Third moment: Skewness
To calculate the third moment, or skewness of a returns distribution in Python, you can use the skew() function from scipy.stats.
Remember that a negative skew is a right-leaning curve, while positive skew is a left-leaning curve. In finance, you would tend to want positive skewness, as this would mean that the probability of large positive returns is unusually high, and the negative returns are more closely clustered and predictable.
StockPrices from the previous exercise is available in your workspace.
Este exercício faz parte do curso
Introduction to Portfolio Risk Management in Python
Instruções do exercício
- Import
skewfromscipy.stats. - Drop missing values in the
'Returns'column to prevent errors. - Calculate the skewness of
clean_returns.
Exercício interativo prático
Experimente este exercício completando este código de exemplo.
# Import skew from scipy.stats
from ____ import ____
# Drop the missing values
clean_returns = ____
# Calculate the third moment (skewness) of the returns distribution
returns_skewness = ____
print(returns_skewness)