用 SAS 计算 SPY 与 AAPL 的关系 (小牛奖征文)# Stock
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(导入数据)
proc import out=aapl
datafile="C:\Users\aapl.xlsx"
dbms=xlsx replace;
sheet="sheet1";
getnames=yes;
run;
proc import out=spy
datafile="C:\Users \spy.xlsx"
dbms=xlsx replace;
sheet="sheet1";
getnames=yes;
run;
(筛选数据)
data aapl;
set aapl(keep=date adj_close);
label adj_close="Aclose";
rename adj_close=Aclose;
run;
data spy;
set spy(keep=date adj_close);
label adj_close="Sclose";
rename adj_close=Sclose;
run;
(整理数据)
proc sort data=spy;by descending date;run;
proc sort data=aapl;by descending date;run;
data spy_aapl;
merge spy aapl;
by descending date;
run;
proc sql(inobs=400);
create table SA as
select *
from spy_aapl;
quit;
(计算关系)
proc corr data=sa;
var sclose aclose;
run;
(结论)
The CORR Procedure
2 Variables: Sclose Aclose
Simple Statistics
Variable N Mean Std Dev Sum Minimum Maximum
Sclose 400 129.17 7.96 5167 108.20 147.24
Aclose 400 455.12 112.18 70182049 313.97 691.28
Pearson Correlation Coefficients, N = 400
Prob > |r| under H0: Rho=0
Sclose Aclose
Sclose 1.00000 0.74028
Sclose <.0001>Aclose 0.74028 1.00000
Aclose <.0001>
proc import out=aapl
datafile="C:\Users\aapl.xlsx"
dbms=xlsx replace;
sheet="sheet1";
getnames=yes;
run;
proc import out=spy
datafile="C:\Users \spy.xlsx"
dbms=xlsx replace;
sheet="sheet1";
getnames=yes;
run;
(筛选数据)
data aapl;
set aapl(keep=date adj_close);
label adj_close="Aclose";
rename adj_close=Aclose;
run;
data spy;
set spy(keep=date adj_close);
label adj_close="Sclose";
rename adj_close=Sclose;
run;
(整理数据)
proc sort data=spy;by descending date;run;
proc sort data=aapl;by descending date;run;
data spy_aapl;
merge spy aapl;
by descending date;
run;
proc sql(inobs=400);
create table SA as
select *
from spy_aapl;
quit;
(计算关系)
proc corr data=sa;
var sclose aclose;
run;
(结论)
The CORR Procedure
2 Variables: Sclose Aclose
Simple Statistics
Variable N Mean Std Dev Sum Minimum Maximum
Sclose 400 129.17 7.96 5167 108.20 147.24
Aclose 400 455.12 112.18 70182049 313.97 691.28
Pearson Correlation Coefficients, N = 400
Prob > |r| under H0: Rho=0
Sclose Aclose
Sclose 1.00000 0.74028
Sclose <.0001>Aclose 0.74028 1.00000
Aclose <.0001>
