INNER CODE UNIT · Python
gskew
firmai/deltapy · deltapy/extract.py:214
def gskew(x):
interpolation="nearest"
median_mag = np.median(x)
F_3_value = np.percentile(x, 3, interpolation=interpolation)
F_97_value = np.percentile(x, 97, interpolation=interpolation)
skew = (np.median(x[x <= F_3_value]) +
np.median(x[x >= F_97_value]) - 2 * median_mag)
return skew
# gskew(df["Close"])
#++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
stestson_param = {"weight":100., "alpha":2., "beta":2., "tol":1.e-6, "nmax":20}