84 -1.84 Big Neutral -2.46 -7.08 Small Growth 5.54 0.74 Big Value 3.97 1.38 Big Growth 0.30 1.04 Size and Operating Profitability Portfolios - - Small Robust 3.73 -6.10 Small Neutral 4.50 -1.20 Small Weak -0.22 -6.10 Big Robust 1.12 2.24 Big Neutral 2.60 0.67 Big Weak 1.11 -2.08 Size and Investment Portfolios - - Small Conservative 3.57 -3.90 Small Neutral 3.57 -1.41 Small Aggressive 0.15 -6.10 Big Conservative 3.08 2.35 Big Neutral 2.42 1.45 Big Aggressive -0.66 -1.09 Last 12 Months Fama/French 3 Research Factors - Rm-Rf -0.45 SMB -14.60 HML -4.92 Fama/French 5 Research Factors (2x3) - Rm-Rf -0.45 SMB -14.74 HML -4.92 RMW 4.97 CMA 2.98 Fama/French Research Portfolios - Size and Book-to-Market Portfolios - Small Value -16.59 Small Neutral -9.19 Big Neutral -12.36 Small Growth -1.87 Big Value 3.79 Big Growth 3.73 Size and Operating Profitability Portfolios - Small Robust -15.42 Small Neutral -7.23 Small Weak -15.73 Big Robust 4.76 Big Neutral 3.40 Big Weak -4.88 Size and Investment Portfolios - Small Conservative -14.66 Small Neutral -8.16 Small Aggressive -15.00 Big Conservative 5.23 Big Neutral 4.49 Big Aggressive -0.38 ``` ## [AKShare](https://github.com/akfamily/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: http://www.policyuncertainty.com/index.html 描述: 获取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 | 必选 | 描述 | | -------- | ---- | ---- | --- | | index | str | Y | index="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 | 默认显示 | 描述 | | --------------- | ----- | -------- | ---------------- | | - | - | - | 每个国家或地区不同 | 接口示例 ```python import akshare as ak epu_index_df = ak.article_epu_index(index="China") # 注意单词第一个字母大写 print(epu_index_df) ``` 数据示例 ``` year month China_Policy_Index 0 1995 1 192.91190 1 1995 2 193.98790 2 1995 3 88.22704 3 1995 4 131.03470 4 1995 5 177.09690 .. ... ... ... 287 2018 12 935.31030 288 2019 1 654.96260 289 2019 2 720.15790 290 2019 3 753.10770 291 2019 4 502.55000 ```