# [QuantSource](../../index.rst) 论文数据 ## [QuantSource](../../index.rst) 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 | 描述 | |--------|-----|-------------------------------------------| | symbol | str | symbol="FTSE"，具体指数请查看如下 **已实现波动率指数一览表** | | index | str | 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 | 描述 | |-------|-------------------|----| | index | datetime.datetime | 日期 | | data | float | 数据 | 接口示例 ```python import quantsource as qs article_oman_rv_df = qs.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 quantsource as qs article_rlab_rv_df = qs.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 ``` ## [QuantSource](../../index.rst) 多因子数据 ### Current Research Returns 接口：article_ff_crr 目标地址：https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html 描述：获取 Current Research Returns 多因子数据；更多信息请访问目标地址 限量：单次返回所有历史数据 输入参数 | 名称 | 类型 | 描述 | |----|----|----| | - | - | - | 输出参数 | 名称 | 类型 | 描述 | |----------------|--------|------| | item | object | - | | September 2019 | object | 动态日期 | | Last 3 Months | object | 动态日期 | | Last 12 Months | object | 动态日期 | 接口示例 ```python import quantsource as qs article_ff_crr_df = qs.article_ff_crr() print(article_ff_crr_df) ``` 数据示例 ``` item ... Last 12 Months 0 Fama/French 3 Research Factors ... - 1 Rm-Rf ... 8.12 2 SMB ... -9.44 3 HML ... -14.98 4 Fama/French 5 Research Factors (2x3) ... - 5 Rm-Rf ... 8.12 6 SMB ... -12.25 7 HML ... -14.98 8 RMW ... 8.46 9 CMA ... -14.63 10 Fama/French Research Portfolios ... - 11 Size and Book-to-Market Portfolios ... - 12 Small Value ... -7.16 13 Small Neutral ... 1.97 14 Big Neutral ... -2.47 15 Small Growth ... -2.56 16 Big Value ... 0.51 17 Big Growth ... 22.70 18 Size and Operating Profitability Portfolios ... - 19 Small Robust ... 4.19 20 Small Neutral ... 0.17 21 Small Weak ... -4.93 22 Big Robust ... 19.99 23 Big Neutral ... 5.67 24 Big Weak ... 12.20 25 Size and Investment Portfolios ... - 26 Small Conservative ... -6.81 27 Small Neutral ... -1.21 28 Small Aggressive ... 1.64 29 Big Conservative ... 0.77 30 Big Neutral ... 14.75 31 Big Aggressive ... 21.59 [32 rows x 4 columns] ``` ## [QuantSource](../../index.rst) 政策不确定性数据 ### 国家和地区指数 接口：article_epu_index 目标地址：https://www.policyuncertainty.com/index.html 描述：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 | 描述 | |--------|-----|---------------------------------------| | symbol | str | symbol="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 | 描述 | |----|----|-----------| | - | - | 每个国家或地区不同 | 接口示例 ```python import quantsource as qs article_epu_index_df = qs.article_epu_index(symbol="China") # 注意单词第一个字母大写 print(article_epu_index_df) ``` 数据示例 ``` year month China_Policy_Index 0 1995 1 192.911910 1 1995 2 193.987850 2 1995 3 88.227035 3 1995 4 131.034710 4 1995 5 177.096860 .. ... ... ... 342 2023 7 704.566080 343 2023 8 709.881990 344 2023 9 819.746150 345 2023 10 603.739890 346 2023 11 743.397580 [347 rows x 3 columns] ```