在Python中绘制高频财务相关性

import pandas as pd
import matplotlib.pyplot as plt

data = pd.read_csv('financial_data.csv')

data['Date'] = pd.to_datetime(data['Date'])
data.set_index('Date', inplace=True)

correlation = data.pct_change().corr()

plt.figure(figsize=(10, 8))
plt.imshow(correlation, cmap='coolwarm', interpolation='nearest')
plt.colorbar()
plt.title('High-Frequency Financial Correlation')
plt.xticks(range(len(correlation.columns)), correlation.columns, rotation=90)
plt.yticks(range(len(correlation.columns)), correlation.columns)
plt.show()