KeyTo_RExercise_renkun.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 276900 × 15</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>symbol</th><th scope=col>date</th><th scope=col>pre_close</th><th scope=col>open</th><th scope=col>high</th><th scope=col>low</th><th scope=col>close</th><th scope=col>volume</th><th scope=col>amount</th><th scope=col>adj_factor</th><th scope=col>capt</th><th scope=col>index_w50</th><th scope=col>index_w300</th><th scope=col>index_w500</th><th scope=col>industry</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>600000.SH</td><td>20120104</td><td>8.49</td><td>8.54</td><td>8.56</td><td>8.39</td><td>8.41</td><td> 34201379</td><td> 290229551</td><td>6.655275</td><td>125500555680</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120105</td><td>8.41</td><td>8.47</td><td>8.82</td><td>8.47</td><td>8.65</td><td>132116203</td><td>1144753023</td><td>6.655275</td><td>129082022192</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120106</td><td>8.65</td><td>8.63</td><td>8.78</td><td>8.62</td><td>8.71</td><td> 61778687</td><td> 537043761</td><td>6.655275</td><td>129977388820</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120109</td><td>8.71</td><td>8.72</td><td>8.99</td><td>8.68</td><td>8.95</td><td> 80136249</td><td> 711429611</td><td>6.655275</td><td>133558855331</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120110</td><td>8.95</td><td>8.95</td><td>9.10</td><td>8.88</td><td>9.07</td><td> 72004632</td><td> 647206633</td><td>6.655275</td><td>135349588587</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120111</td><td>9.07</td><td>9.05</td><td>9.10</td><td>8.98</td><td>9.00</td><td> 49261157</td><td> 444366552</td><td>6.655275</td><td>134304994188</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120112</td><td>9.00</td><td>9.00</td><td>9.21</td><td>8.99</td><td>9.09</td><td> 60486981</td><td> 551261471</td><td>6.655275</td><td>135648044130</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120113</td><td>9.09</td><td>9.11</td><td>9.18</td><td>8.97</td><td>9.04</td><td> 56725332</td><td> 514638094</td><td>6.655275</td><td>134901905273</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120116</td><td>9.04</td><td>9.00</td><td>9.12</td><td>8.96</td><td>8.97</td><td> 33100160</td><td> 299225053</td><td>6.655275</td><td>133857310874</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120117</td><td>8.97</td><td>9.00</td><td>9.26</td><td>8.79</td><td>9.20</td><td> 97357263</td><td> 876457391</td><td>6.655275</td><td>137289549614</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120118</td><td>9.20</td><td>9.16</td><td>9.23</td><td>9.00</td><td>9.04</td><td> 58089289</td><td> 529288104</td><td>6.655275</td><td>134901905273</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120119</td><td>9.04</td><td>9.05</td><td>9.22</td><td>9.02</td><td>9.20</td><td> 68645571</td><td> 628781817</td><td>6.655275</td><td>137289549614</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120120</td><td>9.20</td><td>9.25</td><td>9.43</td><td>9.17</td><td>9.42</td><td> 95052703</td><td> 883450355</td><td>6.655275</td><td>140572560583</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120130</td><td>9.42</td><td>9.40</td><td>9.41</td><td>9.20</td><td>9.22</td><td> 71883155</td><td> 668276691</td><td>6.655275</td><td>137588005157</td><td>0.04640928</td><td>0.02125936</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120131</td><td>9.22</td><td>9.24</td><td>9.28</td><td>9.16</td><td>9.22</td><td> 35464104</td><td> 326763252</td><td>6.655275</td><td>137588005157</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120201</td><td>9.22</td><td>9.20</td><td>9.26</td><td>9.05</td><td>9.08</td><td> 39647888</td><td> 362716575</td><td>6.655275</td><td>135498816359</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120202</td><td>9.08</td><td>9.12</td><td>9.42</td><td>9.08</td><td>9.40</td><td> 87973331</td><td> 816297537</td><td>6.655275</td><td>140274105041</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120203</td><td>9.40</td><td>9.35</td><td>9.50</td><td>9.32</td><td>9.44</td><td> 97135312</td><td> 914988444</td><td>6.655275</td><td>140871016126</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120206</td><td>9.44</td><td>9.46</td><td>9.51</td><td>9.29</td><td>9.39</td><td> 63691281</td><td> 599080983</td><td>6.655275</td><td>140124877269</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120207</td><td>9.39</td><td>9.32</td><td>9.36</td><td>9.18</td><td>9.24</td><td> 51391402</td><td> 475945766</td><td>6.655275</td><td>137886460700</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120208</td><td>9.24</td><td>9.23</td><td>9.48</td><td>9.23</td><td>9.45</td><td> 64270717</td><td> 602796522</td><td>6.655275</td><td>141020243897</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120209</td><td>9.45</td><td>9.45</td><td>9.48</td><td>9.36</td><td>9.40</td><td> 50273854</td><td> 473358227</td><td>6.655275</td><td>140274105041</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120210</td><td>9.40</td><td>9.36</td><td>9.48</td><td>9.32</td><td>9.37</td><td> 51836488</td><td> 487049474</td><td>6.655275</td><td>139826421727</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120213</td><td>9.37</td><td>9.25</td><td>9.37</td><td>9.18</td><td>9.27</td><td> 49204966</td><td> 456411669</td><td>6.655275</td><td>138334144014</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120214</td><td>9.27</td><td>9.24</td><td>9.28</td><td>9.13</td><td>9.19</td><td> 53024869</td><td> 487049233</td><td>6.655275</td><td>137140321843</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120215</td><td>9.19</td><td>9.16</td><td>9.29</td><td>9.14</td><td>9.23</td><td> 55064760</td><td> 507511353</td><td>6.655275</td><td>137737232928</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120216</td><td>9.23</td><td>9.25</td><td>9.28</td><td>9.14</td><td>9.19</td><td> 47501799</td><td> 437494063</td><td>6.655275</td><td>137140321843</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120217</td><td>9.19</td><td>9.25</td><td>9.31</td><td>9.20</td><td>9.26</td><td> 41743292</td><td> 386595857</td><td>6.655275</td><td>138184916242</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120220</td><td>9.26</td><td>9.41</td><td>9.41</td><td>9.25</td><td>9.26</td><td> 57740009</td><td> 539245887</td><td>6.655275</td><td>138184916242</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>600000.SH</td><td>20120221</td><td>9.26</td><td>9.27</td><td>9.31</td><td>9.20</td><td>9.28</td><td> 42757386</td><td> 395923924</td><td>6.655275</td><td>138483371785</td><td>0.04630000</td><td>0.02171520</td><td>0</td><td>BANKS</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120619</td><td>12.80</td><td>14.23</td><td>14.80</td><td>14.02</td><td>14.35</td><td>17854499</td><td>256268629</td><td>1</td><td>401800000</td><td>0</td><td>0</td><td>0</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120620</td><td>14.35</td><td>14.52</td><td>15.79</td><td>14.26</td><td>15.79</td><td>14827528</td><td>220396594</td><td>1</td><td>442120000</td><td>0</td><td>0</td><td>0</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120621</td><td>15.79</td><td>16.09</td><td>16.99</td><td>15.95</td><td>16.76</td><td>16825156</td><td>276292939</td><td>1</td><td>469280000</td><td>0</td><td>0</td><td>0</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120625</td><td>16.76</td><td>16.50</td><td>16.69</td><td>15.36</td><td>15.85</td><td>11870305</td><td>190193492</td><td>1</td><td>443800000</td><td>0</td><td>0</td><td>0</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120626</td><td>15.85</td><td>15.66</td><td>15.80</td><td>14.71</td><td>15.24</td><td> 8367951</td><td>126885103</td><td>1</td><td>426720000</td><td>0</td><td>0</td><td>0</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120627</td><td>15.24</td><td>15.11</td><td>16.74</td><td>15.09</td><td>16.00</td><td>11150220</td><td>177049403</td><td>1</td><td>448000000</td><td>0</td><td>0</td><td>0</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120628</td><td>16.00</td><td>15.69</td><td>15.81</td><td>14.40</td><td>14.50</td><td> 8856037</td><td>134039200</td><td>1</td><td>406000000</td><td>0</td><td>0</td><td>0</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120629</td><td>14.50</td><td>14.25</td><td>14.95</td><td>14.14</td><td>14.87</td><td> 6230692</td><td> 91025880</td><td>1</td><td>416360000</td><td>0</td><td>0</td><td>0</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>300329.SZ</td><td>20120619</td><td>21.00</td><td>20.50</td><td>20.57</td><td>19.90</td><td>19.91</td><td> 4535107</td><td> 90947636</td><td>1</td><td>333890700</td><td>0</td><td>0</td><td>0</td><td>LEISLUX </td></tr>\n",
       "\t<tr><td>300329.SZ</td><td>20120620</td><td>19.91</td><td>19.92</td><td>20.95</td><td>19.72</td><td>20.35</td><td> 3802599</td><td> 76949521</td><td>1</td><td>341269500</td><td>0</td><td>0</td><td>0</td><td>LEISLUX </td></tr>\n",
       "\t<tr><td>300329.SZ</td><td>20120621</td><td>20.35</td><td>20.05</td><td>20.30</td><td>19.68</td><td>19.81</td><td> 2057403</td><td> 40968983</td><td>1</td><td>332213700</td><td>0</td><td>0</td><td>0</td><td>LEISLUX </td></tr>\n",
       "\t<tr><td>300329.SZ</td><td>20120625</td><td>19.81</td><td>19.73</td><td>19.73</td><td>18.59</td><td>18.60</td><td> 2128986</td><td> 40437548</td><td>1</td><td>311922000</td><td>0</td><td>0</td><td>0</td><td>LEISLUX </td></tr>\n",
       "\t<tr><td>300329.SZ</td><td>20120626</td><td>18.60</td><td>18.51</td><td>18.51</td><td>17.93</td><td>18.29</td><td> 1306723</td><td> 23822102</td><td>1</td><td>306723300</td><td>0</td><td>0</td><td>0</td><td>LEISLUX </td></tr>\n",
       "\t<tr><td>300329.SZ</td><td>20120627</td><td>18.29</td><td>18.31</td><td>18.95</td><td>18.23</td><td>18.53</td><td> 1748030</td><td> 32574457</td><td>1</td><td>310748100</td><td>0</td><td>0</td><td>0</td><td>LEISLUX </td></tr>\n",
       "\t<tr><td>300329.SZ</td><td>20120628</td><td>18.53</td><td>18.40</td><td>18.65</td><td>18.09</td><td>18.10</td><td> 1199263</td><td> 21894937</td><td>1</td><td>303537000</td><td>0</td><td>0</td><td>0</td><td>LEISLUX </td></tr>\n",
       "\t<tr><td>300329.SZ</td><td>20120629</td><td>18.10</td><td>18.09</td><td>18.65</td><td>18.03</td><td>18.40</td><td> 1116525</td><td> 20520345</td><td>1</td><td>308568000</td><td>0</td><td>0</td><td>0</td><td>LEISLUX </td></tr>\n",
       "\t<tr><td>300330.SZ</td><td>20120619</td><td>15.00</td><td>15.50</td><td>15.53</td><td>14.98</td><td>15.03</td><td>10381628</td><td>157581867</td><td>1</td><td>300600000</td><td>0</td><td>0</td><td>0</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>300330.SZ</td><td>20120620</td><td>15.03</td><td>14.73</td><td>16.12</td><td>14.60</td><td>15.70</td><td>10289823</td><td>158078670</td><td>1</td><td>314000000</td><td>0</td><td>0</td><td>0</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>300330.SZ</td><td>20120621</td><td>15.70</td><td>15.52</td><td>15.75</td><td>15.05</td><td>15.25</td><td> 5806177</td><td> 89549537</td><td>1</td><td>305000000</td><td>0</td><td>0</td><td>0</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>300330.SZ</td><td>20120625</td><td>15.25</td><td>15.00</td><td>15.08</td><td>14.48</td><td>14.54</td><td> 3710143</td><td> 54546490</td><td>1</td><td>290800000</td><td>0</td><td>0</td><td>0</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>300330.SZ</td><td>20120626</td><td>14.54</td><td>14.51</td><td>15.15</td><td>14.26</td><td>14.92</td><td> 3543751</td><td> 52273024</td><td>1</td><td>298400000</td><td>0</td><td>0</td><td>0</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>300330.SZ</td><td>20120627</td><td>14.92</td><td>14.80</td><td>16.30</td><td>14.72</td><td>15.67</td><td> 7910396</td><td>124063466</td><td>1</td><td>313400000</td><td>0</td><td>0</td><td>0</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>300330.SZ</td><td>20120628</td><td>15.67</td><td>15.60</td><td>15.60</td><td>14.93</td><td>14.93</td><td> 4950870</td><td> 75785051</td><td>1</td><td>298600000</td><td>0</td><td>0</td><td>0</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>300330.SZ</td><td>20120629</td><td>14.93</td><td>14.76</td><td>15.91</td><td>14.73</td><td>15.62</td><td> 5396045</td><td> 83665851</td><td>1</td><td>312400000</td><td>0</td><td>0</td><td>0</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>300331.SZ</td><td>20120628</td><td>20.00</td><td>20.50</td><td>21.15</td><td>20.03</td><td>20.41</td><td> 7272745</td><td>149026521</td><td>1</td><td>316355000</td><td>0</td><td>0</td><td>0</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>300331.SZ</td><td>20120629</td><td>20.41</td><td>21.00</td><td>22.45</td><td>21.00</td><td>22.45</td><td> 4579911</td><td>100844645</td><td>1</td><td>347975000</td><td>0</td><td>0</td><td>0</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>300332.SZ</td><td>20120628</td><td> 8.18</td><td>10.45</td><td>11.30</td><td>10.12</td><td>10.93</td><td>59788245</td><td>640027001</td><td>1</td><td>874400000</td><td>0</td><td>0</td><td>0</td><td>MACH    </td></tr>\n",
       "\t<tr><td>300332.SZ</td><td>20120629</td><td>10.93</td><td>10.60</td><td>10.70</td><td> 9.99</td><td>10.41</td><td>31651676</td><td>329285519</td><td>1</td><td>832800000</td><td>0</td><td>0</td><td>0</td><td>MACH    </td></tr>\n",
       "\t<tr><td>300333.SZ</td><td>20120628</td><td>23.00</td><td>25.30</td><td>25.98</td><td>24.36</td><td>25.22</td><td>14967729</td><td>377671219</td><td>1</td><td>706160000</td><td>0</td><td>0</td><td>0</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>300333.SZ</td><td>20120629</td><td>25.22</td><td>25.10</td><td>26.98</td><td>25.00</td><td>26.71</td><td>10522729</td><td>274413356</td><td>1</td><td>747880000</td><td>0</td><td>0</td><td>0</td><td>HDWRSEMI</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 276900 × 15\n",
       "\\begin{tabular}{r|lllllllllllllll}\n",
       " symbol & date & pre\\_close & open & high & low & close & volume & amount & adj\\_factor & capt & index\\_w50 & index\\_w300 & index\\_w500 & industry\\\\\n",
       " <chr> & <int> & <dbl> & <dbl> & <dbl> & <dbl> & <dbl> & <dbl> & <dbl> & <dbl> & <dbl> & <dbl> & <dbl> & <dbl> & <chr>\\\\\n",
       "\\hline\n",
       "\t 600000.SH & 20120104 & 8.49 & 8.54 & 8.56 & 8.39 & 8.41 &  34201379 &  290229551 & 6.655275 & 125500555680 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120105 & 8.41 & 8.47 & 8.82 & 8.47 & 8.65 & 132116203 & 1144753023 & 6.655275 & 129082022192 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120106 & 8.65 & 8.63 & 8.78 & 8.62 & 8.71 &  61778687 &  537043761 & 6.655275 & 129977388820 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120109 & 8.71 & 8.72 & 8.99 & 8.68 & 8.95 &  80136249 &  711429611 & 6.655275 & 133558855331 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120110 & 8.95 & 8.95 & 9.10 & 8.88 & 9.07 &  72004632 &  647206633 & 6.655275 & 135349588587 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120111 & 9.07 & 9.05 & 9.10 & 8.98 & 9.00 &  49261157 &  444366552 & 6.655275 & 134304994188 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120112 & 9.00 & 9.00 & 9.21 & 8.99 & 9.09 &  60486981 &  551261471 & 6.655275 & 135648044130 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120113 & 9.09 & 9.11 & 9.18 & 8.97 & 9.04 &  56725332 &  514638094 & 6.655275 & 134901905273 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120116 & 9.04 & 9.00 & 9.12 & 8.96 & 8.97 &  33100160 &  299225053 & 6.655275 & 133857310874 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120117 & 8.97 & 9.00 & 9.26 & 8.79 & 9.20 &  97357263 &  876457391 & 6.655275 & 137289549614 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120118 & 9.20 & 9.16 & 9.23 & 9.00 & 9.04 &  58089289 &  529288104 & 6.655275 & 134901905273 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120119 & 9.04 & 9.05 & 9.22 & 9.02 & 9.20 &  68645571 &  628781817 & 6.655275 & 137289549614 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120120 & 9.20 & 9.25 & 9.43 & 9.17 & 9.42 &  95052703 &  883450355 & 6.655275 & 140572560583 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120130 & 9.42 & 9.40 & 9.41 & 9.20 & 9.22 &  71883155 &  668276691 & 6.655275 & 137588005157 & 0.04640928 & 0.02125936 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120131 & 9.22 & 9.24 & 9.28 & 9.16 & 9.22 &  35464104 &  326763252 & 6.655275 & 137588005157 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120201 & 9.22 & 9.20 & 9.26 & 9.05 & 9.08 &  39647888 &  362716575 & 6.655275 & 135498816359 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120202 & 9.08 & 9.12 & 9.42 & 9.08 & 9.40 &  87973331 &  816297537 & 6.655275 & 140274105041 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120203 & 9.40 & 9.35 & 9.50 & 9.32 & 9.44 &  97135312 &  914988444 & 6.655275 & 140871016126 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120206 & 9.44 & 9.46 & 9.51 & 9.29 & 9.39 &  63691281 &  599080983 & 6.655275 & 140124877269 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120207 & 9.39 & 9.32 & 9.36 & 9.18 & 9.24 &  51391402 &  475945766 & 6.655275 & 137886460700 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120208 & 9.24 & 9.23 & 9.48 & 9.23 & 9.45 &  64270717 &  602796522 & 6.655275 & 141020243897 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120209 & 9.45 & 9.45 & 9.48 & 9.36 & 9.40 &  50273854 &  473358227 & 6.655275 & 140274105041 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120210 & 9.40 & 9.36 & 9.48 & 9.32 & 9.37 &  51836488 &  487049474 & 6.655275 & 139826421727 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120213 & 9.37 & 9.25 & 9.37 & 9.18 & 9.27 &  49204966 &  456411669 & 6.655275 & 138334144014 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120214 & 9.27 & 9.24 & 9.28 & 9.13 & 9.19 &  53024869 &  487049233 & 6.655275 & 137140321843 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120215 & 9.19 & 9.16 & 9.29 & 9.14 & 9.23 &  55064760 &  507511353 & 6.655275 & 137737232928 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120216 & 9.23 & 9.25 & 9.28 & 9.14 & 9.19 &  47501799 &  437494063 & 6.655275 & 137140321843 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120217 & 9.19 & 9.25 & 9.31 & 9.20 & 9.26 &  41743292 &  386595857 & 6.655275 & 138184916242 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120220 & 9.26 & 9.41 & 9.41 & 9.25 & 9.26 &  57740009 &  539245887 & 6.655275 & 138184916242 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t 600000.SH & 20120221 & 9.26 & 9.27 & 9.31 & 9.20 & 9.28 &  42757386 &  395923924 & 6.655275 & 138483371785 & 0.04630000 & 0.02171520 & 0 & BANKS\\\\\n",
       "\t ... & ... & ... & ... & ... & ... & ... & ... & ... & ... & ... & ... & ... & ... & ...\\\\\n",
       "\t 300328.SZ & 20120619 & 12.80 & 14.23 & 14.80 & 14.02 & 14.35 & 17854499 & 256268629 & 1 & 401800000 & 0 & 0 & 0 & MTLMIN  \\\\\n",
       "\t 300328.SZ & 20120620 & 14.35 & 14.52 & 15.79 & 14.26 & 15.79 & 14827528 & 220396594 & 1 & 442120000 & 0 & 0 & 0 & MTLMIN  \\\\\n",
       "\t 300328.SZ & 20120621 & 15.79 & 16.09 & 16.99 & 15.95 & 16.76 & 16825156 & 276292939 & 1 & 469280000 & 0 & 0 & 0 & MTLMIN  \\\\\n",
       "\t 300328.SZ & 20120625 & 16.76 & 16.50 & 16.69 & 15.36 & 15.85 & 11870305 & 190193492 & 1 & 443800000 & 0 & 0 & 0 & MTLMIN  \\\\\n",
       "\t 300328.SZ & 20120626 & 15.85 & 15.66 & 15.80 & 14.71 & 15.24 &  8367951 & 126885103 & 1 & 426720000 & 0 & 0 & 0 & MTLMIN  \\\\\n",
       "\t 300328.SZ & 20120627 & 15.24 & 15.11 & 16.74 & 15.09 & 16.00 & 11150220 & 177049403 & 1 & 448000000 & 0 & 0 & 0 & MTLMIN  \\\\\n",
       "\t 300328.SZ & 20120628 & 16.00 & 15.69 & 15.81 & 14.40 & 14.50 &  8856037 & 134039200 & 1 & 406000000 & 0 & 0 & 0 & MTLMIN  \\\\\n",
       "\t 300328.SZ & 20120629 & 14.50 & 14.25 & 14.95 & 14.14 & 14.87 &  6230692 &  91025880 & 1 & 416360000 & 0 & 0 & 0 & MTLMIN  \\\\\n",
       "\t 300329.SZ & 20120619 & 21.00 & 20.50 & 20.57 & 19.90 & 19.91 &  4535107 &  90947636 & 1 & 333890700 & 0 & 0 & 0 & LEISLUX \\\\\n",
       "\t 300329.SZ & 20120620 & 19.91 & 19.92 & 20.95 & 19.72 & 20.35 &  3802599 &  76949521 & 1 & 341269500 & 0 & 0 & 0 & LEISLUX \\\\\n",
       "\t 300329.SZ & 20120621 & 20.35 & 20.05 & 20.30 & 19.68 & 19.81 &  2057403 &  40968983 & 1 & 332213700 & 0 & 0 & 0 & LEISLUX \\\\\n",
       "\t 300329.SZ & 20120625 & 19.81 & 19.73 & 19.73 & 18.59 & 18.60 &  2128986 &  40437548 & 1 & 311922000 & 0 & 0 & 0 & LEISLUX \\\\\n",
       "\t 300329.SZ & 20120626 & 18.60 & 18.51 & 18.51 & 17.93 & 18.29 &  1306723 &  23822102 & 1 & 306723300 & 0 & 0 & 0 & LEISLUX \\\\\n",
       "\t 300329.SZ & 20120627 & 18.29 & 18.31 & 18.95 & 18.23 & 18.53 &  1748030 &  32574457 & 1 & 310748100 & 0 & 0 & 0 & LEISLUX \\\\\n",
       "\t 300329.SZ & 20120628 & 18.53 & 18.40 & 18.65 & 18.09 & 18.10 &  1199263 &  21894937 & 1 & 303537000 & 0 & 0 & 0 & LEISLUX \\\\\n",
       "\t 300329.SZ & 20120629 & 18.10 & 18.09 & 18.65 & 18.03 & 18.40 &  1116525 &  20520345 & 1 & 308568000 & 0 & 0 & 0 & LEISLUX \\\\\n",
       "\t 300330.SZ & 20120619 & 15.00 & 15.50 & 15.53 & 14.98 & 15.03 & 10381628 & 157581867 & 1 & 300600000 & 0 & 0 & 0 & SOFTWARE\\\\\n",
       "\t 300330.SZ & 20120620 & 15.03 & 14.73 & 16.12 & 14.60 & 15.70 & 10289823 & 158078670 & 1 & 314000000 & 0 & 0 & 0 & SOFTWARE\\\\\n",
       "\t 300330.SZ & 20120621 & 15.70 & 15.52 & 15.75 & 15.05 & 15.25 &  5806177 &  89549537 & 1 & 305000000 & 0 & 0 & 0 & SOFTWARE\\\\\n",
       "\t 300330.SZ & 20120625 & 15.25 & 15.00 & 15.08 & 14.48 & 14.54 &  3710143 &  54546490 & 1 & 290800000 & 0 & 0 & 0 & SOFTWARE\\\\\n",
       "\t 300330.SZ & 20120626 & 14.54 & 14.51 & 15.15 & 14.26 & 14.92 &  3543751 &  52273024 & 1 & 298400000 & 0 & 0 & 0 & SOFTWARE\\\\\n",
       "\t 300330.SZ & 20120627 & 14.92 & 14.80 & 16.30 & 14.72 & 15.67 &  7910396 & 124063466 & 1 & 313400000 & 0 & 0 & 0 & SOFTWARE\\\\\n",
       "\t 300330.SZ & 20120628 & 15.67 & 15.60 & 15.60 & 14.93 & 14.93 &  4950870 &  75785051 & 1 & 298600000 & 0 & 0 & 0 & SOFTWARE\\\\\n",
       "\t 300330.SZ & 20120629 & 14.93 & 14.76 & 15.91 & 14.73 & 15.62 &  5396045 &  83665851 & 1 & 312400000 & 0 & 0 & 0 & SOFTWARE\\\\\n",
       "\t 300331.SZ & 20120628 & 20.00 & 20.50 & 21.15 & 20.03 & 20.41 &  7272745 & 149026521 & 1 & 316355000 & 0 & 0 & 0 & HDWRSEMI\\\\\n",
       "\t 300331.SZ & 20120629 & 20.41 & 21.00 & 22.45 & 21.00 & 22.45 &  4579911 & 100844645 & 1 & 347975000 & 0 & 0 & 0 & HDWRSEMI\\\\\n",
       "\t 300332.SZ & 20120628 &  8.18 & 10.45 & 11.30 & 10.12 & 10.93 & 59788245 & 640027001 & 1 & 874400000 & 0 & 0 & 0 & MACH    \\\\\n",
       "\t 300332.SZ & 20120629 & 10.93 & 10.60 & 10.70 &  9.99 & 10.41 & 31651676 & 329285519 & 1 & 832800000 & 0 & 0 & 0 & MACH    \\\\\n",
       "\t 300333.SZ & 20120628 & 23.00 & 25.30 & 25.98 & 24.36 & 25.22 & 14967729 & 377671219 & 1 & 706160000 & 0 & 0 & 0 & HDWRSEMI\\\\\n",
       "\t 300333.SZ & 20120629 & 25.22 & 25.10 & 26.98 & 25.00 & 26.71 & 10522729 & 274413356 & 1 & 747880000 & 0 & 0 & 0 & HDWRSEMI\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 276900 × 15\n",
       "\n",
       "| symbol &lt;chr&gt; | date &lt;int&gt; | pre_close &lt;dbl&gt; | open &lt;dbl&gt; | high &lt;dbl&gt; | low &lt;dbl&gt; | close &lt;dbl&gt; | volume &lt;dbl&gt; | amount &lt;dbl&gt; | adj_factor &lt;dbl&gt; | capt &lt;dbl&gt; | index_w50 &lt;dbl&gt; | index_w300 &lt;dbl&gt; | index_w500 &lt;dbl&gt; | industry &lt;chr&gt; |\n",
       "|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|\n",
       "| 600000.SH | 20120104 | 8.49 | 8.54 | 8.56 | 8.39 | 8.41 |  34201379 |  290229551 | 6.655275 | 125500555680 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120105 | 8.41 | 8.47 | 8.82 | 8.47 | 8.65 | 132116203 | 1144753023 | 6.655275 | 129082022192 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120106 | 8.65 | 8.63 | 8.78 | 8.62 | 8.71 |  61778687 |  537043761 | 6.655275 | 129977388820 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120109 | 8.71 | 8.72 | 8.99 | 8.68 | 8.95 |  80136249 |  711429611 | 6.655275 | 133558855331 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120110 | 8.95 | 8.95 | 9.10 | 8.88 | 9.07 |  72004632 |  647206633 | 6.655275 | 135349588587 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120111 | 9.07 | 9.05 | 9.10 | 8.98 | 9.00 |  49261157 |  444366552 | 6.655275 | 134304994188 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120112 | 9.00 | 9.00 | 9.21 | 8.99 | 9.09 |  60486981 |  551261471 | 6.655275 | 135648044130 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120113 | 9.09 | 9.11 | 9.18 | 8.97 | 9.04 |  56725332 |  514638094 | 6.655275 | 134901905273 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120116 | 9.04 | 9.00 | 9.12 | 8.96 | 8.97 |  33100160 |  299225053 | 6.655275 | 133857310874 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120117 | 8.97 | 9.00 | 9.26 | 8.79 | 9.20 |  97357263 |  876457391 | 6.655275 | 137289549614 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120118 | 9.20 | 9.16 | 9.23 | 9.00 | 9.04 |  58089289 |  529288104 | 6.655275 | 134901905273 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120119 | 9.04 | 9.05 | 9.22 | 9.02 | 9.20 |  68645571 |  628781817 | 6.655275 | 137289549614 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120120 | 9.20 | 9.25 | 9.43 | 9.17 | 9.42 |  95052703 |  883450355 | 6.655275 | 140572560583 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120130 | 9.42 | 9.40 | 9.41 | 9.20 | 9.22 |  71883155 |  668276691 | 6.655275 | 137588005157 | 0.04640928 | 0.02125936 | 0 | BANKS |\n",
       "| 600000.SH | 20120131 | 9.22 | 9.24 | 9.28 | 9.16 | 9.22 |  35464104 |  326763252 | 6.655275 | 137588005157 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120201 | 9.22 | 9.20 | 9.26 | 9.05 | 9.08 |  39647888 |  362716575 | 6.655275 | 135498816359 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120202 | 9.08 | 9.12 | 9.42 | 9.08 | 9.40 |  87973331 |  816297537 | 6.655275 | 140274105041 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120203 | 9.40 | 9.35 | 9.50 | 9.32 | 9.44 |  97135312 |  914988444 | 6.655275 | 140871016126 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120206 | 9.44 | 9.46 | 9.51 | 9.29 | 9.39 |  63691281 |  599080983 | 6.655275 | 140124877269 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120207 | 9.39 | 9.32 | 9.36 | 9.18 | 9.24 |  51391402 |  475945766 | 6.655275 | 137886460700 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120208 | 9.24 | 9.23 | 9.48 | 9.23 | 9.45 |  64270717 |  602796522 | 6.655275 | 141020243897 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120209 | 9.45 | 9.45 | 9.48 | 9.36 | 9.40 |  50273854 |  473358227 | 6.655275 | 140274105041 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120210 | 9.40 | 9.36 | 9.48 | 9.32 | 9.37 |  51836488 |  487049474 | 6.655275 | 139826421727 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120213 | 9.37 | 9.25 | 9.37 | 9.18 | 9.27 |  49204966 |  456411669 | 6.655275 | 138334144014 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120214 | 9.27 | 9.24 | 9.28 | 9.13 | 9.19 |  53024869 |  487049233 | 6.655275 | 137140321843 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120215 | 9.19 | 9.16 | 9.29 | 9.14 | 9.23 |  55064760 |  507511353 | 6.655275 | 137737232928 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120216 | 9.23 | 9.25 | 9.28 | 9.14 | 9.19 |  47501799 |  437494063 | 6.655275 | 137140321843 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120217 | 9.19 | 9.25 | 9.31 | 9.20 | 9.26 |  41743292 |  386595857 | 6.655275 | 138184916242 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120220 | 9.26 | 9.41 | 9.41 | 9.25 | 9.26 |  57740009 |  539245887 | 6.655275 | 138184916242 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| 600000.SH | 20120221 | 9.26 | 9.27 | 9.31 | 9.20 | 9.28 |  42757386 |  395923924 | 6.655275 | 138483371785 | 0.04630000 | 0.02171520 | 0 | BANKS |\n",
       "| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |\n",
       "| 300328.SZ | 20120619 | 12.80 | 14.23 | 14.80 | 14.02 | 14.35 | 17854499 | 256268629 | 1 | 401800000 | 0 | 0 | 0 | MTLMIN   |\n",
       "| 300328.SZ | 20120620 | 14.35 | 14.52 | 15.79 | 14.26 | 15.79 | 14827528 | 220396594 | 1 | 442120000 | 0 | 0 | 0 | MTLMIN   |\n",
       "| 300328.SZ | 20120621 | 15.79 | 16.09 | 16.99 | 15.95 | 16.76 | 16825156 | 276292939 | 1 | 469280000 | 0 | 0 | 0 | MTLMIN   |\n",
       "| 300328.SZ | 20120625 | 16.76 | 16.50 | 16.69 | 15.36 | 15.85 | 11870305 | 190193492 | 1 | 443800000 | 0 | 0 | 0 | MTLMIN   |\n",
       "| 300328.SZ | 20120626 | 15.85 | 15.66 | 15.80 | 14.71 | 15.24 |  8367951 | 126885103 | 1 | 426720000 | 0 | 0 | 0 | MTLMIN   |\n",
       "| 300328.SZ | 20120627 | 15.24 | 15.11 | 16.74 | 15.09 | 16.00 | 11150220 | 177049403 | 1 | 448000000 | 0 | 0 | 0 | MTLMIN   |\n",
       "| 300328.SZ | 20120628 | 16.00 | 15.69 | 15.81 | 14.40 | 14.50 |  8856037 | 134039200 | 1 | 406000000 | 0 | 0 | 0 | MTLMIN   |\n",
       "| 300328.SZ | 20120629 | 14.50 | 14.25 | 14.95 | 14.14 | 14.87 |  6230692 |  91025880 | 1 | 416360000 | 0 | 0 | 0 | MTLMIN   |\n",
       "| 300329.SZ | 20120619 | 21.00 | 20.50 | 20.57 | 19.90 | 19.91 |  4535107 |  90947636 | 1 | 333890700 | 0 | 0 | 0 | LEISLUX  |\n",
       "| 300329.SZ | 20120620 | 19.91 | 19.92 | 20.95 | 19.72 | 20.35 |  3802599 |  76949521 | 1 | 341269500 | 0 | 0 | 0 | LEISLUX  |\n",
       "| 300329.SZ | 20120621 | 20.35 | 20.05 | 20.30 | 19.68 | 19.81 |  2057403 |  40968983 | 1 | 332213700 | 0 | 0 | 0 | LEISLUX  |\n",
       "| 300329.SZ | 20120625 | 19.81 | 19.73 | 19.73 | 18.59 | 18.60 |  2128986 |  40437548 | 1 | 311922000 | 0 | 0 | 0 | LEISLUX  |\n",
       "| 300329.SZ | 20120626 | 18.60 | 18.51 | 18.51 | 17.93 | 18.29 |  1306723 |  23822102 | 1 | 306723300 | 0 | 0 | 0 | LEISLUX  |\n",
       "| 300329.SZ | 20120627 | 18.29 | 18.31 | 18.95 | 18.23 | 18.53 |  1748030 |  32574457 | 1 | 310748100 | 0 | 0 | 0 | LEISLUX  |\n",
       "| 300329.SZ | 20120628 | 18.53 | 18.40 | 18.65 | 18.09 | 18.10 |  1199263 |  21894937 | 1 | 303537000 | 0 | 0 | 0 | LEISLUX  |\n",
       "| 300329.SZ | 20120629 | 18.10 | 18.09 | 18.65 | 18.03 | 18.40 |  1116525 |  20520345 | 1 | 308568000 | 0 | 0 | 0 | LEISLUX  |\n",
       "| 300330.SZ | 20120619 | 15.00 | 15.50 | 15.53 | 14.98 | 15.03 | 10381628 | 157581867 | 1 | 300600000 | 0 | 0 | 0 | SOFTWARE |\n",
       "| 300330.SZ | 20120620 | 15.03 | 14.73 | 16.12 | 14.60 | 15.70 | 10289823 | 158078670 | 1 | 314000000 | 0 | 0 | 0 | SOFTWARE |\n",
       "| 300330.SZ | 20120621 | 15.70 | 15.52 | 15.75 | 15.05 | 15.25 |  5806177 |  89549537 | 1 | 305000000 | 0 | 0 | 0 | SOFTWARE |\n",
       "| 300330.SZ | 20120625 | 15.25 | 15.00 | 15.08 | 14.48 | 14.54 |  3710143 |  54546490 | 1 | 290800000 | 0 | 0 | 0 | SOFTWARE |\n",
       "| 300330.SZ | 20120626 | 14.54 | 14.51 | 15.15 | 14.26 | 14.92 |  3543751 |  52273024 | 1 | 298400000 | 0 | 0 | 0 | SOFTWARE |\n",
       "| 300330.SZ | 20120627 | 14.92 | 14.80 | 16.30 | 14.72 | 15.67 |  7910396 | 124063466 | 1 | 313400000 | 0 | 0 | 0 | SOFTWARE |\n",
       "| 300330.SZ | 20120628 | 15.67 | 15.60 | 15.60 | 14.93 | 14.93 |  4950870 |  75785051 | 1 | 298600000 | 0 | 0 | 0 | SOFTWARE |\n",
       "| 300330.SZ | 20120629 | 14.93 | 14.76 | 15.91 | 14.73 | 15.62 |  5396045 |  83665851 | 1 | 312400000 | 0 | 0 | 0 | SOFTWARE |\n",
       "| 300331.SZ | 20120628 | 20.00 | 20.50 | 21.15 | 20.03 | 20.41 |  7272745 | 149026521 | 1 | 316355000 | 0 | 0 | 0 | HDWRSEMI |\n",
       "| 300331.SZ | 20120629 | 20.41 | 21.00 | 22.45 | 21.00 | 22.45 |  4579911 | 100844645 | 1 | 347975000 | 0 | 0 | 0 | HDWRSEMI |\n",
       "| 300332.SZ | 20120628 |  8.18 | 10.45 | 11.30 | 10.12 | 10.93 | 59788245 | 640027001 | 1 | 874400000 | 0 | 0 | 0 | MACH     |\n",
       "| 300332.SZ | 20120629 | 10.93 | 10.60 | 10.70 |  9.99 | 10.41 | 31651676 | 329285519 | 1 | 832800000 | 0 | 0 | 0 | MACH     |\n",
       "| 300333.SZ | 20120628 | 23.00 | 25.30 | 25.98 | 24.36 | 25.22 | 14967729 | 377671219 | 1 | 706160000 | 0 | 0 | 0 | HDWRSEMI |\n",
       "| 300333.SZ | 20120629 | 25.22 | 25.10 | 26.98 | 25.00 | 26.71 | 10522729 | 274413356 | 1 | 747880000 | 0 | 0 | 0 | HDWRSEMI |\n",
       "\n"
      ],
      "text/plain": [
       "       symbol    date     pre_close open  high  low   close volume   \n",
       "1      600000.SH 20120104 8.49      8.54  8.56  8.39  8.41   34201379\n",
       "2      600000.SH 20120105 8.41      8.47  8.82  8.47  8.65  132116203\n",
       "3      600000.SH 20120106 8.65      8.63  8.78  8.62  8.71   61778687\n",
       "4      600000.SH 20120109 8.71      8.72  8.99  8.68  8.95   80136249\n",
       "5      600000.SH 20120110 8.95      8.95  9.10  8.88  9.07   72004632\n",
       "6      600000.SH 20120111 9.07      9.05  9.10  8.98  9.00   49261157\n",
       "7      600000.SH 20120112 9.00      9.00  9.21  8.99  9.09   60486981\n",
       "8      600000.SH 20120113 9.09      9.11  9.18  8.97  9.04   56725332\n",
       "9      600000.SH 20120116 9.04      9.00  9.12  8.96  8.97   33100160\n",
       "10     600000.SH 20120117 8.97      9.00  9.26  8.79  9.20   97357263\n",
       "11     600000.SH 20120118 9.20      9.16  9.23  9.00  9.04   58089289\n",
       "12     600000.SH 20120119 9.04      9.05  9.22  9.02  9.20   68645571\n",
       "13     600000.SH 20120120 9.20      9.25  9.43  9.17  9.42   95052703\n",
       "14     600000.SH 20120130 9.42      9.40  9.41  9.20  9.22   71883155\n",
       "15     600000.SH 20120131 9.22      9.24  9.28  9.16  9.22   35464104\n",
       "16     600000.SH 20120201 9.22      9.20  9.26  9.05  9.08   39647888\n",
       "17     600000.SH 20120202 9.08      9.12  9.42  9.08  9.40   87973331\n",
       "18     600000.SH 20120203 9.40      9.35  9.50  9.32  9.44   97135312\n",
       "19     600000.SH 20120206 9.44      9.46  9.51  9.29  9.39   63691281\n",
       "20     600000.SH 20120207 9.39      9.32  9.36  9.18  9.24   51391402\n",
       "21     600000.SH 20120208 9.24      9.23  9.48  9.23  9.45   64270717\n",
       "22     600000.SH 20120209 9.45      9.45  9.48  9.36  9.40   50273854\n",
       "23     600000.SH 20120210 9.40      9.36  9.48  9.32  9.37   51836488\n",
       "24     600000.SH 20120213 9.37      9.25  9.37  9.18  9.27   49204966\n",
       "25     600000.SH 20120214 9.27      9.24  9.28  9.13  9.19   53024869\n",
       "26     600000.SH 20120215 9.19      9.16  9.29  9.14  9.23   55064760\n",
       "27     600000.SH 20120216 9.23      9.25  9.28  9.14  9.19   47501799\n",
       "28     600000.SH 20120217 9.19      9.25  9.31  9.20  9.26   41743292\n",
       "29     600000.SH 20120220 9.26      9.41  9.41  9.25  9.26   57740009\n",
       "30     600000.SH 20120221 9.26      9.27  9.31  9.20  9.28   42757386\n",
       "...    ...       ...      ...       ...   ...   ...   ...   ...      \n",
       "276871 300328.SZ 20120619 12.80     14.23 14.80 14.02 14.35 17854499 \n",
       "276872 300328.SZ 20120620 14.35     14.52 15.79 14.26 15.79 14827528 \n",
       "276873 300328.SZ 20120621 15.79     16.09 16.99 15.95 16.76 16825156 \n",
       "276874 300328.SZ 20120625 16.76     16.50 16.69 15.36 15.85 11870305 \n",
       "276875 300328.SZ 20120626 15.85     15.66 15.80 14.71 15.24  8367951 \n",
       "276876 300328.SZ 20120627 15.24     15.11 16.74 15.09 16.00 11150220 \n",
       "276877 300328.SZ 20120628 16.00     15.69 15.81 14.40 14.50  8856037 \n",
       "276878 300328.SZ 20120629 14.50     14.25 14.95 14.14 14.87  6230692 \n",
       "276879 300329.SZ 20120619 21.00     20.50 20.57 19.90 19.91  4535107 \n",
       "276880 300329.SZ 20120620 19.91     19.92 20.95 19.72 20.35  3802599 \n",
       "276881 300329.SZ 20120621 20.35     20.05 20.30 19.68 19.81  2057403 \n",
       "276882 300329.SZ 20120625 19.81     19.73 19.73 18.59 18.60  2128986 \n",
       "276883 300329.SZ 20120626 18.60     18.51 18.51 17.93 18.29  1306723 \n",
       "276884 300329.SZ 20120627 18.29     18.31 18.95 18.23 18.53  1748030 \n",
       "276885 300329.SZ 20120628 18.53     18.40 18.65 18.09 18.10  1199263 \n",
       "276886 300329.SZ 20120629 18.10     18.09 18.65 18.03 18.40  1116525 \n",
       "276887 300330.SZ 20120619 15.00     15.50 15.53 14.98 15.03 10381628 \n",
       "276888 300330.SZ 20120620 15.03     14.73 16.12 14.60 15.70 10289823 \n",
       "276889 300330.SZ 20120621 15.70     15.52 15.75 15.05 15.25  5806177 \n",
       "276890 300330.SZ 20120625 15.25     15.00 15.08 14.48 14.54  3710143 \n",
       "276891 300330.SZ 20120626 14.54     14.51 15.15 14.26 14.92  3543751 \n",
       "276892 300330.SZ 20120627 14.92     14.80 16.30 14.72 15.67  7910396 \n",
       "276893 300330.SZ 20120628 15.67     15.60 15.60 14.93 14.93  4950870 \n",
       "276894 300330.SZ 20120629 14.93     14.76 15.91 14.73 15.62  5396045 \n",
       "276895 300331.SZ 20120628 20.00     20.50 21.15 20.03 20.41  7272745 \n",
       "276896 300331.SZ 20120629 20.41     21.00 22.45 21.00 22.45  4579911 \n",
       "276897 300332.SZ 20120628  8.18     10.45 11.30 10.12 10.93 59788245 \n",
       "276898 300332.SZ 20120629 10.93     10.60 10.70  9.99 10.41 31651676 \n",
       "276899 300333.SZ 20120628 23.00     25.30 25.98 24.36 25.22 14967729 \n",
       "276900 300333.SZ 20120629 25.22     25.10 26.98 25.00 26.71 10522729 \n",
       "       amount     adj_factor capt         index_w50  index_w300 index_w500\n",
       "1       290229551 6.655275   125500555680 0.04640928 0.02125936 0         \n",
       "2      1144753023 6.655275   129082022192 0.04640928 0.02125936 0         \n",
       "3       537043761 6.655275   129977388820 0.04640928 0.02125936 0         \n",
       "4       711429611 6.655275   133558855331 0.04640928 0.02125936 0         \n",
       "5       647206633 6.655275   135349588587 0.04640928 0.02125936 0         \n",
       "6       444366552 6.655275   134304994188 0.04640928 0.02125936 0         \n",
       "7       551261471 6.655275   135648044130 0.04640928 0.02125936 0         \n",
       "8       514638094 6.655275   134901905273 0.04640928 0.02125936 0         \n",
       "9       299225053 6.655275   133857310874 0.04640928 0.02125936 0         \n",
       "10      876457391 6.655275   137289549614 0.04640928 0.02125936 0         \n",
       "11      529288104 6.655275   134901905273 0.04640928 0.02125936 0         \n",
       "12      628781817 6.655275   137289549614 0.04640928 0.02125936 0         \n",
       "13      883450355 6.655275   140572560583 0.04640928 0.02125936 0         \n",
       "14      668276691 6.655275   137588005157 0.04640928 0.02125936 0         \n",
       "15      326763252 6.655275   137588005157 0.04630000 0.02171520 0         \n",
       "16      362716575 6.655275   135498816359 0.04630000 0.02171520 0         \n",
       "17      816297537 6.655275   140274105041 0.04630000 0.02171520 0         \n",
       "18      914988444 6.655275   140871016126 0.04630000 0.02171520 0         \n",
       "19      599080983 6.655275   140124877269 0.04630000 0.02171520 0         \n",
       "20      475945766 6.655275   137886460700 0.04630000 0.02171520 0         \n",
       "21      602796522 6.655275   141020243897 0.04630000 0.02171520 0         \n",
       "22      473358227 6.655275   140274105041 0.04630000 0.02171520 0         \n",
       "23      487049474 6.655275   139826421727 0.04630000 0.02171520 0         \n",
       "24      456411669 6.655275   138334144014 0.04630000 0.02171520 0         \n",
       "25      487049233 6.655275   137140321843 0.04630000 0.02171520 0         \n",
       "26      507511353 6.655275   137737232928 0.04630000 0.02171520 0         \n",
       "27      437494063 6.655275   137140321843 0.04630000 0.02171520 0         \n",
       "28      386595857 6.655275   138184916242 0.04630000 0.02171520 0         \n",
       "29      539245887 6.655275   138184916242 0.04630000 0.02171520 0         \n",
       "30      395923924 6.655275   138483371785 0.04630000 0.02171520 0         \n",
       "...    ...        ...        ...          ...        ...        ...       \n",
       "276871 256268629  1          401800000    0          0          0         \n",
       "276872 220396594  1          442120000    0          0          0         \n",
       "276873 276292939  1          469280000    0          0          0         \n",
       "276874 190193492  1          443800000    0          0          0         \n",
       "276875 126885103  1          426720000    0          0          0         \n",
       "276876 177049403  1          448000000    0          0          0         \n",
       "276877 134039200  1          406000000    0          0          0         \n",
       "276878  91025880  1          416360000    0          0          0         \n",
       "276879  90947636  1          333890700    0          0          0         \n",
       "276880  76949521  1          341269500    0          0          0         \n",
       "276881  40968983  1          332213700    0          0          0         \n",
       "276882  40437548  1          311922000    0          0          0         \n",
       "276883  23822102  1          306723300    0          0          0         \n",
       "276884  32574457  1          310748100    0          0          0         \n",
       "276885  21894937  1          303537000    0          0          0         \n",
       "276886  20520345  1          308568000    0          0          0         \n",
       "276887 157581867  1          300600000    0          0          0         \n",
       "276888 158078670  1          314000000    0          0          0         \n",
       "276889  89549537  1          305000000    0          0          0         \n",
       "276890  54546490  1          290800000    0          0          0         \n",
       "276891  52273024  1          298400000    0          0          0         \n",
       "276892 124063466  1          313400000    0          0          0         \n",
       "276893  75785051  1          298600000    0          0          0         \n",
       "276894  83665851  1          312400000    0          0          0         \n",
       "276895 149026521  1          316355000    0          0          0         \n",
       "276896 100844645  1          347975000    0          0          0         \n",
       "276897 640027001  1          874400000    0          0          0         \n",
       "276898 329285519  1          832800000    0          0          0         \n",
       "276899 377671219  1          706160000    0          0          0         \n",
       "276900 274413356  1          747880000    0          0          0         \n",
       "       industry\n",
       "1      BANKS   \n",
       "2      BANKS   \n",
       "3      BANKS   \n",
       "4      BANKS   \n",
       "5      BANKS   \n",
       "6      BANKS   \n",
       "7      BANKS   \n",
       "8      BANKS   \n",
       "9      BANKS   \n",
       "10     BANKS   \n",
       "11     BANKS   \n",
       "12     BANKS   \n",
       "13     BANKS   \n",
       "14     BANKS   \n",
       "15     BANKS   \n",
       "16     BANKS   \n",
       "17     BANKS   \n",
       "18     BANKS   \n",
       "19     BANKS   \n",
       "20     BANKS   \n",
       "21     BANKS   \n",
       "22     BANKS   \n",
       "23     BANKS   \n",
       "24     BANKS   \n",
       "25     BANKS   \n",
       "26     BANKS   \n",
       "27     BANKS   \n",
       "28     BANKS   \n",
       "29     BANKS   \n",
       "30     BANKS   \n",
       "...    ...     \n",
       "276871 MTLMIN  \n",
       "276872 MTLMIN  \n",
       "276873 MTLMIN  \n",
       "276874 MTLMIN  \n",
       "276875 MTLMIN  \n",
       "276876 MTLMIN  \n",
       "276877 MTLMIN  \n",
       "276878 MTLMIN  \n",
       "276879 LEISLUX \n",
       "276880 LEISLUX \n",
       "276881 LEISLUX \n",
       "276882 LEISLUX \n",
       "276883 LEISLUX \n",
       "276884 LEISLUX \n",
       "276885 LEISLUX \n",
       "276886 LEISLUX \n",
       "276887 SOFTWARE\n",
       "276888 SOFTWARE\n",
       "276889 SOFTWARE\n",
       "276890 SOFTWARE\n",
       "276891 SOFTWARE\n",
       "276892 SOFTWARE\n",
       "276893 SOFTWARE\n",
       "276894 SOFTWARE\n",
       "276895 HDWRSEMI\n",
       "276896 HDWRSEMI\n",
       "276897 MACH    \n",
       "276898 MACH    \n",
       "276899 HDWRSEMI\n",
       "276900 HDWRSEMI"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "library(data.table)\n",
    "library(stringr)\n",
    "setwd(\"C:/Users/Mr.Stylee/Desktop/code testing for vscode/RExercise\")\n",
    "data <- readRDS(\"stock-market-data.rds\")\n",
    "data"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *1. 哪些股票的代码中包含\"8\"这个数字？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<ol class=list-inline>\n",
       "\t<li>'600008.SH'</li>\n",
       "\t<li>'600018.SH'</li>\n",
       "\t<li>'600028.SH'</li>\n",
       "\t<li>'600038.SH'</li>\n",
       "\t<li>'600048.SH'</li>\n",
       "\t<li>'600058.SH'</li>\n",
       "\t<li>'600068.SH'</li>\n",
       "\t<li>'600078.SH'</li>\n",
       "\t<li>'600080.SH'</li>\n",
       "\t<li>'600081.SH'</li>\n",
       "\t<li>'600082.SH'</li>\n",
       "\t<li>'600083.SH'</li>\n",
       "\t<li>'600084.SH'</li>\n",
       "\t<li>'600085.SH'</li>\n",
       "\t<li>'600086.SH'</li>\n",
       "\t<li>'600087.SH'</li>\n",
       "\t<li>'600088.SH'</li>\n",
       "\t<li>'600089.SH'</li>\n",
       "\t<li>'600098.SH'</li>\n",
       "\t<li>'600108.SH'</li>\n",
       "\t<li>'600118.SH'</li>\n",
       "\t<li>'600128.SH'</li>\n",
       "\t<li>'600138.SH'</li>\n",
       "\t<li>'600148.SH'</li>\n",
       "\t<li>'600158.SH'</li>\n",
       "\t<li>'600168.SH'</li>\n",
       "\t<li>'600178.SH'</li>\n",
       "\t<li>'600180.SH'</li>\n",
       "\t<li>'600182.SH'</li>\n",
       "\t<li>'600183.SH'</li>\n",
       "\t<li>'600184.SH'</li>\n",
       "\t<li>'600185.SH'</li>\n",
       "\t<li>'600186.SH'</li>\n",
       "\t<li>'600187.SH'</li>\n",
       "\t<li>'600188.SH'</li>\n",
       "\t<li>'600189.SH'</li>\n",
       "\t<li>'600198.SH'</li>\n",
       "\t<li>'600208.SH'</li>\n",
       "\t<li>'600218.SH'</li>\n",
       "\t<li>'600228.SH'</li>\n",
       "\t<li>'600238.SH'</li>\n",
       "\t<li>'600248.SH'</li>\n",
       "\t<li>'600258.SH'</li>\n",
       "\t<li>'600268.SH'</li>\n",
       "\t<li>'600278.SH'</li>\n",
       "\t<li>'600280.SH'</li>\n",
       "\t<li>'600281.SH'</li>\n",
       "\t<li>'600282.SH'</li>\n",
       "\t<li>'600283.SH'</li>\n",
       "\t<li>'600284.SH'</li>\n",
       "\t<li>'600285.SH'</li>\n",
       "\t<li>'600287.SH'</li>\n",
       "\t<li>'600288.SH'</li>\n",
       "\t<li>'600289.SH'</li>\n",
       "\t<li>'600298.SH'</li>\n",
       "\t<li>'600308.SH'</li>\n",
       "\t<li>'600318.SH'</li>\n",
       "\t<li>'600328.SH'</li>\n",
       "\t<li>'600338.SH'</li>\n",
       "\t<li>'600348.SH'</li>\n",
       "\t<li>'600358.SH'</li>\n",
       "\t<li>'600368.SH'</li>\n",
       "\t<li>'600378.SH'</li>\n",
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       "\t<li>'002308.SZ'</li>\n",
       "\t<li>'002318.SZ'</li>\n",
       "\t<li>'002328.SZ'</li>\n",
       "\t<li>'002338.SZ'</li>\n",
       "\t<li>'002348.SZ'</li>\n",
       "\t<li>'002358.SZ'</li>\n",
       "\t<li>'002368.SZ'</li>\n",
       "\t<li>'002378.SZ'</li>\n",
       "\t<li>'002380.SZ'</li>\n",
       "\t<li>'002381.SZ'</li>\n",
       "\t<li>'002382.SZ'</li>\n",
       "\t<li>'002383.SZ'</li>\n",
       "\t<li>'002384.SZ'</li>\n",
       "\t<li>'002385.SZ'</li>\n",
       "\t<li>'002386.SZ'</li>\n",
       "\t<li>'002387.SZ'</li>\n",
       "\t<li>'002388.SZ'</li>\n",
       "\t<li>'002389.SZ'</li>\n",
       "\t<li>'002398.SZ'</li>\n",
       "\t<li>'002408.SZ'</li>\n",
       "\t<li>'002418.SZ'</li>\n",
       "\t<li>'002428.SZ'</li>\n",
       "\t<li>'002438.SZ'</li>\n",
       "\t<li>'002448.SZ'</li>\n",
       "\t<li>'002458.SZ'</li>\n",
       "\t<li>'002468.SZ'</li>\n",
       "\t<li>'002478.SZ'</li>\n",
       "\t<li>'002480.SZ'</li>\n",
       "\t<li>'002481.SZ'</li>\n",
       "\t<li>'002482.SZ'</li>\n",
       "\t<li>'002483.SZ'</li>\n",
       "\t<li>'002484.SZ'</li>\n",
       "\t<li>'002485.SZ'</li>\n",
       "\t<li>'002486.SZ'</li>\n",
       "\t<li>'002487.SZ'</li>\n",
       "\t<li>'002488.SZ'</li>\n",
       "\t<li>'002489.SZ'</li>\n",
       "\t<li>'002498.SZ'</li>\n",
       "\t<li>'002508.SZ'</li>\n",
       "\t<li>'002518.SZ'</li>\n",
       "\t<li>'002528.SZ'</li>\n",
       "\t<li>'002538.SZ'</li>\n",
       "\t<li>'002548.SZ'</li>\n",
       "\t<li>'002558.SZ'</li>\n",
       "\t<li>'002568.SZ'</li>\n",
       "\t<li>'002578.SZ'</li>\n",
       "\t<li>'002580.SZ'</li>\n",
       "\t<li>'002581.SZ'</li>\n",
       "\t<li>'002582.SZ'</li>\n",
       "\t<li>'002583.SZ'</li>\n",
       "\t<li>'002584.SZ'</li>\n",
       "\t<li>'002585.SZ'</li>\n",
       "\t<li>'002586.SZ'</li>\n",
       "\t<li>'002587.SZ'</li>\n",
       "\t<li>'002588.SZ'</li>\n",
       "\t<li>'002589.SZ'</li>\n",
       "\t<li>'002598.SZ'</li>\n",
       "\t<li>'002608.SZ'</li>\n",
       "\t<li>'002618.SZ'</li>\n",
       "\t<li>'002628.SZ'</li>\n",
       "\t<li>'002638.SZ'</li>\n",
       "\t<li>'002648.SZ'</li>\n",
       "\t<li>'002658.SZ'</li>\n",
       "\t<li>'002668.SZ'</li>\n",
       "\t<li>'002678.SZ'</li>\n",
       "\t<li>'002680.SZ'</li>\n",
       "\t<li>'002681.SZ'</li>\n",
       "\t<li>'002682.SZ'</li>\n",
       "\t<li>'002683.SZ'</li>\n",
       "\t<li>'002684.SZ'</li>\n",
       "\t<li>'002685.SZ'</li>\n",
       "\t<li>'300008.SZ'</li>\n",
       "\t<li>'300018.SZ'</li>\n",
       "\t<li>'300028.SZ'</li>\n",
       "\t<li>'300038.SZ'</li>\n",
       "\t<li>'300048.SZ'</li>\n",
       "\t<li>'300058.SZ'</li>\n",
       "\t<li>'300068.SZ'</li>\n",
       "\t<li>'300078.SZ'</li>\n",
       "\t<li>'300080.SZ'</li>\n",
       "\t<li>'300081.SZ'</li>\n",
       "\t<li>'300082.SZ'</li>\n",
       "\t<li>'300083.SZ'</li>\n",
       "\t<li>'300084.SZ'</li>\n",
       "\t<li>'300085.SZ'</li>\n",
       "\t<li>'300086.SZ'</li>\n",
       "\t<li>'300087.SZ'</li>\n",
       "\t<li>'300088.SZ'</li>\n",
       "\t<li>'300089.SZ'</li>\n",
       "\t<li>'300098.SZ'</li>\n",
       "\t<li>'300108.SZ'</li>\n",
       "\t<li>'300118.SZ'</li>\n",
       "\t<li>'300128.SZ'</li>\n",
       "\t<li>'300138.SZ'</li>\n",
       "\t<li>'300148.SZ'</li>\n",
       "\t<li>'300158.SZ'</li>\n",
       "\t<li>'300168.SZ'</li>\n",
       "\t<li>'300178.SZ'</li>\n",
       "\t<li>'300180.SZ'</li>\n",
       "\t<li>'300181.SZ'</li>\n",
       "\t<li>'300182.SZ'</li>\n",
       "\t<li>'300183.SZ'</li>\n",
       "\t<li>'300184.SZ'</li>\n",
       "\t<li>'300185.SZ'</li>\n",
       "\t<li>'300186.SZ'</li>\n",
       "\t<li>'300187.SZ'</li>\n",
       "\t<li>'300188.SZ'</li>\n",
       "\t<li>'300189.SZ'</li>\n",
       "\t<li>'300198.SZ'</li>\n",
       "\t<li>'300208.SZ'</li>\n",
       "\t<li>'300218.SZ'</li>\n",
       "\t<li>'300228.SZ'</li>\n",
       "\t<li>'300238.SZ'</li>\n",
       "\t<li>'300248.SZ'</li>\n",
       "\t<li>'300258.SZ'</li>\n",
       "\t<li>'300268.SZ'</li>\n",
       "\t<li>'300278.SZ'</li>\n",
       "\t<li>'300280.SZ'</li>\n",
       "\t<li>'300281.SZ'</li>\n",
       "\t<li>'300282.SZ'</li>\n",
       "\t<li>'300283.SZ'</li>\n",
       "\t<li>'300284.SZ'</li>\n",
       "\t<li>'300285.SZ'</li>\n",
       "\t<li>'300286.SZ'</li>\n",
       "\t<li>'300287.SZ'</li>\n",
       "\t<li>'300288.SZ'</li>\n",
       "\t<li>'300289.SZ'</li>\n",
       "\t<li>'300298.SZ'</li>\n",
       "\t<li>'300308.SZ'</li>\n",
       "\t<li>'300318.SZ'</li>\n",
       "\t<li>'300328.SZ'</li>\n",
       "</ol>\n"
      ],
      "text/latex": [
       "\\begin{enumerate*}\n",
       "\\item '600008.SH'\n",
       "\\item '600018.SH'\n",
       "\\item '600028.SH'\n",
       "\\item '600038.SH'\n",
       "\\item '600048.SH'\n",
       "\\item '600058.SH'\n",
       "\\item '600068.SH'\n",
       "\\item '600078.SH'\n",
       "\\item '600080.SH'\n",
       "\\item '600081.SH'\n",
       "\\item '600082.SH'\n",
       "\\item '600083.SH'\n",
       "\\item '600084.SH'\n",
       "\\item '600085.SH'\n",
       "\\item '600086.SH'\n",
       "\\item '600087.SH'\n",
       "\\item '600088.SH'\n",
       "\\item '600089.SH'\n",
       "\\item '600098.SH'\n",
       "\\item '600108.SH'\n",
       "\\item '600118.SH'\n",
       "\\item '600128.SH'\n",
       "\\item '600138.SH'\n",
       "\\item '600148.SH'\n",
       "\\item '600158.SH'\n",
       "\\item '600168.SH'\n",
       "\\item '600178.SH'\n",
       "\\item '600180.SH'\n",
       "\\item '600182.SH'\n",
       "\\item '600183.SH'\n",
       "\\item '600184.SH'\n",
       "\\item '600185.SH'\n",
       "\\item '600186.SH'\n",
       "\\item '600187.SH'\n",
       "\\item '600188.SH'\n",
       "\\item '600189.SH'\n",
       "\\item '600198.SH'\n",
       "\\item '600208.SH'\n",
       "\\item '600218.SH'\n",
       "\\item '600228.SH'\n",
       "\\item '600238.SH'\n",
       "\\item '600248.SH'\n",
       "\\item '600258.SH'\n",
       "\\item '600268.SH'\n",
       "\\item '600278.SH'\n",
       "\\item '600280.SH'\n",
       "\\item '600281.SH'\n",
       "\\item '600282.SH'\n",
       "\\item '600283.SH'\n",
       "\\item '600284.SH'\n",
       "\\item '600285.SH'\n",
       "\\item '600287.SH'\n",
       "\\item '600288.SH'\n",
       "\\item '600289.SH'\n",
       "\\item '600298.SH'\n",
       "\\item '600308.SH'\n",
       "\\item '600318.SH'\n",
       "\\item '600328.SH'\n",
       "\\item '600338.SH'\n",
       "\\item '600348.SH'\n",
       "\\item '600358.SH'\n",
       "\\item '600368.SH'\n",
       "\\item '600378.SH'\n",
       "\\item '600380.SH'\n",
       "\\item '600381.SH'\n",
       "\\item '600382.SH'\n",
       "\\item '600383.SH'\n",
       "\\item '600385.SH'\n",
       "\\item '600386.SH'\n",
       "\\item '600387.SH'\n",
       "\\item '600388.SH'\n",
       "\\item '600389.SH'\n",
       "\\item '600398.SH'\n",
       "\\item '600408.SH'\n",
       "\\item '600418.SH'\n",
       "\\item '600428.SH'\n",
       "\\item '600438.SH'\n",
       "\\item '600448.SH'\n",
       "\\item '600458.SH'\n",
       "\\item '600468.SH'\n",
       "\\item '600478.SH'\n",
       "\\item '600480.SH'\n",
       "\\item '600481.SH'\n",
       "\\item '600482.SH'\n",
       "\\item '600483.SH'\n",
       "\\item '600485.SH'\n",
       "\\item '600486.SH'\n",
       "\\item '600487.SH'\n",
       "\\item '600488.SH'\n",
       "\\item '600489.SH'\n",
       "\\item '600498.SH'\n",
       "\\item '600508.SH'\n",
       "\\item '600518.SH'\n",
       "\\item '600528.SH'\n",
       "\\item '600538.SH'\n",
       "\\item '600548.SH'\n",
       "\\item '600558.SH'\n",
       "\\item '600568.SH'\n",
       "\\item '600578.SH'\n",
       "\\item '600580.SH'\n",
       "\\item '600581.SH'\n",
       "\\item '600582.SH'\n",
       "\\item '600583.SH'\n",
       "\\item '600584.SH'\n",
       "\\item '600585.SH'\n",
       "\\item '600586.SH'\n",
       "\\item '600587.SH'\n",
       "\\item '600588.SH'\n",
       "\\item '600589.SH'\n",
       "\\item '600598.SH'\n",
       "\\item '600608.SH'\n",
       "\\item '600618.SH'\n",
       "\\item '600628.SH'\n",
       "\\item '600638.SH'\n",
       "\\item '600648.SH'\n",
       "\\item '600658.SH'\n",
       "\\item '600668.SH'\n",
       "\\item '600678.SH'\n",
       "\\item '600680.SH'\n",
       "\\item '600681.SH'\n",
       "\\item '600682.SH'\n",
       "\\item '600683.SH'\n",
       "\\item '600684.SH'\n",
       "\\item '600685.SH'\n",
       "\\item '600686.SH'\n",
       "\\item '600687.SH'\n",
       "\\item '600688.SH'\n",
       "\\item '600689.SH'\n",
       "\\item '600698.SH'\n",
       "\\item '600708.SH'\n",
       "\\item '600718.SH'\n",
       "\\item '600728.SH'\n",
       "\\item '600738.SH'\n",
       "\\item '600748.SH'\n",
       "\\item '600758.SH'\n",
       "\\item '600768.SH'\n",
       "\\item '600778.SH'\n",
       "\\item '600780.SH'\n",
       "\\item '600781.SH'\n",
       "\\item '600782.SH'\n",
       "\\item '600783.SH'\n",
       "\\item '600784.SH'\n",
       "\\item '600785.SH'\n",
       "\\item '600787.SH'\n",
       "\\item '600789.SH'\n",
       "\\item '600798.SH'\n",
       "\\item '600800.SH'\n",
       "\\item '600801.SH'\n",
       "\\item '600802.SH'\n",
       "\\item '600803.SH'\n",
       "\\item '600804.SH'\n",
       "\\item '600805.SH'\n",
       "\\item '600806.SH'\n",
       "\\item '600807.SH'\n",
       "\\item '600808.SH'\n",
       "\\item '600809.SH'\n",
       "\\item '600810.SH'\n",
       "\\item '600811.SH'\n",
       "\\item '600812.SH'\n",
       "\\item '600814.SH'\n",
       "\\item '600815.SH'\n",
       "\\item '600816.SH'\n",
       "\\item '600817.SH'\n",
       "\\item '600818.SH'\n",
       "\\item '600819.SH'\n",
       "\\item '600820.SH'\n",
       "\\item '600821.SH'\n",
       "\\item '600822.SH'\n",
       "\\item '600823.SH'\n",
       "\\item '600824.SH'\n",
       "\\item '600825.SH'\n",
       "\\item '600826.SH'\n",
       "\\item '600827.SH'\n",
       "\\item '600828.SH'\n",
       "\\item '600829.SH'\n",
       "\\item '600830.SH'\n",
       "\\item '600831.SH'\n",
       "\\item '600832.SH'\n",
       "\\item '600833.SH'\n",
       "\\item '600834.SH'\n",
       "\\item '600835.SH'\n",
       "\\item '600836.SH'\n",
       "\\item '600837.SH'\n",
       "\\item '600838.SH'\n",
       "\\item '600839.SH'\n",
       "\\item '600841.SH'\n",
       "\\item '600843.SH'\n",
       "\\item '600844.SH'\n",
       "\\item '600845.SH'\n",
       "\\item '600846.SH'\n",
       "\\item '600847.SH'\n",
       "\\item '600848.SH'\n",
       "\\item '600850.SH'\n",
       "\\item '600851.SH'\n",
       "\\item '600853.SH'\n",
       "\\item '600854.SH'\n",
       "\\item '600855.SH'\n",
       "\\item '600856.SH'\n",
       "\\item '600857.SH'\n",
       "\\item '600858.SH'\n",
       "\\item '600859.SH'\n",
       "\\item '600860.SH'\n",
       "\\item '600861.SH'\n",
       "\\item '600862.SH'\n",
       "\\item '600863.SH'\n",
       "\\item '600864.SH'\n",
       "\\item '600865.SH'\n",
       "\\item '600866.SH'\n",
       "\\item '600867.SH'\n",
       "\\item '600868.SH'\n",
       "\\item '600869.SH'\n",
       "\\item '600870.SH'\n",
       "\\item '600871.SH'\n",
       "\\item '600872.SH'\n",
       "\\item '600873.SH'\n",
       "\\item '600874.SH'\n",
       "\\item '600875.SH'\n",
       "\\item '600876.SH'\n",
       "\\item '600877.SH'\n",
       "\\item '600879.SH'\n",
       "\\item '600880.SH'\n",
       "\\item '600881.SH'\n",
       "\\item '600882.SH'\n",
       "\\item '600883.SH'\n",
       "\\item '600884.SH'\n",
       "\\item '600885.SH'\n",
       "\\item '600886.SH'\n",
       "\\item '600887.SH'\n",
       "\\item '600888.SH'\n",
       "\\item '600889.SH'\n",
       "\\item '600890.SH'\n",
       "\\item '600891.SH'\n",
       "\\item '600892.SH'\n",
       "\\item '600893.SH'\n",
       "\\item '600894.SH'\n",
       "\\item '600895.SH'\n",
       "\\item '600896.SH'\n",
       "\\item '600897.SH'\n",
       "\\item '600898.SH'\n",
       "\\item '600978.SH'\n",
       "\\item '600980.SH'\n",
       "\\item '600981.SH'\n",
       "\\item '600982.SH'\n",
       "\\item '600983.SH'\n",
       "\\item '600984.SH'\n",
       "\\item '600985.SH'\n",
       "\\item '600986.SH'\n",
       "\\item '600987.SH'\n",
       "\\item '600988.SH'\n",
       "\\item '600998.SH'\n",
       "\\item '601008.SH'\n",
       "\\item '601018.SH'\n",
       "\\item '601028.SH'\n",
       "\\item '601058.SH'\n",
       "\\item '601088.SH'\n",
       "\\item '601098.SH'\n",
       "\\item '601118.SH'\n",
       "\\item '601158.SH'\n",
       "\\item '601168.SH'\n",
       "\\item '601186.SH'\n",
       "\\item '601188.SH'\n",
       "\\item '601208.SH'\n",
       "\\item '601218.SH'\n",
       "\\item '601238.SH'\n",
       "\\item '601258.SH'\n",
       "\\item '601268.SH'\n",
       "\\item '601288.SH'\n",
       "\\item '601318.SH'\n",
       "\\item '601328.SH'\n",
       "\\item '601388.SH'\n",
       "\\item '601398.SH'\n",
       "\\item '601518.SH'\n",
       "\\item '601558.SH'\n",
       "\\item '601588.SH'\n",
       "\\item '601618.SH'\n",
       "\\item '601628.SH'\n",
       "\\item '601668.SH'\n",
       "\\item '601678.SH'\n",
       "\\item '601688.SH'\n",
       "\\item '601718.SH'\n",
       "\\item '601788.SH'\n",
       "\\item '601789.SH'\n",
       "\\item '601798.SH'\n",
       "\\item '601800.SH'\n",
       "\\item '601801.SH'\n",
       "\\item '601808.SH'\n",
       "\\item '601818.SH'\n",
       "\\item '601857.SH'\n",
       "\\item '601866.SH'\n",
       "\\item '601872.SH'\n",
       "\\item '601877.SH'\n",
       "\\item '601880.SH'\n",
       "\\item '601886.SH'\n",
       "\\item '601888.SH'\n",
       "\\item '601890.SH'\n",
       "\\item '601898.SH'\n",
       "\\item '601899.SH'\n",
       "\\item '601908.SH'\n",
       "\\item '601918.SH'\n",
       "\\item '601928.SH'\n",
       "\\item '601958.SH'\n",
       "\\item '601988.SH'\n",
       "\\item '601989.SH'\n",
       "\\item '601998.SH'\n",
       "\\item '603128.SH'\n",
       "\\item '000008.SZ'\n",
       "\\item '000018.SZ'\n",
       "\\item '000028.SZ'\n",
       "\\item '000038.SZ'\n",
       "\\item '000048.SZ'\n",
       "\\item '000058.SZ'\n",
       "\\item '000068.SZ'\n",
       "\\item '000078.SZ'\n",
       "\\item '000088.SZ'\n",
       "\\item '000089.SZ'\n",
       "\\item '000158.SZ'\n",
       "\\item '000338.SZ'\n",
       "\\item '000408.SZ'\n",
       "\\item '000418.SZ'\n",
       "\\item '000428.SZ'\n",
       "\\item '000488.SZ'\n",
       "\\item '000498.SZ'\n",
       "\\item '000518.SZ'\n",
       "\\item '000528.SZ'\n",
       "\\item '000538.SZ'\n",
       "\\item '000548.SZ'\n",
       "\\item '000558.SZ'\n",
       "\\item '000568.SZ'\n",
       "\\item '000581.SZ'\n",
       "\\item '000582.SZ'\n",
       "\\item '000584.SZ'\n",
       "\\item '000585.SZ'\n",
       "\\item '000586.SZ'\n",
       "\\item '000587.SZ'\n",
       "\\item '000589.SZ'\n",
       "\\item '000598.SZ'\n",
       "\\item '000608.SZ'\n",
       "\\item '000628.SZ'\n",
       "\\item '000638.SZ'\n",
       "\\item '000668.SZ'\n",
       "\\item '000678.SZ'\n",
       "\\item '000680.SZ'\n",
       "\\item '000681.SZ'\n",
       "\\item '000682.SZ'\n",
       "\\item '000683.SZ'\n",
       "\\item '000685.SZ'\n",
       "\\item '000686.SZ'\n",
       "\\item '000687.SZ'\n",
       "\\item '000688.SZ'\n",
       "\\item '000698.SZ'\n",
       "\\item '000708.SZ'\n",
       "\\item '000718.SZ'\n",
       "\\item '000728.SZ'\n",
       "\\item '000738.SZ'\n",
       "\\item '000748.SZ'\n",
       "\\item '000758.SZ'\n",
       "\\item '000768.SZ'\n",
       "\\item '000778.SZ'\n",
       "\\item '000780.SZ'\n",
       "\\item '000782.SZ'\n",
       "\\item '000783.SZ'\n",
       "\\item '000785.SZ'\n",
       "\\item '000786.SZ'\n",
       "\\item '000787.SZ'\n",
       "\\item '000788.SZ'\n",
       "\\item '000789.SZ'\n",
       "\\item '000798.SZ'\n",
       "\\item '000800.SZ'\n",
       "\\item '000801.SZ'\n",
       "\\item '000802.SZ'\n",
       "\\item '000803.SZ'\n",
       "\\item '000805.SZ'\n",
       "\\item '000806.SZ'\n",
       "\\item '000807.SZ'\n",
       "\\item '000809.SZ'\n",
       "\\item '000810.SZ'\n",
       "\\item '000811.SZ'\n",
       "\\item '000812.SZ'\n",
       "\\item '000813.SZ'\n",
       "\\item '000815.SZ'\n",
       "\\item '000816.SZ'\n",
       "\\item '000818.SZ'\n",
       "\\item '000819.SZ'\n",
       "\\item '000820.SZ'\n",
       "\\item '000821.SZ'\n",
       "\\item '000822.SZ'\n",
       "\\item '000823.SZ'\n",
       "\\item '000825.SZ'\n",
       "\\item '000826.SZ'\n",
       "\\item '000828.SZ'\n",
       "\\item '000829.SZ'\n",
       "\\item '000830.SZ'\n",
       "\\item '000831.SZ'\n",
       "\\item '000833.SZ'\n",
       "\\item '000835.SZ'\n",
       "\\item '000836.SZ'\n",
       "\\item '000837.SZ'\n",
       "\\item '000838.SZ'\n",
       "\\item '000839.SZ'\n",
       "\\item '000848.SZ'\n",
       "\\item '000850.SZ'\n",
       "\\item '000851.SZ'\n",
       "\\item '000852.SZ'\n",
       "\\item '000856.SZ'\n",
       "\\item '000858.SZ'\n",
       "\\item '000859.SZ'\n",
       "\\item '000860.SZ'\n",
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       "\\item '000882.SZ'\n",
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       "\\item '000887.SZ'\n",
       "\\item '000888.SZ'\n",
       "\\item '000889.SZ'\n",
       "\\item '000890.SZ'\n",
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       "\\item '002048.SZ'\n",
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       "\\item '002084.SZ'\n",
       "\\item '002085.SZ'\n",
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       "\\item '002681.SZ'\n",
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       "\\item '002684.SZ'\n",
       "\\item '002685.SZ'\n",
       "\\item '300008.SZ'\n",
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       "\\item '300328.SZ'\n",
       "\\end{enumerate*}\n"
      ],
      "text/markdown": [
       "1. '600008.SH'\n",
       "2. '600018.SH'\n",
       "3. '600028.SH'\n",
       "4. '600038.SH'\n",
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       "[487] \"002189.SZ\" \"002198.SZ\" \"002208.SZ\" \"002218.SZ\" \"002228.SZ\" \"002238.SZ\"\n",
       "[493] \"002248.SZ\" \"002258.SZ\" \"002268.SZ\" \"002278.SZ\" \"002280.SZ\" \"002281.SZ\"\n",
       "[499] \"002282.SZ\" \"002283.SZ\" \"002284.SZ\" \"002285.SZ\" \"002286.SZ\" \"002287.SZ\"\n",
       "[505] \"002288.SZ\" \"002289.SZ\" \"002298.SZ\" \"002308.SZ\" \"002318.SZ\" \"002328.SZ\"\n",
       "[511] \"002338.SZ\" \"002348.SZ\" \"002358.SZ\" \"002368.SZ\" \"002378.SZ\" \"002380.SZ\"\n",
       "[517] \"002381.SZ\" \"002382.SZ\" \"002383.SZ\" \"002384.SZ\" \"002385.SZ\" \"002386.SZ\"\n",
       "[523] \"002387.SZ\" \"002388.SZ\" \"002389.SZ\" \"002398.SZ\" \"002408.SZ\" \"002418.SZ\"\n",
       "[529] \"002428.SZ\" \"002438.SZ\" \"002448.SZ\" \"002458.SZ\" \"002468.SZ\" \"002478.SZ\"\n",
       "[535] \"002480.SZ\" \"002481.SZ\" \"002482.SZ\" \"002483.SZ\" \"002484.SZ\" \"002485.SZ\"\n",
       "[541] \"002486.SZ\" \"002487.SZ\" \"002488.SZ\" \"002489.SZ\" \"002498.SZ\" \"002508.SZ\"\n",
       "[547] \"002518.SZ\" \"002528.SZ\" \"002538.SZ\" \"002548.SZ\" \"002558.SZ\" \"002568.SZ\"\n",
       "[553] \"002578.SZ\" \"002580.SZ\" \"002581.SZ\" \"002582.SZ\" \"002583.SZ\" \"002584.SZ\"\n",
       "[559] \"002585.SZ\" \"002586.SZ\" \"002587.SZ\" \"002588.SZ\" \"002589.SZ\" \"002598.SZ\"\n",
       "[565] \"002608.SZ\" \"002618.SZ\" \"002628.SZ\" \"002638.SZ\" \"002648.SZ\" \"002658.SZ\"\n",
       "[571] \"002668.SZ\" \"002678.SZ\" \"002680.SZ\" \"002681.SZ\" \"002682.SZ\" \"002683.SZ\"\n",
       "[577] \"002684.SZ\" \"002685.SZ\" \"300008.SZ\" \"300018.SZ\" \"300028.SZ\" \"300038.SZ\"\n",
       "[583] \"300048.SZ\" \"300058.SZ\" \"300068.SZ\" \"300078.SZ\" \"300080.SZ\" \"300081.SZ\"\n",
       "[589] \"300082.SZ\" \"300083.SZ\" \"300084.SZ\" \"300085.SZ\" \"300086.SZ\" \"300087.SZ\"\n",
       "[595] \"300088.SZ\" \"300089.SZ\" \"300098.SZ\" \"300108.SZ\" \"300118.SZ\" \"300128.SZ\"\n",
       "[601] \"300138.SZ\" \"300148.SZ\" \"300158.SZ\" \"300168.SZ\" \"300178.SZ\" \"300180.SZ\"\n",
       "[607] \"300181.SZ\" \"300182.SZ\" \"300183.SZ\" \"300184.SZ\" \"300185.SZ\" \"300186.SZ\"\n",
       "[613] \"300187.SZ\" \"300188.SZ\" \"300189.SZ\" \"300198.SZ\" \"300208.SZ\" \"300218.SZ\"\n",
       "[619] \"300228.SZ\" \"300238.SZ\" \"300248.SZ\" \"300258.SZ\" \"300268.SZ\" \"300278.SZ\"\n",
       "[625] \"300280.SZ\" \"300281.SZ\" \"300282.SZ\" \"300283.SZ\" \"300284.SZ\" \"300285.SZ\"\n",
       "[631] \"300286.SZ\" \"300287.SZ\" \"300288.SZ\" \"300289.SZ\" \"300298.SZ\" \"300308.SZ\"\n",
       "[637] \"300318.SZ\" \"300328.SZ\""
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[str_detect(symbol, \"8\"), unique(symbol)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *2. 每天上涨和下跌的股票各有多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 234 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>situ</th><th scope=col>num</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>DOWN</td><td>2129</td></tr>\n",
       "\t<tr><td>20120105</td><td>UP  </td><td> 132</td></tr>\n",
       "\t<tr><td>20120106</td><td>UP  </td><td>1444</td></tr>\n",
       "\t<tr><td>20120109</td><td>UP  </td><td>2202</td></tr>\n",
       "\t<tr><td>20120110</td><td>UP  </td><td>2220</td></tr>\n",
       "\t<tr><td>20120111</td><td>DOWN</td><td>1348</td></tr>\n",
       "\t<tr><td>20120112</td><td>UP  </td><td> 791</td></tr>\n",
       "\t<tr><td>20120113</td><td>DOWN</td><td>2219</td></tr>\n",
       "\t<tr><td>20120116</td><td>DOWN</td><td>2225</td></tr>\n",
       "\t<tr><td>20120117</td><td>UP  </td><td>2221</td></tr>\n",
       "\t<tr><td>20120118</td><td>DOWN</td><td>2097</td></tr>\n",
       "\t<tr><td>20120119</td><td>UP  </td><td>1732</td></tr>\n",
       "\t<tr><td>20120120</td><td>UP  </td><td>1886</td></tr>\n",
       "\t<tr><td>20120130</td><td>DOWN</td><td>1576</td></tr>\n",
       "\t<tr><td>20120131</td><td>DOWN</td><td>1285</td></tr>\n",
       "\t<tr><td>20120201</td><td>DOWN</td><td>1709</td></tr>\n",
       "\t<tr><td>20120202</td><td>UP  </td><td>2147</td></tr>\n",
       "\t<tr><td>20120203</td><td>UP  </td><td>2022</td></tr>\n",
       "\t<tr><td>20120206</td><td>DOWN</td><td> 808</td></tr>\n",
       "\t<tr><td>20120207</td><td>DOWN</td><td>2090</td></tr>\n",
       "\t<tr><td>20120208</td><td>UP  </td><td>2201</td></tr>\n",
       "\t<tr><td>20120209</td><td>DOWN</td><td> 824</td></tr>\n",
       "\t<tr><td>20120210</td><td>DOWN</td><td> 988</td></tr>\n",
       "\t<tr><td>20120213</td><td>DOWN</td><td> 585</td></tr>\n",
       "\t<tr><td>20120214</td><td>DOWN</td><td>1382</td></tr>\n",
       "\t<tr><td>20120215</td><td>UP  </td><td>2111</td></tr>\n",
       "\t<tr><td>20120216</td><td>DOWN</td><td>1494</td></tr>\n",
       "\t<tr><td>20120217</td><td>UP  </td><td> 662</td></tr>\n",
       "\t<tr><td>20120220</td><td>DOWN</td><td>1277</td></tr>\n",
       "\t<tr><td>20120221</td><td>UP  </td><td>1907</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120517</td><td>DOWN</td><td> 407</td></tr>\n",
       "\t<tr><td>20120215</td><td>DOWN</td><td> 221</td></tr>\n",
       "\t<tr><td>20120216</td><td>UP  </td><td> 842</td></tr>\n",
       "\t<tr><td>20120302</td><td>DOWN</td><td> 162</td></tr>\n",
       "\t<tr><td>20120308</td><td>DOWN</td><td> 306</td></tr>\n",
       "\t<tr><td>20120410</td><td>DOWN</td><td> 610</td></tr>\n",
       "\t<tr><td>20120416</td><td>UP  </td><td>1002</td></tr>\n",
       "\t<tr><td>20120518</td><td>UP  </td><td> 384</td></tr>\n",
       "\t<tr><td>20120528</td><td>DOWN</td><td> 689</td></tr>\n",
       "\t<tr><td>20120529</td><td>DOWN</td><td> 369</td></tr>\n",
       "\t<tr><td>20120604</td><td>UP  </td><td> 130</td></tr>\n",
       "\t<tr><td>20120621</td><td>UP  </td><td> 389</td></tr>\n",
       "\t<tr><td>20120625</td><td>UP  </td><td> 211</td></tr>\n",
       "\t<tr><td>20120222</td><td>DOWN</td><td> 173</td></tr>\n",
       "\t<tr><td>20120522</td><td>DOWN</td><td> 371</td></tr>\n",
       "\t<tr><td>20120316</td><td>DOWN</td><td> 223</td></tr>\n",
       "\t<tr><td>20120224</td><td>DOWN</td><td> 480</td></tr>\n",
       "\t<tr><td>20120130</td><td>UP  </td><td> 754</td></tr>\n",
       "\t<tr><td>20120208</td><td>DOWN</td><td> 130</td></tr>\n",
       "\t<tr><td>20120412</td><td>DOWN</td><td> 262</td></tr>\n",
       "\t<tr><td>20120418</td><td>DOWN</td><td> 260</td></tr>\n",
       "\t<tr><td>20120509</td><td>UP  </td><td> 354</td></tr>\n",
       "\t<tr><td>20120109</td><td>DOWN</td><td> 121</td></tr>\n",
       "\t<tr><td>20120110</td><td>DOWN</td><td> 105</td></tr>\n",
       "\t<tr><td>20120117</td><td>DOWN</td><td> 108</td></tr>\n",
       "\t<tr><td>20120202</td><td>DOWN</td><td> 184</td></tr>\n",
       "\t<tr><td>20120113</td><td>UP  </td><td> 108</td></tr>\n",
       "\t<tr><td>20120207</td><td>UP  </td><td> 241</td></tr>\n",
       "\t<tr><td>20120118</td><td>UP  </td><td> 232</td></tr>\n",
       "\t<tr><td>20120328</td><td>UP  </td><td>  75</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 234 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & situ & num\\\\\n",
       " <int> & <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120104 & DOWN & 2129\\\\\n",
       "\t 20120105 & UP   &  132\\\\\n",
       "\t 20120106 & UP   & 1444\\\\\n",
       "\t 20120109 & UP   & 2202\\\\\n",
       "\t 20120110 & UP   & 2220\\\\\n",
       "\t 20120111 & DOWN & 1348\\\\\n",
       "\t 20120112 & UP   &  791\\\\\n",
       "\t 20120113 & DOWN & 2219\\\\\n",
       "\t 20120116 & DOWN & 2225\\\\\n",
       "\t 20120117 & UP   & 2221\\\\\n",
       "\t 20120118 & DOWN & 2097\\\\\n",
       "\t 20120119 & UP   & 1732\\\\\n",
       "\t 20120120 & UP   & 1886\\\\\n",
       "\t 20120130 & DOWN & 1576\\\\\n",
       "\t 20120131 & DOWN & 1285\\\\\n",
       "\t 20120201 & DOWN & 1709\\\\\n",
       "\t 20120202 & UP   & 2147\\\\\n",
       "\t 20120203 & UP   & 2022\\\\\n",
       "\t 20120206 & DOWN &  808\\\\\n",
       "\t 20120207 & DOWN & 2090\\\\\n",
       "\t 20120208 & UP   & 2201\\\\\n",
       "\t 20120209 & DOWN &  824\\\\\n",
       "\t 20120210 & DOWN &  988\\\\\n",
       "\t 20120213 & DOWN &  585\\\\\n",
       "\t 20120214 & DOWN & 1382\\\\\n",
       "\t 20120215 & UP   & 2111\\\\\n",
       "\t 20120216 & DOWN & 1494\\\\\n",
       "\t 20120217 & UP   &  662\\\\\n",
       "\t 20120220 & DOWN & 1277\\\\\n",
       "\t 20120221 & UP   & 1907\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120517 & DOWN &  407\\\\\n",
       "\t 20120215 & DOWN &  221\\\\\n",
       "\t 20120216 & UP   &  842\\\\\n",
       "\t 20120302 & DOWN &  162\\\\\n",
       "\t 20120308 & DOWN &  306\\\\\n",
       "\t 20120410 & DOWN &  610\\\\\n",
       "\t 20120416 & UP   & 1002\\\\\n",
       "\t 20120518 & UP   &  384\\\\\n",
       "\t 20120528 & DOWN &  689\\\\\n",
       "\t 20120529 & DOWN &  369\\\\\n",
       "\t 20120604 & UP   &  130\\\\\n",
       "\t 20120621 & UP   &  389\\\\\n",
       "\t 20120625 & UP   &  211\\\\\n",
       "\t 20120222 & DOWN &  173\\\\\n",
       "\t 20120522 & DOWN &  371\\\\\n",
       "\t 20120316 & DOWN &  223\\\\\n",
       "\t 20120224 & DOWN &  480\\\\\n",
       "\t 20120130 & UP   &  754\\\\\n",
       "\t 20120208 & DOWN &  130\\\\\n",
       "\t 20120412 & DOWN &  262\\\\\n",
       "\t 20120418 & DOWN &  260\\\\\n",
       "\t 20120509 & UP   &  354\\\\\n",
       "\t 20120109 & DOWN &  121\\\\\n",
       "\t 20120110 & DOWN &  105\\\\\n",
       "\t 20120117 & DOWN &  108\\\\\n",
       "\t 20120202 & DOWN &  184\\\\\n",
       "\t 20120113 & UP   &  108\\\\\n",
       "\t 20120207 & UP   &  241\\\\\n",
       "\t 20120118 & UP   &  232\\\\\n",
       "\t 20120328 & UP   &   75\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 234 × 3\n",
       "\n",
       "| date &lt;int&gt; | situ &lt;chr&gt; | num &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | DOWN | 2129 |\n",
       "| 20120105 | UP   |  132 |\n",
       "| 20120106 | UP   | 1444 |\n",
       "| 20120109 | UP   | 2202 |\n",
       "| 20120110 | UP   | 2220 |\n",
       "| 20120111 | DOWN | 1348 |\n",
       "| 20120112 | UP   |  791 |\n",
       "| 20120113 | DOWN | 2219 |\n",
       "| 20120116 | DOWN | 2225 |\n",
       "| 20120117 | UP   | 2221 |\n",
       "| 20120118 | DOWN | 2097 |\n",
       "| 20120119 | UP   | 1732 |\n",
       "| 20120120 | UP   | 1886 |\n",
       "| 20120130 | DOWN | 1576 |\n",
       "| 20120131 | DOWN | 1285 |\n",
       "| 20120201 | DOWN | 1709 |\n",
       "| 20120202 | UP   | 2147 |\n",
       "| 20120203 | UP   | 2022 |\n",
       "| 20120206 | DOWN |  808 |\n",
       "| 20120207 | DOWN | 2090 |\n",
       "| 20120208 | UP   | 2201 |\n",
       "| 20120209 | DOWN |  824 |\n",
       "| 20120210 | DOWN |  988 |\n",
       "| 20120213 | DOWN |  585 |\n",
       "| 20120214 | DOWN | 1382 |\n",
       "| 20120215 | UP   | 2111 |\n",
       "| 20120216 | DOWN | 1494 |\n",
       "| 20120217 | UP   |  662 |\n",
       "| 20120220 | DOWN | 1277 |\n",
       "| 20120221 | UP   | 1907 |\n",
       "| ... | ... | ... |\n",
       "| 20120517 | DOWN |  407 |\n",
       "| 20120215 | DOWN |  221 |\n",
       "| 20120216 | UP   |  842 |\n",
       "| 20120302 | DOWN |  162 |\n",
       "| 20120308 | DOWN |  306 |\n",
       "| 20120410 | DOWN |  610 |\n",
       "| 20120416 | UP   | 1002 |\n",
       "| 20120518 | UP   |  384 |\n",
       "| 20120528 | DOWN |  689 |\n",
       "| 20120529 | DOWN |  369 |\n",
       "| 20120604 | UP   |  130 |\n",
       "| 20120621 | UP   |  389 |\n",
       "| 20120625 | UP   |  211 |\n",
       "| 20120222 | DOWN |  173 |\n",
       "| 20120522 | DOWN |  371 |\n",
       "| 20120316 | DOWN |  223 |\n",
       "| 20120224 | DOWN |  480 |\n",
       "| 20120130 | UP   |  754 |\n",
       "| 20120208 | DOWN |  130 |\n",
       "| 20120412 | DOWN |  262 |\n",
       "| 20120418 | DOWN |  260 |\n",
       "| 20120509 | UP   |  354 |\n",
       "| 20120109 | DOWN |  121 |\n",
       "| 20120110 | DOWN |  105 |\n",
       "| 20120117 | DOWN |  108 |\n",
       "| 20120202 | DOWN |  184 |\n",
       "| 20120113 | UP   |  108 |\n",
       "| 20120207 | UP   |  241 |\n",
       "| 20120118 | UP   |  232 |\n",
       "| 20120328 | UP   |   75 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     situ num \n",
       "1   20120104 DOWN 2129\n",
       "2   20120105 UP    132\n",
       "3   20120106 UP   1444\n",
       "4   20120109 UP   2202\n",
       "5   20120110 UP   2220\n",
       "6   20120111 DOWN 1348\n",
       "7   20120112 UP    791\n",
       "8   20120113 DOWN 2219\n",
       "9   20120116 DOWN 2225\n",
       "10  20120117 UP   2221\n",
       "11  20120118 DOWN 2097\n",
       "12  20120119 UP   1732\n",
       "13  20120120 UP   1886\n",
       "14  20120130 DOWN 1576\n",
       "15  20120131 DOWN 1285\n",
       "16  20120201 DOWN 1709\n",
       "17  20120202 UP   2147\n",
       "18  20120203 UP   2022\n",
       "19  20120206 DOWN  808\n",
       "20  20120207 DOWN 2090\n",
       "21  20120208 UP   2201\n",
       "22  20120209 DOWN  824\n",
       "23  20120210 DOWN  988\n",
       "24  20120213 DOWN  585\n",
       "25  20120214 DOWN 1382\n",
       "26  20120215 UP   2111\n",
       "27  20120216 DOWN 1494\n",
       "28  20120217 UP    662\n",
       "29  20120220 DOWN 1277\n",
       "30  20120221 UP   1907\n",
       "... ...      ...  ... \n",
       "205 20120517 DOWN  407\n",
       "206 20120215 DOWN  221\n",
       "207 20120216 UP    842\n",
       "208 20120302 DOWN  162\n",
       "209 20120308 DOWN  306\n",
       "210 20120410 DOWN  610\n",
       "211 20120416 UP   1002\n",
       "212 20120518 UP    384\n",
       "213 20120528 DOWN  689\n",
       "214 20120529 DOWN  369\n",
       "215 20120604 UP    130\n",
       "216 20120621 UP    389\n",
       "217 20120625 UP    211\n",
       "218 20120222 DOWN  173\n",
       "219 20120522 DOWN  371\n",
       "220 20120316 DOWN  223\n",
       "221 20120224 DOWN  480\n",
       "222 20120130 UP    754\n",
       "223 20120208 DOWN  130\n",
       "224 20120412 DOWN  262\n",
       "225 20120418 DOWN  260\n",
       "226 20120509 UP    354\n",
       "227 20120109 DOWN  121\n",
       "228 20120110 DOWN  105\n",
       "229 20120117 DOWN  108\n",
       "230 20120202 DOWN  184\n",
       "231 20120113 UP    108\n",
       "232 20120207 UP    241\n",
       "233 20120118 UP    232\n",
       "234 20120328 UP     75"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(num = uniqueN(symbol)), by = .(date, situ = ifelse(close - pre_close > 0, \"UP\", \"DOWN\"))]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *3. 每天每个交易所上涨、下跌的股票各有多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 468 × 4</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>situ</th><th scope=col>market_type</th><th scope=col>num</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>DOWN</td><td>SH</td><td>836</td></tr>\n",
       "\t<tr><td>20120105</td><td>UP  </td><td>SH</td><td> 74</td></tr>\n",
       "\t<tr><td>20120106</td><td>UP  </td><td>SH</td><td>583</td></tr>\n",
       "\t<tr><td>20120109</td><td>UP  </td><td>SH</td><td>881</td></tr>\n",
       "\t<tr><td>20120110</td><td>UP  </td><td>SH</td><td>888</td></tr>\n",
       "\t<tr><td>20120111</td><td>DOWN</td><td>SH</td><td>580</td></tr>\n",
       "\t<tr><td>20120112</td><td>UP  </td><td>SH</td><td>365</td></tr>\n",
       "\t<tr><td>20120113</td><td>DOWN</td><td>SH</td><td>867</td></tr>\n",
       "\t<tr><td>20120116</td><td>DOWN</td><td>SH</td><td>871</td></tr>\n",
       "\t<tr><td>20120117</td><td>UP  </td><td>SH</td><td>884</td></tr>\n",
       "\t<tr><td>20120118</td><td>DOWN</td><td>SH</td><td>810</td></tr>\n",
       "\t<tr><td>20120119</td><td>UP  </td><td>SH</td><td>714</td></tr>\n",
       "\t<tr><td>20120120</td><td>UP  </td><td>SH</td><td>725</td></tr>\n",
       "\t<tr><td>20120130</td><td>DOWN</td><td>SH</td><td>719</td></tr>\n",
       "\t<tr><td>20120131</td><td>DOWN</td><td>SH</td><td>442</td></tr>\n",
       "\t<tr><td>20120201</td><td>DOWN</td><td>SH</td><td>743</td></tr>\n",
       "\t<tr><td>20120202</td><td>UP  </td><td>SH</td><td>840</td></tr>\n",
       "\t<tr><td>20120203</td><td>UP  </td><td>SH</td><td>775</td></tr>\n",
       "\t<tr><td>20120206</td><td>DOWN</td><td>SH</td><td>360</td></tr>\n",
       "\t<tr><td>20120207</td><td>DOWN</td><td>SH</td><td>834</td></tr>\n",
       "\t<tr><td>20120208</td><td>UP  </td><td>SH</td><td>866</td></tr>\n",
       "\t<tr><td>20120209</td><td>DOWN</td><td>SH</td><td>360</td></tr>\n",
       "\t<tr><td>20120210</td><td>DOWN</td><td>SH</td><td>386</td></tr>\n",
       "\t<tr><td>20120213</td><td>DOWN</td><td>SH</td><td>304</td></tr>\n",
       "\t<tr><td>20120214</td><td>DOWN</td><td>SH</td><td>544</td></tr>\n",
       "\t<tr><td>20120215</td><td>UP  </td><td>SH</td><td>821</td></tr>\n",
       "\t<tr><td>20120216</td><td>DOWN</td><td>SH</td><td>590</td></tr>\n",
       "\t<tr><td>20120217</td><td>UP  </td><td>SH</td><td>282</td></tr>\n",
       "\t<tr><td>20120220</td><td>DOWN</td><td>SH</td><td>549</td></tr>\n",
       "\t<tr><td>20120221</td><td>UP  </td><td>SH</td><td>738</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120525</td><td>UP  </td><td>SZ</td><td>252</td></tr>\n",
       "\t<tr><td>20120628</td><td>UP  </td><td>SZ</td><td>303</td></tr>\n",
       "\t<tr><td>20120104</td><td>UP  </td><td>SZ</td><td>106</td></tr>\n",
       "\t<tr><td>20120206</td><td>UP  </td><td>SZ</td><td>961</td></tr>\n",
       "\t<tr><td>20120217</td><td>UP  </td><td>SZ</td><td>380</td></tr>\n",
       "\t<tr><td>20120306</td><td>UP  </td><td>SZ</td><td>355</td></tr>\n",
       "\t<tr><td>20120312</td><td>UP  </td><td>SZ</td><td>839</td></tr>\n",
       "\t<tr><td>20120521</td><td>DOWN</td><td>SZ</td><td>876</td></tr>\n",
       "\t<tr><td>20120627</td><td>UP  </td><td>SZ</td><td>533</td></tr>\n",
       "\t<tr><td>20120320</td><td>UP  </td><td>SZ</td><td>121</td></tr>\n",
       "\t<tr><td>20120323</td><td>UP  </td><td>SZ</td><td>176</td></tr>\n",
       "\t<tr><td>20120409</td><td>UP  </td><td>SZ</td><td>297</td></tr>\n",
       "\t<tr><td>20120417</td><td>UP  </td><td>SZ</td><td>280</td></tr>\n",
       "\t<tr><td>20120529</td><td>DOWN</td><td>SZ</td><td>196</td></tr>\n",
       "\t<tr><td>20120604</td><td>UP  </td><td>SZ</td><td> 86</td></tr>\n",
       "\t<tr><td>20120620</td><td>UP  </td><td>SZ</td><td>711</td></tr>\n",
       "\t<tr><td>20120111</td><td>UP  </td><td>SZ</td><td>636</td></tr>\n",
       "\t<tr><td>20120113</td><td>UP  </td><td>SZ</td><td> 54</td></tr>\n",
       "\t<tr><td>20120118</td><td>UP  </td><td>SZ</td><td>120</td></tr>\n",
       "\t<tr><td>20120511</td><td>UP  </td><td>SZ</td><td>417</td></tr>\n",
       "\t<tr><td>20120522</td><td>DOWN</td><td>SZ</td><td>214</td></tr>\n",
       "\t<tr><td>20120613</td><td>DOWN</td><td>SZ</td><td>120</td></tr>\n",
       "\t<tr><td>20120524</td><td>UP  </td><td>SZ</td><td>410</td></tr>\n",
       "\t<tr><td>20120425</td><td>DOWN</td><td>SZ</td><td>469</td></tr>\n",
       "\t<tr><td>20120201</td><td>UP  </td><td>SZ</td><td>443</td></tr>\n",
       "\t<tr><td>20120307</td><td>UP  </td><td>SZ</td><td>453</td></tr>\n",
       "\t<tr><td>20120423</td><td>UP  </td><td>SZ</td><td>210</td></tr>\n",
       "\t<tr><td>20120315</td><td>UP  </td><td>SZ</td><td>395</td></tr>\n",
       "\t<tr><td>20120116</td><td>UP  </td><td>SZ</td><td> 52</td></tr>\n",
       "\t<tr><td>20120314</td><td>UP  </td><td>SZ</td><td> 73</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 468 × 4\n",
       "\\begin{tabular}{r|llll}\n",
       " date & situ & market\\_type & num\\\\\n",
       " <int> & <chr> & <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120104 & DOWN & SH & 836\\\\\n",
       "\t 20120105 & UP   & SH &  74\\\\\n",
       "\t 20120106 & UP   & SH & 583\\\\\n",
       "\t 20120109 & UP   & SH & 881\\\\\n",
       "\t 20120110 & UP   & SH & 888\\\\\n",
       "\t 20120111 & DOWN & SH & 580\\\\\n",
       "\t 20120112 & UP   & SH & 365\\\\\n",
       "\t 20120113 & DOWN & SH & 867\\\\\n",
       "\t 20120116 & DOWN & SH & 871\\\\\n",
       "\t 20120117 & UP   & SH & 884\\\\\n",
       "\t 20120118 & DOWN & SH & 810\\\\\n",
       "\t 20120119 & UP   & SH & 714\\\\\n",
       "\t 20120120 & UP   & SH & 725\\\\\n",
       "\t 20120130 & DOWN & SH & 719\\\\\n",
       "\t 20120131 & DOWN & SH & 442\\\\\n",
       "\t 20120201 & DOWN & SH & 743\\\\\n",
       "\t 20120202 & UP   & SH & 840\\\\\n",
       "\t 20120203 & UP   & SH & 775\\\\\n",
       "\t 20120206 & DOWN & SH & 360\\\\\n",
       "\t 20120207 & DOWN & SH & 834\\\\\n",
       "\t 20120208 & UP   & SH & 866\\\\\n",
       "\t 20120209 & DOWN & SH & 360\\\\\n",
       "\t 20120210 & DOWN & SH & 386\\\\\n",
       "\t 20120213 & DOWN & SH & 304\\\\\n",
       "\t 20120214 & DOWN & SH & 544\\\\\n",
       "\t 20120215 & UP   & SH & 821\\\\\n",
       "\t 20120216 & DOWN & SH & 590\\\\\n",
       "\t 20120217 & UP   & SH & 282\\\\\n",
       "\t 20120220 & DOWN & SH & 549\\\\\n",
       "\t 20120221 & UP   & SH & 738\\\\\n",
       "\t ... & ... & ... & ...\\\\\n",
       "\t 20120525 & UP   & SZ & 252\\\\\n",
       "\t 20120628 & UP   & SZ & 303\\\\\n",
       "\t 20120104 & UP   & SZ & 106\\\\\n",
       "\t 20120206 & UP   & SZ & 961\\\\\n",
       "\t 20120217 & UP   & SZ & 380\\\\\n",
       "\t 20120306 & UP   & SZ & 355\\\\\n",
       "\t 20120312 & UP   & SZ & 839\\\\\n",
       "\t 20120521 & DOWN & SZ & 876\\\\\n",
       "\t 20120627 & UP   & SZ & 533\\\\\n",
       "\t 20120320 & UP   & SZ & 121\\\\\n",
       "\t 20120323 & UP   & SZ & 176\\\\\n",
       "\t 20120409 & UP   & SZ & 297\\\\\n",
       "\t 20120417 & UP   & SZ & 280\\\\\n",
       "\t 20120529 & DOWN & SZ & 196\\\\\n",
       "\t 20120604 & UP   & SZ &  86\\\\\n",
       "\t 20120620 & UP   & SZ & 711\\\\\n",
       "\t 20120111 & UP   & SZ & 636\\\\\n",
       "\t 20120113 & UP   & SZ &  54\\\\\n",
       "\t 20120118 & UP   & SZ & 120\\\\\n",
       "\t 20120511 & UP   & SZ & 417\\\\\n",
       "\t 20120522 & DOWN & SZ & 214\\\\\n",
       "\t 20120613 & DOWN & SZ & 120\\\\\n",
       "\t 20120524 & UP   & SZ & 410\\\\\n",
       "\t 20120425 & DOWN & SZ & 469\\\\\n",
       "\t 20120201 & UP   & SZ & 443\\\\\n",
       "\t 20120307 & UP   & SZ & 453\\\\\n",
       "\t 20120423 & UP   & SZ & 210\\\\\n",
       "\t 20120315 & UP   & SZ & 395\\\\\n",
       "\t 20120116 & UP   & SZ &  52\\\\\n",
       "\t 20120314 & UP   & SZ &  73\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 468 × 4\n",
       "\n",
       "| date &lt;int&gt; | situ &lt;chr&gt; | market_type &lt;chr&gt; | num &lt;int&gt; |\n",
       "|---|---|---|---|\n",
       "| 20120104 | DOWN | SH | 836 |\n",
       "| 20120105 | UP   | SH |  74 |\n",
       "| 20120106 | UP   | SH | 583 |\n",
       "| 20120109 | UP   | SH | 881 |\n",
       "| 20120110 | UP   | SH | 888 |\n",
       "| 20120111 | DOWN | SH | 580 |\n",
       "| 20120112 | UP   | SH | 365 |\n",
       "| 20120113 | DOWN | SH | 867 |\n",
       "| 20120116 | DOWN | SH | 871 |\n",
       "| 20120117 | UP   | SH | 884 |\n",
       "| 20120118 | DOWN | SH | 810 |\n",
       "| 20120119 | UP   | SH | 714 |\n",
       "| 20120120 | UP   | SH | 725 |\n",
       "| 20120130 | DOWN | SH | 719 |\n",
       "| 20120131 | DOWN | SH | 442 |\n",
       "| 20120201 | DOWN | SH | 743 |\n",
       "| 20120202 | UP   | SH | 840 |\n",
       "| 20120203 | UP   | SH | 775 |\n",
       "| 20120206 | DOWN | SH | 360 |\n",
       "| 20120207 | DOWN | SH | 834 |\n",
       "| 20120208 | UP   | SH | 866 |\n",
       "| 20120209 | DOWN | SH | 360 |\n",
       "| 20120210 | DOWN | SH | 386 |\n",
       "| 20120213 | DOWN | SH | 304 |\n",
       "| 20120214 | DOWN | SH | 544 |\n",
       "| 20120215 | UP   | SH | 821 |\n",
       "| 20120216 | DOWN | SH | 590 |\n",
       "| 20120217 | UP   | SH | 282 |\n",
       "| 20120220 | DOWN | SH | 549 |\n",
       "| 20120221 | UP   | SH | 738 |\n",
       "| ... | ... | ... | ... |\n",
       "| 20120525 | UP   | SZ | 252 |\n",
       "| 20120628 | UP   | SZ | 303 |\n",
       "| 20120104 | UP   | SZ | 106 |\n",
       "| 20120206 | UP   | SZ | 961 |\n",
       "| 20120217 | UP   | SZ | 380 |\n",
       "| 20120306 | UP   | SZ | 355 |\n",
       "| 20120312 | UP   | SZ | 839 |\n",
       "| 20120521 | DOWN | SZ | 876 |\n",
       "| 20120627 | UP   | SZ | 533 |\n",
       "| 20120320 | UP   | SZ | 121 |\n",
       "| 20120323 | UP   | SZ | 176 |\n",
       "| 20120409 | UP   | SZ | 297 |\n",
       "| 20120417 | UP   | SZ | 280 |\n",
       "| 20120529 | DOWN | SZ | 196 |\n",
       "| 20120604 | UP   | SZ |  86 |\n",
       "| 20120620 | UP   | SZ | 711 |\n",
       "| 20120111 | UP   | SZ | 636 |\n",
       "| 20120113 | UP   | SZ |  54 |\n",
       "| 20120118 | UP   | SZ | 120 |\n",
       "| 20120511 | UP   | SZ | 417 |\n",
       "| 20120522 | DOWN | SZ | 214 |\n",
       "| 20120613 | DOWN | SZ | 120 |\n",
       "| 20120524 | UP   | SZ | 410 |\n",
       "| 20120425 | DOWN | SZ | 469 |\n",
       "| 20120201 | UP   | SZ | 443 |\n",
       "| 20120307 | UP   | SZ | 453 |\n",
       "| 20120423 | UP   | SZ | 210 |\n",
       "| 20120315 | UP   | SZ | 395 |\n",
       "| 20120116 | UP   | SZ |  52 |\n",
       "| 20120314 | UP   | SZ |  73 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     situ market_type num\n",
       "1   20120104 DOWN SH          836\n",
       "2   20120105 UP   SH           74\n",
       "3   20120106 UP   SH          583\n",
       "4   20120109 UP   SH          881\n",
       "5   20120110 UP   SH          888\n",
       "6   20120111 DOWN SH          580\n",
       "7   20120112 UP   SH          365\n",
       "8   20120113 DOWN SH          867\n",
       "9   20120116 DOWN SH          871\n",
       "10  20120117 UP   SH          884\n",
       "11  20120118 DOWN SH          810\n",
       "12  20120119 UP   SH          714\n",
       "13  20120120 UP   SH          725\n",
       "14  20120130 DOWN SH          719\n",
       "15  20120131 DOWN SH          442\n",
       "16  20120201 DOWN SH          743\n",
       "17  20120202 UP   SH          840\n",
       "18  20120203 UP   SH          775\n",
       "19  20120206 DOWN SH          360\n",
       "20  20120207 DOWN SH          834\n",
       "21  20120208 UP   SH          866\n",
       "22  20120209 DOWN SH          360\n",
       "23  20120210 DOWN SH          386\n",
       "24  20120213 DOWN SH          304\n",
       "25  20120214 DOWN SH          544\n",
       "26  20120215 UP   SH          821\n",
       "27  20120216 DOWN SH          590\n",
       "28  20120217 UP   SH          282\n",
       "29  20120220 DOWN SH          549\n",
       "30  20120221 UP   SH          738\n",
       "... ...      ...  ...         ...\n",
       "439 20120525 UP   SZ          252\n",
       "440 20120628 UP   SZ          303\n",
       "441 20120104 UP   SZ          106\n",
       "442 20120206 UP   SZ          961\n",
       "443 20120217 UP   SZ          380\n",
       "444 20120306 UP   SZ          355\n",
       "445 20120312 UP   SZ          839\n",
       "446 20120521 DOWN SZ          876\n",
       "447 20120627 UP   SZ          533\n",
       "448 20120320 UP   SZ          121\n",
       "449 20120323 UP   SZ          176\n",
       "450 20120409 UP   SZ          297\n",
       "451 20120417 UP   SZ          280\n",
       "452 20120529 DOWN SZ          196\n",
       "453 20120604 UP   SZ           86\n",
       "454 20120620 UP   SZ          711\n",
       "455 20120111 UP   SZ          636\n",
       "456 20120113 UP   SZ           54\n",
       "457 20120118 UP   SZ          120\n",
       "458 20120511 UP   SZ          417\n",
       "459 20120522 DOWN SZ          214\n",
       "460 20120613 DOWN SZ          120\n",
       "461 20120524 UP   SZ          410\n",
       "462 20120425 DOWN SZ          469\n",
       "463 20120201 UP   SZ          443\n",
       "464 20120307 UP   SZ          453\n",
       "465 20120423 UP   SZ          210\n",
       "466 20120315 UP   SZ          395\n",
       "467 20120116 UP   SZ           52\n",
       "468 20120314 UP   SZ           73"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(num = uniqueN(symbol)), by = .(date, situ = ifelse(close - pre_close > 0, \"UP\", \"DOWN\"), market_type = str_sub(symbol, start = -2, end = -1))]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *4. 沪深300成分股中，每天上涨、下跌的股票各有多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 234 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>situ</th><th scope=col>num</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>DOWN</td><td>280</td></tr>\n",
       "\t<tr><td>20120105</td><td>UP  </td><td> 50</td></tr>\n",
       "\t<tr><td>20120106</td><td>UP  </td><td>202</td></tr>\n",
       "\t<tr><td>20120109</td><td>UP  </td><td>292</td></tr>\n",
       "\t<tr><td>20120110</td><td>UP  </td><td>295</td></tr>\n",
       "\t<tr><td>20120111</td><td>DOWN</td><td>220</td></tr>\n",
       "\t<tr><td>20120112</td><td>UP  </td><td>112</td></tr>\n",
       "\t<tr><td>20120113</td><td>DOWN</td><td>285</td></tr>\n",
       "\t<tr><td>20120116</td><td>DOWN</td><td>284</td></tr>\n",
       "\t<tr><td>20120117</td><td>UP  </td><td>295</td></tr>\n",
       "\t<tr><td>20120118</td><td>DOWN</td><td>255</td></tr>\n",
       "\t<tr><td>20120119</td><td>UP  </td><td>263</td></tr>\n",
       "\t<tr><td>20120120</td><td>UP  </td><td>229</td></tr>\n",
       "\t<tr><td>20120130</td><td>DOWN</td><td>258</td></tr>\n",
       "\t<tr><td>20120131</td><td>DOWN</td><td>158</td></tr>\n",
       "\t<tr><td>20120201</td><td>DOWN</td><td>254</td></tr>\n",
       "\t<tr><td>20120202</td><td>UP  </td><td>289</td></tr>\n",
       "\t<tr><td>20120203</td><td>UP  </td><td>236</td></tr>\n",
       "\t<tr><td>20120206</td><td>DOWN</td><td>157</td></tr>\n",
       "\t<tr><td>20120207</td><td>DOWN</td><td>282</td></tr>\n",
       "\t<tr><td>20120208</td><td>UP  </td><td>292</td></tr>\n",
       "\t<tr><td>20120209</td><td>DOWN</td><td>147</td></tr>\n",
       "\t<tr><td>20120210</td><td>DOWN</td><td>142</td></tr>\n",
       "\t<tr><td>20120213</td><td>DOWN</td><td>134</td></tr>\n",
       "\t<tr><td>20120214</td><td>DOWN</td><td>207</td></tr>\n",
       "\t<tr><td>20120215</td><td>UP  </td><td>274</td></tr>\n",
       "\t<tr><td>20120216</td><td>DOWN</td><td>222</td></tr>\n",
       "\t<tr><td>20120217</td><td>UP  </td><td>116</td></tr>\n",
       "\t<tr><td>20120220</td><td>DOWN</td><td>175</td></tr>\n",
       "\t<tr><td>20120221</td><td>UP  </td><td>251</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120423</td><td>UP  </td><td> 71</td></tr>\n",
       "\t<tr><td>20120216</td><td>UP  </td><td> 78</td></tr>\n",
       "\t<tr><td>20120305</td><td>UP  </td><td> 88</td></tr>\n",
       "\t<tr><td>20120309</td><td>DOWN</td><td> 57</td></tr>\n",
       "\t<tr><td>20120416</td><td>UP  </td><td>111</td></tr>\n",
       "\t<tr><td>20120514</td><td>UP  </td><td> 75</td></tr>\n",
       "\t<tr><td>20120106</td><td>DOWN</td><td> 98</td></tr>\n",
       "\t<tr><td>20120529</td><td>DOWN</td><td> 50</td></tr>\n",
       "\t<tr><td>20120612</td><td>UP  </td><td> 61</td></tr>\n",
       "\t<tr><td>20120130</td><td>UP  </td><td> 42</td></tr>\n",
       "\t<tr><td>20120420</td><td>DOWN</td><td> 69</td></tr>\n",
       "\t<tr><td>20120307</td><td>UP  </td><td> 69</td></tr>\n",
       "\t<tr><td>20120308</td><td>DOWN</td><td> 29</td></tr>\n",
       "\t<tr><td>20120113</td><td>UP  </td><td> 15</td></tr>\n",
       "\t<tr><td>20120522</td><td>DOWN</td><td> 39</td></tr>\n",
       "\t<tr><td>20120604</td><td>UP  </td><td> 16</td></tr>\n",
       "\t<tr><td>20120208</td><td>DOWN</td><td>  8</td></tr>\n",
       "\t<tr><td>20120224</td><td>DOWN</td><td> 27</td></tr>\n",
       "\t<tr><td>20120509</td><td>UP  </td><td> 20</td></tr>\n",
       "\t<tr><td>20120118</td><td>UP  </td><td> 45</td></tr>\n",
       "\t<tr><td>20120302</td><td>DOWN</td><td> 13</td></tr>\n",
       "\t<tr><td>20120412</td><td>DOWN</td><td> 20</td></tr>\n",
       "\t<tr><td>20120418</td><td>DOWN</td><td> 21</td></tr>\n",
       "\t<tr><td>20120621</td><td>UP  </td><td> 32</td></tr>\n",
       "\t<tr><td>20120109</td><td>DOWN</td><td>  8</td></tr>\n",
       "\t<tr><td>20120110</td><td>DOWN</td><td>  5</td></tr>\n",
       "\t<tr><td>20120202</td><td>DOWN</td><td> 11</td></tr>\n",
       "\t<tr><td>20120328</td><td>UP  </td><td>  7</td></tr>\n",
       "\t<tr><td>20120207</td><td>UP  </td><td> 18</td></tr>\n",
       "\t<tr><td>20120117</td><td>DOWN</td><td>  5</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 234 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & situ & num\\\\\n",
       " <int> & <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120104 & DOWN & 280\\\\\n",
       "\t 20120105 & UP   &  50\\\\\n",
       "\t 20120106 & UP   & 202\\\\\n",
       "\t 20120109 & UP   & 292\\\\\n",
       "\t 20120110 & UP   & 295\\\\\n",
       "\t 20120111 & DOWN & 220\\\\\n",
       "\t 20120112 & UP   & 112\\\\\n",
       "\t 20120113 & DOWN & 285\\\\\n",
       "\t 20120116 & DOWN & 284\\\\\n",
       "\t 20120117 & UP   & 295\\\\\n",
       "\t 20120118 & DOWN & 255\\\\\n",
       "\t 20120119 & UP   & 263\\\\\n",
       "\t 20120120 & UP   & 229\\\\\n",
       "\t 20120130 & DOWN & 258\\\\\n",
       "\t 20120131 & DOWN & 158\\\\\n",
       "\t 20120201 & DOWN & 254\\\\\n",
       "\t 20120202 & UP   & 289\\\\\n",
       "\t 20120203 & UP   & 236\\\\\n",
       "\t 20120206 & DOWN & 157\\\\\n",
       "\t 20120207 & DOWN & 282\\\\\n",
       "\t 20120208 & UP   & 292\\\\\n",
       "\t 20120209 & DOWN & 147\\\\\n",
       "\t 20120210 & DOWN & 142\\\\\n",
       "\t 20120213 & DOWN & 134\\\\\n",
       "\t 20120214 & DOWN & 207\\\\\n",
       "\t 20120215 & UP   & 274\\\\\n",
       "\t 20120216 & DOWN & 222\\\\\n",
       "\t 20120217 & UP   & 116\\\\\n",
       "\t 20120220 & DOWN & 175\\\\\n",
       "\t 20120221 & UP   & 251\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120423 & UP   &  71\\\\\n",
       "\t 20120216 & UP   &  78\\\\\n",
       "\t 20120305 & UP   &  88\\\\\n",
       "\t 20120309 & DOWN &  57\\\\\n",
       "\t 20120416 & UP   & 111\\\\\n",
       "\t 20120514 & UP   &  75\\\\\n",
       "\t 20120106 & DOWN &  98\\\\\n",
       "\t 20120529 & DOWN &  50\\\\\n",
       "\t 20120612 & UP   &  61\\\\\n",
       "\t 20120130 & UP   &  42\\\\\n",
       "\t 20120420 & DOWN &  69\\\\\n",
       "\t 20120307 & UP   &  69\\\\\n",
       "\t 20120308 & DOWN &  29\\\\\n",
       "\t 20120113 & UP   &  15\\\\\n",
       "\t 20120522 & DOWN &  39\\\\\n",
       "\t 20120604 & UP   &  16\\\\\n",
       "\t 20120208 & DOWN &   8\\\\\n",
       "\t 20120224 & DOWN &  27\\\\\n",
       "\t 20120509 & UP   &  20\\\\\n",
       "\t 20120118 & UP   &  45\\\\\n",
       "\t 20120302 & DOWN &  13\\\\\n",
       "\t 20120412 & DOWN &  20\\\\\n",
       "\t 20120418 & DOWN &  21\\\\\n",
       "\t 20120621 & UP   &  32\\\\\n",
       "\t 20120109 & DOWN &   8\\\\\n",
       "\t 20120110 & DOWN &   5\\\\\n",
       "\t 20120202 & DOWN &  11\\\\\n",
       "\t 20120328 & UP   &   7\\\\\n",
       "\t 20120207 & UP   &  18\\\\\n",
       "\t 20120117 & DOWN &   5\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 234 × 3\n",
       "\n",
       "| date &lt;int&gt; | situ &lt;chr&gt; | num &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | DOWN | 280 |\n",
       "| 20120105 | UP   |  50 |\n",
       "| 20120106 | UP   | 202 |\n",
       "| 20120109 | UP   | 292 |\n",
       "| 20120110 | UP   | 295 |\n",
       "| 20120111 | DOWN | 220 |\n",
       "| 20120112 | UP   | 112 |\n",
       "| 20120113 | DOWN | 285 |\n",
       "| 20120116 | DOWN | 284 |\n",
       "| 20120117 | UP   | 295 |\n",
       "| 20120118 | DOWN | 255 |\n",
       "| 20120119 | UP   | 263 |\n",
       "| 20120120 | UP   | 229 |\n",
       "| 20120130 | DOWN | 258 |\n",
       "| 20120131 | DOWN | 158 |\n",
       "| 20120201 | DOWN | 254 |\n",
       "| 20120202 | UP   | 289 |\n",
       "| 20120203 | UP   | 236 |\n",
       "| 20120206 | DOWN | 157 |\n",
       "| 20120207 | DOWN | 282 |\n",
       "| 20120208 | UP   | 292 |\n",
       "| 20120209 | DOWN | 147 |\n",
       "| 20120210 | DOWN | 142 |\n",
       "| 20120213 | DOWN | 134 |\n",
       "| 20120214 | DOWN | 207 |\n",
       "| 20120215 | UP   | 274 |\n",
       "| 20120216 | DOWN | 222 |\n",
       "| 20120217 | UP   | 116 |\n",
       "| 20120220 | DOWN | 175 |\n",
       "| 20120221 | UP   | 251 |\n",
       "| ... | ... | ... |\n",
       "| 20120423 | UP   |  71 |\n",
       "| 20120216 | UP   |  78 |\n",
       "| 20120305 | UP   |  88 |\n",
       "| 20120309 | DOWN |  57 |\n",
       "| 20120416 | UP   | 111 |\n",
       "| 20120514 | UP   |  75 |\n",
       "| 20120106 | DOWN |  98 |\n",
       "| 20120529 | DOWN |  50 |\n",
       "| 20120612 | UP   |  61 |\n",
       "| 20120130 | UP   |  42 |\n",
       "| 20120420 | DOWN |  69 |\n",
       "| 20120307 | UP   |  69 |\n",
       "| 20120308 | DOWN |  29 |\n",
       "| 20120113 | UP   |  15 |\n",
       "| 20120522 | DOWN |  39 |\n",
       "| 20120604 | UP   |  16 |\n",
       "| 20120208 | DOWN |   8 |\n",
       "| 20120224 | DOWN |  27 |\n",
       "| 20120509 | UP   |  20 |\n",
       "| 20120118 | UP   |  45 |\n",
       "| 20120302 | DOWN |  13 |\n",
       "| 20120412 | DOWN |  20 |\n",
       "| 20120418 | DOWN |  21 |\n",
       "| 20120621 | UP   |  32 |\n",
       "| 20120109 | DOWN |   8 |\n",
       "| 20120110 | DOWN |   5 |\n",
       "| 20120202 | DOWN |  11 |\n",
       "| 20120328 | UP   |   7 |\n",
       "| 20120207 | UP   |  18 |\n",
       "| 20120117 | DOWN |   5 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     situ num\n",
       "1   20120104 DOWN 280\n",
       "2   20120105 UP    50\n",
       "3   20120106 UP   202\n",
       "4   20120109 UP   292\n",
       "5   20120110 UP   295\n",
       "6   20120111 DOWN 220\n",
       "7   20120112 UP   112\n",
       "8   20120113 DOWN 285\n",
       "9   20120116 DOWN 284\n",
       "10  20120117 UP   295\n",
       "11  20120118 DOWN 255\n",
       "12  20120119 UP   263\n",
       "13  20120120 UP   229\n",
       "14  20120130 DOWN 258\n",
       "15  20120131 DOWN 158\n",
       "16  20120201 DOWN 254\n",
       "17  20120202 UP   289\n",
       "18  20120203 UP   236\n",
       "19  20120206 DOWN 157\n",
       "20  20120207 DOWN 282\n",
       "21  20120208 UP   292\n",
       "22  20120209 DOWN 147\n",
       "23  20120210 DOWN 142\n",
       "24  20120213 DOWN 134\n",
       "25  20120214 DOWN 207\n",
       "26  20120215 UP   274\n",
       "27  20120216 DOWN 222\n",
       "28  20120217 UP   116\n",
       "29  20120220 DOWN 175\n",
       "30  20120221 UP   251\n",
       "... ...      ...  ...\n",
       "205 20120423 UP    71\n",
       "206 20120216 UP    78\n",
       "207 20120305 UP    88\n",
       "208 20120309 DOWN  57\n",
       "209 20120416 UP   111\n",
       "210 20120514 UP    75\n",
       "211 20120106 DOWN  98\n",
       "212 20120529 DOWN  50\n",
       "213 20120612 UP    61\n",
       "214 20120130 UP    42\n",
       "215 20120420 DOWN  69\n",
       "216 20120307 UP    69\n",
       "217 20120308 DOWN  29\n",
       "218 20120113 UP    15\n",
       "219 20120522 DOWN  39\n",
       "220 20120604 UP    16\n",
       "221 20120208 DOWN   8\n",
       "222 20120224 DOWN  27\n",
       "223 20120509 UP    20\n",
       "224 20120118 UP    45\n",
       "225 20120302 DOWN  13\n",
       "226 20120412 DOWN  20\n",
       "227 20120418 DOWN  21\n",
       "228 20120621 UP    32\n",
       "229 20120109 DOWN   8\n",
       "230 20120110 DOWN   5\n",
       "231 20120202 DOWN  11\n",
       "232 20120328 UP     7\n",
       "233 20120207 UP    18\n",
       "234 20120117 DOWN   5"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[index_w300 > 0, .(num = uniqueN(symbol)), by = .(date, situ = ifelse(close - pre_close > 0, \"UP\", \"DOWN\"))]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *5. 每天每个行业各有多少只股票？*\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3744 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>industry</th><th scope=col>stk_num</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120105</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120106</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120109</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120110</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120111</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120112</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120113</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120116</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120117</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120118</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120119</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120120</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120130</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120131</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120201</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120202</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120203</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120206</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120207</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120208</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120209</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120210</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120213</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120214</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120215</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120216</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120217</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120220</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>20120221</td><td>BANKS</td><td>16</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120615</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120618</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120619</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120620</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120621</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120625</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120626</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120627</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120628</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120629</td><td>COMSERV</td><td>29</td></tr>\n",
       "\t<tr><td>20120601</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120604</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120605</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120606</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120607</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120608</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120611</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120612</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120613</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120614</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120615</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120618</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120619</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120620</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120621</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120625</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120626</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120627</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120628</td><td>INDCONG</td><td>11</td></tr>\n",
       "\t<tr><td>20120629</td><td>INDCONG</td><td>11</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3744 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & industry & stk\\_num\\\\\n",
       " <int> & <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120104 & BANKS & 16\\\\\n",
       "\t 20120105 & BANKS & 16\\\\\n",
       "\t 20120106 & BANKS & 16\\\\\n",
       "\t 20120109 & BANKS & 16\\\\\n",
       "\t 20120110 & BANKS & 16\\\\\n",
       "\t 20120111 & BANKS & 16\\\\\n",
       "\t 20120112 & BANKS & 16\\\\\n",
       "\t 20120113 & BANKS & 16\\\\\n",
       "\t 20120116 & BANKS & 16\\\\\n",
       "\t 20120117 & BANKS & 16\\\\\n",
       "\t 20120118 & BANKS & 16\\\\\n",
       "\t 20120119 & BANKS & 16\\\\\n",
       "\t 20120120 & BANKS & 16\\\\\n",
       "\t 20120130 & BANKS & 16\\\\\n",
       "\t 20120131 & BANKS & 16\\\\\n",
       "\t 20120201 & BANKS & 16\\\\\n",
       "\t 20120202 & BANKS & 16\\\\\n",
       "\t 20120203 & BANKS & 16\\\\\n",
       "\t 20120206 & BANKS & 16\\\\\n",
       "\t 20120207 & BANKS & 16\\\\\n",
       "\t 20120208 & BANKS & 16\\\\\n",
       "\t 20120209 & BANKS & 16\\\\\n",
       "\t 20120210 & BANKS & 16\\\\\n",
       "\t 20120213 & BANKS & 16\\\\\n",
       "\t 20120214 & BANKS & 16\\\\\n",
       "\t 20120215 & BANKS & 16\\\\\n",
       "\t 20120216 & BANKS & 16\\\\\n",
       "\t 20120217 & BANKS & 16\\\\\n",
       "\t 20120220 & BANKS & 16\\\\\n",
       "\t 20120221 & BANKS & 16\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120615 & COMSERV & 29\\\\\n",
       "\t 20120618 & COMSERV & 29\\\\\n",
       "\t 20120619 & COMSERV & 29\\\\\n",
       "\t 20120620 & COMSERV & 29\\\\\n",
       "\t 20120621 & COMSERV & 29\\\\\n",
       "\t 20120625 & COMSERV & 29\\\\\n",
       "\t 20120626 & COMSERV & 29\\\\\n",
       "\t 20120627 & COMSERV & 29\\\\\n",
       "\t 20120628 & COMSERV & 29\\\\\n",
       "\t 20120629 & COMSERV & 29\\\\\n",
       "\t 20120601 & INDCONG & 11\\\\\n",
       "\t 20120604 & INDCONG & 11\\\\\n",
       "\t 20120605 & INDCONG & 11\\\\\n",
       "\t 20120606 & INDCONG & 11\\\\\n",
       "\t 20120607 & INDCONG & 11\\\\\n",
       "\t 20120608 & INDCONG & 11\\\\\n",
       "\t 20120611 & INDCONG & 11\\\\\n",
       "\t 20120612 & INDCONG & 11\\\\\n",
       "\t 20120613 & INDCONG & 11\\\\\n",
       "\t 20120614 & INDCONG & 11\\\\\n",
       "\t 20120615 & INDCONG & 11\\\\\n",
       "\t 20120618 & INDCONG & 11\\\\\n",
       "\t 20120619 & INDCONG & 11\\\\\n",
       "\t 20120620 & INDCONG & 11\\\\\n",
       "\t 20120621 & INDCONG & 11\\\\\n",
       "\t 20120625 & INDCONG & 11\\\\\n",
       "\t 20120626 & INDCONG & 11\\\\\n",
       "\t 20120627 & INDCONG & 11\\\\\n",
       "\t 20120628 & INDCONG & 11\\\\\n",
       "\t 20120629 & INDCONG & 11\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3744 × 3\n",
       "\n",
       "| date &lt;int&gt; | industry &lt;chr&gt; | stk_num &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | BANKS | 16 |\n",
       "| 20120105 | BANKS | 16 |\n",
       "| 20120106 | BANKS | 16 |\n",
       "| 20120109 | BANKS | 16 |\n",
       "| 20120110 | BANKS | 16 |\n",
       "| 20120111 | BANKS | 16 |\n",
       "| 20120112 | BANKS | 16 |\n",
       "| 20120113 | BANKS | 16 |\n",
       "| 20120116 | BANKS | 16 |\n",
       "| 20120117 | BANKS | 16 |\n",
       "| 20120118 | BANKS | 16 |\n",
       "| 20120119 | BANKS | 16 |\n",
       "| 20120120 | BANKS | 16 |\n",
       "| 20120130 | BANKS | 16 |\n",
       "| 20120131 | BANKS | 16 |\n",
       "| 20120201 | BANKS | 16 |\n",
       "| 20120202 | BANKS | 16 |\n",
       "| 20120203 | BANKS | 16 |\n",
       "| 20120206 | BANKS | 16 |\n",
       "| 20120207 | BANKS | 16 |\n",
       "| 20120208 | BANKS | 16 |\n",
       "| 20120209 | BANKS | 16 |\n",
       "| 20120210 | BANKS | 16 |\n",
       "| 20120213 | BANKS | 16 |\n",
       "| 20120214 | BANKS | 16 |\n",
       "| 20120215 | BANKS | 16 |\n",
       "| 20120216 | BANKS | 16 |\n",
       "| 20120217 | BANKS | 16 |\n",
       "| 20120220 | BANKS | 16 |\n",
       "| 20120221 | BANKS | 16 |\n",
       "| ... | ... | ... |\n",
       "| 20120615 | COMSERV | 29 |\n",
       "| 20120618 | COMSERV | 29 |\n",
       "| 20120619 | COMSERV | 29 |\n",
       "| 20120620 | COMSERV | 29 |\n",
       "| 20120621 | COMSERV | 29 |\n",
       "| 20120625 | COMSERV | 29 |\n",
       "| 20120626 | COMSERV | 29 |\n",
       "| 20120627 | COMSERV | 29 |\n",
       "| 20120628 | COMSERV | 29 |\n",
       "| 20120629 | COMSERV | 29 |\n",
       "| 20120601 | INDCONG | 11 |\n",
       "| 20120604 | INDCONG | 11 |\n",
       "| 20120605 | INDCONG | 11 |\n",
       "| 20120606 | INDCONG | 11 |\n",
       "| 20120607 | INDCONG | 11 |\n",
       "| 20120608 | INDCONG | 11 |\n",
       "| 20120611 | INDCONG | 11 |\n",
       "| 20120612 | INDCONG | 11 |\n",
       "| 20120613 | INDCONG | 11 |\n",
       "| 20120614 | INDCONG | 11 |\n",
       "| 20120615 | INDCONG | 11 |\n",
       "| 20120618 | INDCONG | 11 |\n",
       "| 20120619 | INDCONG | 11 |\n",
       "| 20120620 | INDCONG | 11 |\n",
       "| 20120621 | INDCONG | 11 |\n",
       "| 20120625 | INDCONG | 11 |\n",
       "| 20120626 | INDCONG | 11 |\n",
       "| 20120627 | INDCONG | 11 |\n",
       "| 20120628 | INDCONG | 11 |\n",
       "| 20120629 | INDCONG | 11 |\n",
       "\n"
      ],
      "text/plain": [
       "     date     industry stk_num\n",
       "1    20120104 BANKS    16     \n",
       "2    20120105 BANKS    16     \n",
       "3    20120106 BANKS    16     \n",
       "4    20120109 BANKS    16     \n",
       "5    20120110 BANKS    16     \n",
       "6    20120111 BANKS    16     \n",
       "7    20120112 BANKS    16     \n",
       "8    20120113 BANKS    16     \n",
       "9    20120116 BANKS    16     \n",
       "10   20120117 BANKS    16     \n",
       "11   20120118 BANKS    16     \n",
       "12   20120119 BANKS    16     \n",
       "13   20120120 BANKS    16     \n",
       "14   20120130 BANKS    16     \n",
       "15   20120131 BANKS    16     \n",
       "16   20120201 BANKS    16     \n",
       "17   20120202 BANKS    16     \n",
       "18   20120203 BANKS    16     \n",
       "19   20120206 BANKS    16     \n",
       "20   20120207 BANKS    16     \n",
       "21   20120208 BANKS    16     \n",
       "22   20120209 BANKS    16     \n",
       "23   20120210 BANKS    16     \n",
       "24   20120213 BANKS    16     \n",
       "25   20120214 BANKS    16     \n",
       "26   20120215 BANKS    16     \n",
       "27   20120216 BANKS    16     \n",
       "28   20120217 BANKS    16     \n",
       "29   20120220 BANKS    16     \n",
       "30   20120221 BANKS    16     \n",
       "...  ...      ...      ...    \n",
       "3715 20120615 COMSERV  29     \n",
       "3716 20120618 COMSERV  29     \n",
       "3717 20120619 COMSERV  29     \n",
       "3718 20120620 COMSERV  29     \n",
       "3719 20120621 COMSERV  29     \n",
       "3720 20120625 COMSERV  29     \n",
       "3721 20120626 COMSERV  29     \n",
       "3722 20120627 COMSERV  29     \n",
       "3723 20120628 COMSERV  29     \n",
       "3724 20120629 COMSERV  29     \n",
       "3725 20120601 INDCONG  11     \n",
       "3726 20120604 INDCONG  11     \n",
       "3727 20120605 INDCONG  11     \n",
       "3728 20120606 INDCONG  11     \n",
       "3729 20120607 INDCONG  11     \n",
       "3730 20120608 INDCONG  11     \n",
       "3731 20120611 INDCONG  11     \n",
       "3732 20120612 INDCONG  11     \n",
       "3733 20120613 INDCONG  11     \n",
       "3734 20120614 INDCONG  11     \n",
       "3735 20120615 INDCONG  11     \n",
       "3736 20120618 INDCONG  11     \n",
       "3737 20120619 INDCONG  11     \n",
       "3738 20120620 INDCONG  11     \n",
       "3739 20120621 INDCONG  11     \n",
       "3740 20120625 INDCONG  11     \n",
       "3741 20120626 INDCONG  11     \n",
       "3742 20120627 INDCONG  11     \n",
       "3743 20120628 INDCONG  11     \n",
       "3744 20120629 INDCONG  11     "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stk_num = uniqueN(symbol)), by = .(date, industry)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "toc-hr-collapsed": false
   },
   "source": [
    "#### *6. 股票数最大的行业和总成交额最大的行业是否总是同一个行业？*"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "##### 6.1 *Key 1*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\t<li>FALSE</li>\n",
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       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
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       "\t<li>FALSE</li>\n",
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       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
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       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "\t<li>FALSE</li>\n",
       "</ol>\n"
      ],
      "text/latex": [
       "\\begin{enumerate*}\n",
       "\\item TRUE\n",
       "\\item FALSE\n",
       "\\item TRUE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item TRUE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item TRUE\n",
       "\\item TRUE\n",
       "\\item TRUE\n",
       "\\item TRUE\n",
       "\\item TRUE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item TRUE\n",
       "\\item TRUE\n",
       "\\item TRUE\n",
       "\\item FALSE\n",
       "\\item TRUE\n",
       "\\item TRUE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item TRUE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item TRUE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\item FALSE\n",
       "\\end{enumerate*}\n"
      ],
      "text/markdown": [
       "1. TRUE\n",
       "2. FALSE\n",
       "3. TRUE\n",
       "4. FALSE\n",
       "5. FALSE\n",
       "6. FALSE\n",
       "7. FALSE\n",
       "8. FALSE\n",
       "9. FALSE\n",
       "10. FALSE\n",
       "11. FALSE\n",
       "12. FALSE\n",
       "13. FALSE\n",
       "14. FALSE\n",
       "15. FALSE\n",
       "16. FALSE\n",
       "17. FALSE\n",
       "18. FALSE\n",
       "19. FALSE\n",
       "20. FALSE\n",
       "21. FALSE\n",
       "22. FALSE\n",
       "23. FALSE\n",
       "24. TRUE\n",
       "25. FALSE\n",
       "26. FALSE\n",
       "27. TRUE\n",
       "28. TRUE\n",
       "29. TRUE\n",
       "30. TRUE\n",
       "31. TRUE\n",
       "32. FALSE\n",
       "33. FALSE\n",
       "34. FALSE\n",
       "35. FALSE\n",
       "36. FALSE\n",
       "37. TRUE\n",
       "38. TRUE\n",
       "39. TRUE\n",
       "40. FALSE\n",
       "41. TRUE\n",
       "42. TRUE\n",
       "43. FALSE\n",
       "44. FALSE\n",
       "45. FALSE\n",
       "46. FALSE\n",
       "47. FALSE\n",
       "48. FALSE\n",
       "49. FALSE\n",
       "50. FALSE\n",
       "51. FALSE\n",
       "52. FALSE\n",
       "53. FALSE\n",
       "54. FALSE\n",
       "55. FALSE\n",
       "56. FALSE\n",
       "57. FALSE\n",
       "58. FALSE\n",
       "59. FALSE\n",
       "60. FALSE\n",
       "61. FALSE\n",
       "62. FALSE\n",
       "63. FALSE\n",
       "64. FALSE\n",
       "65. FALSE\n",
       "66. FALSE\n",
       "67. FALSE\n",
       "68. TRUE\n",
       "69. FALSE\n",
       "70. FALSE\n",
       "71. FALSE\n",
       "72. FALSE\n",
       "73. FALSE\n",
       "74. FALSE\n",
       "75. FALSE\n",
       "76. FALSE\n",
       "77. FALSE\n",
       "78. FALSE\n",
       "79. FALSE\n",
       "80. FALSE\n",
       "81. FALSE\n",
       "82. FALSE\n",
       "83. FALSE\n",
       "84. FALSE\n",
       "85. FALSE\n",
       "86. FALSE\n",
       "87. FALSE\n",
       "88. FALSE\n",
       "89. FALSE\n",
       "90. FALSE\n",
       "91. FALSE\n",
       "92. FALSE\n",
       "93. FALSE\n",
       "94. FALSE\n",
       "95. FALSE\n",
       "96. FALSE\n",
       "97. TRUE\n",
       "98. FALSE\n",
       "99. FALSE\n",
       "100. FALSE\n",
       "101. FALSE\n",
       "102. FALSE\n",
       "103. FALSE\n",
       "104. FALSE\n",
       "105. FALSE\n",
       "106. FALSE\n",
       "107. FALSE\n",
       "108. FALSE\n",
       "109. FALSE\n",
       "110. FALSE\n",
       "111. FALSE\n",
       "112. FALSE\n",
       "113. FALSE\n",
       "114. FALSE\n",
       "115. FALSE\n",
       "116. FALSE\n",
       "117. FALSE\n",
       "\n",
       "\n"
      ],
      "text/plain": [
       "  [1]  TRUE FALSE  TRUE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE\n",
       " [13] FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE  TRUE\n",
       " [25] FALSE FALSE  TRUE  TRUE  TRUE  TRUE  TRUE FALSE FALSE FALSE FALSE FALSE\n",
       " [37]  TRUE  TRUE  TRUE FALSE  TRUE  TRUE FALSE FALSE FALSE FALSE FALSE FALSE\n",
       " [49] FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE\n",
       " [61] FALSE FALSE FALSE FALSE FALSE FALSE FALSE  TRUE FALSE FALSE FALSE FALSE\n",
       " [73] FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE\n",
       " [85] FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE\n",
       " [97]  TRUE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE\n",
       "[109] FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE FALSE"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data1 <- data[, .(trd_amount = sum(amount), stk_num = uniqueN(symbol)), by = .(date, industry)]\n",
    "data1[data1[, .I[trd_amount == max(trd_amount)], by = date]$V1]$industry == data1[data1[, .I[stk_num == max(stk_num)], by = date]$V1]$industry"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "##### 6.2 *Key 2*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 15 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>industry</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120106</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120213</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120216</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120217</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120220</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120221</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120222</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120301</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120302</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120305</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120307</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120308</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120418</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120531</td><td>HDWRSEMI</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 15 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date & industry\\\\\n",
       " <int> & <chr>\\\\\n",
       "\\hline\n",
       "\t 20120104 & HDWRSEMI\\\\\n",
       "\t 20120106 & HDWRSEMI\\\\\n",
       "\t 20120213 & HDWRSEMI\\\\\n",
       "\t 20120216 & HDWRSEMI\\\\\n",
       "\t 20120217 & HDWRSEMI\\\\\n",
       "\t 20120220 & HDWRSEMI\\\\\n",
       "\t 20120221 & HDWRSEMI\\\\\n",
       "\t 20120222 & HDWRSEMI\\\\\n",
       "\t 20120301 & HDWRSEMI\\\\\n",
       "\t 20120302 & HDWRSEMI\\\\\n",
       "\t 20120305 & HDWRSEMI\\\\\n",
       "\t 20120307 & HDWRSEMI\\\\\n",
       "\t 20120308 & HDWRSEMI\\\\\n",
       "\t 20120418 & HDWRSEMI\\\\\n",
       "\t 20120531 & HDWRSEMI\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 15 × 2\n",
       "\n",
       "| date &lt;int&gt; | industry &lt;chr&gt; |\n",
       "|---|---|\n",
       "| 20120104 | HDWRSEMI |\n",
       "| 20120106 | HDWRSEMI |\n",
       "| 20120213 | HDWRSEMI |\n",
       "| 20120216 | HDWRSEMI |\n",
       "| 20120217 | HDWRSEMI |\n",
       "| 20120220 | HDWRSEMI |\n",
       "| 20120221 | HDWRSEMI |\n",
       "| 20120222 | HDWRSEMI |\n",
       "| 20120301 | HDWRSEMI |\n",
       "| 20120302 | HDWRSEMI |\n",
       "| 20120305 | HDWRSEMI |\n",
       "| 20120307 | HDWRSEMI |\n",
       "| 20120308 | HDWRSEMI |\n",
       "| 20120418 | HDWRSEMI |\n",
       "| 20120531 | HDWRSEMI |\n",
       "\n"
      ],
      "text/plain": [
       "   date     industry\n",
       "1  20120104 HDWRSEMI\n",
       "2  20120106 HDWRSEMI\n",
       "3  20120213 HDWRSEMI\n",
       "4  20120216 HDWRSEMI\n",
       "5  20120217 HDWRSEMI\n",
       "6  20120220 HDWRSEMI\n",
       "7  20120221 HDWRSEMI\n",
       "8  20120222 HDWRSEMI\n",
       "9  20120301 HDWRSEMI\n",
       "10 20120302 HDWRSEMI\n",
       "11 20120305 HDWRSEMI\n",
       "12 20120307 HDWRSEMI\n",
       "13 20120308 HDWRSEMI\n",
       "14 20120418 HDWRSEMI\n",
       "15 20120531 HDWRSEMI"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(trd_amount = sum(amount), stk_num = uniqueN(symbol)), by = .(date, industry)\n",
    "    ][, .SD[trd_amount == max(trd_amount) & stk_num == max(stk_num), .(industry)], keyby = .(date)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *7. 每天涨幅超过5%、跌幅超过5%的股票各有多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 220 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>tag</th><th scope=col>date</th><th scope=col>symbol_amount</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>up5%ext  </td><td>20120227</td><td>  47</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120228</td><td>  50</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120319</td><td> 109</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120117</td><td>1430</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120106</td><td>  51</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120111</td><td>  71</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120116</td><td> 514</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120314</td><td>  23</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120320</td><td>  23</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120328</td><td>1112</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120405</td><td> 248</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120510</td><td>  52</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120625</td><td> 275</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120605</td><td>  25</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120613</td><td>  99</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120518</td><td>  41</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120215</td><td>  83</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120109</td><td> 558</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120625</td><td>  27</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120110</td><td> 504</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120621</td><td>  48</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120418</td><td> 112</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120522</td><td>  53</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120314</td><td>1138</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120528</td><td> 117</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120529</td><td>  79</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120604</td><td> 435</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120308</td><td>  65</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120309</td><td>  81</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120507</td><td> 101</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120507</td><td> 2</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120604</td><td> 8</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120522</td><td> 2</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120523</td><td> 9</td></tr>\n",
       "\t<tr><td>up5%ext  </td><td>20120105</td><td>10</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120619</td><td>10</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120611</td><td> 8</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120607</td><td>11</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120316</td><td> 7</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120217</td><td> 3</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120130</td><td> 8</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120425</td><td>19</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120111</td><td> 3</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120530</td><td> 2</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120411</td><td> 2</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120301</td><td> 3</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120618</td><td> 2</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120216</td><td> 2</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120220</td><td> 1</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120416</td><td>11</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120319</td><td> 4</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120221</td><td> 1</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120601</td><td> 5</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120420</td><td> 5</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120405</td><td> 5</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120406</td><td> 2</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120410</td><td> 6</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120412</td><td> 1</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120308</td><td> 1</td></tr>\n",
       "\t<tr><td>down5%ext</td><td>20120109</td><td> 1</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 220 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " tag & date & symbol\\_amount\\\\\n",
       " <chr> & <int> & <int>\\\\\n",
       "\\hline\n",
       "\t up5\\%ext   & 20120227 &   47\\\\\n",
       "\t up5\\%ext   & 20120228 &   50\\\\\n",
       "\t up5\\%ext   & 20120319 &  109\\\\\n",
       "\t up5\\%ext   & 20120117 & 1430\\\\\n",
       "\t up5\\%ext   & 20120106 &   51\\\\\n",
       "\t up5\\%ext   & 20120111 &   71\\\\\n",
       "\t down5\\%ext & 20120116 &  514\\\\\n",
       "\t up5\\%ext   & 20120314 &   23\\\\\n",
       "\t up5\\%ext   & 20120320 &   23\\\\\n",
       "\t down5\\%ext & 20120328 & 1112\\\\\n",
       "\t up5\\%ext   & 20120405 &  248\\\\\n",
       "\t up5\\%ext   & 20120510 &   52\\\\\n",
       "\t down5\\%ext & 20120625 &  275\\\\\n",
       "\t up5\\%ext   & 20120605 &   25\\\\\n",
       "\t up5\\%ext   & 20120613 &   99\\\\\n",
       "\t up5\\%ext   & 20120518 &   41\\\\\n",
       "\t up5\\%ext   & 20120215 &   83\\\\\n",
       "\t up5\\%ext   & 20120109 &  558\\\\\n",
       "\t up5\\%ext   & 20120625 &   27\\\\\n",
       "\t up5\\%ext   & 20120110 &  504\\\\\n",
       "\t down5\\%ext & 20120621 &   48\\\\\n",
       "\t up5\\%ext   & 20120418 &  112\\\\\n",
       "\t up5\\%ext   & 20120522 &   53\\\\\n",
       "\t down5\\%ext & 20120314 & 1138\\\\\n",
       "\t up5\\%ext   & 20120528 &  117\\\\\n",
       "\t up5\\%ext   & 20120529 &   79\\\\\n",
       "\t down5\\%ext & 20120604 &  435\\\\\n",
       "\t up5\\%ext   & 20120308 &   65\\\\\n",
       "\t up5\\%ext   & 20120309 &   81\\\\\n",
       "\t up5\\%ext   & 20120507 &  101\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t down5\\%ext & 20120507 &  2\\\\\n",
       "\t up5\\%ext   & 20120604 &  8\\\\\n",
       "\t down5\\%ext & 20120522 &  2\\\\\n",
       "\t down5\\%ext & 20120523 &  9\\\\\n",
       "\t up5\\%ext   & 20120105 & 10\\\\\n",
       "\t down5\\%ext & 20120619 & 10\\\\\n",
       "\t down5\\%ext & 20120611 &  8\\\\\n",
       "\t down5\\%ext & 20120607 & 11\\\\\n",
       "\t down5\\%ext & 20120316 &  7\\\\\n",
       "\t down5\\%ext & 20120217 &  3\\\\\n",
       "\t down5\\%ext & 20120130 &  8\\\\\n",
       "\t down5\\%ext & 20120425 & 19\\\\\n",
       "\t down5\\%ext & 20120111 &  3\\\\\n",
       "\t down5\\%ext & 20120530 &  2\\\\\n",
       "\t down5\\%ext & 20120411 &  2\\\\\n",
       "\t down5\\%ext & 20120301 &  3\\\\\n",
       "\t down5\\%ext & 20120618 &  2\\\\\n",
       "\t down5\\%ext & 20120216 &  2\\\\\n",
       "\t down5\\%ext & 20120220 &  1\\\\\n",
       "\t down5\\%ext & 20120416 & 11\\\\\n",
       "\t down5\\%ext & 20120319 &  4\\\\\n",
       "\t down5\\%ext & 20120221 &  1\\\\\n",
       "\t down5\\%ext & 20120601 &  5\\\\\n",
       "\t down5\\%ext & 20120420 &  5\\\\\n",
       "\t down5\\%ext & 20120405 &  5\\\\\n",
       "\t down5\\%ext & 20120406 &  2\\\\\n",
       "\t down5\\%ext & 20120410 &  6\\\\\n",
       "\t down5\\%ext & 20120412 &  1\\\\\n",
       "\t down5\\%ext & 20120308 &  1\\\\\n",
       "\t down5\\%ext & 20120109 &  1\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 220 × 3\n",
       "\n",
       "| tag &lt;chr&gt; | date &lt;int&gt; | symbol_amount &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| up5%ext   | 20120227 |   47 |\n",
       "| up5%ext   | 20120228 |   50 |\n",
       "| up5%ext   | 20120319 |  109 |\n",
       "| up5%ext   | 20120117 | 1430 |\n",
       "| up5%ext   | 20120106 |   51 |\n",
       "| up5%ext   | 20120111 |   71 |\n",
       "| down5%ext | 20120116 |  514 |\n",
       "| up5%ext   | 20120314 |   23 |\n",
       "| up5%ext   | 20120320 |   23 |\n",
       "| down5%ext | 20120328 | 1112 |\n",
       "| up5%ext   | 20120405 |  248 |\n",
       "| up5%ext   | 20120510 |   52 |\n",
       "| down5%ext | 20120625 |  275 |\n",
       "| up5%ext   | 20120605 |   25 |\n",
       "| up5%ext   | 20120613 |   99 |\n",
       "| up5%ext   | 20120518 |   41 |\n",
       "| up5%ext   | 20120215 |   83 |\n",
       "| up5%ext   | 20120109 |  558 |\n",
       "| up5%ext   | 20120625 |   27 |\n",
       "| up5%ext   | 20120110 |  504 |\n",
       "| down5%ext | 20120621 |   48 |\n",
       "| up5%ext   | 20120418 |  112 |\n",
       "| up5%ext   | 20120522 |   53 |\n",
       "| down5%ext | 20120314 | 1138 |\n",
       "| up5%ext   | 20120528 |  117 |\n",
       "| up5%ext   | 20120529 |   79 |\n",
       "| down5%ext | 20120604 |  435 |\n",
       "| up5%ext   | 20120308 |   65 |\n",
       "| up5%ext   | 20120309 |   81 |\n",
       "| up5%ext   | 20120507 |  101 |\n",
       "| ... | ... | ... |\n",
       "| down5%ext | 20120507 |  2 |\n",
       "| up5%ext   | 20120604 |  8 |\n",
       "| down5%ext | 20120522 |  2 |\n",
       "| down5%ext | 20120523 |  9 |\n",
       "| up5%ext   | 20120105 | 10 |\n",
       "| down5%ext | 20120619 | 10 |\n",
       "| down5%ext | 20120611 |  8 |\n",
       "| down5%ext | 20120607 | 11 |\n",
       "| down5%ext | 20120316 |  7 |\n",
       "| down5%ext | 20120217 |  3 |\n",
       "| down5%ext | 20120130 |  8 |\n",
       "| down5%ext | 20120425 | 19 |\n",
       "| down5%ext | 20120111 |  3 |\n",
       "| down5%ext | 20120530 |  2 |\n",
       "| down5%ext | 20120411 |  2 |\n",
       "| down5%ext | 20120301 |  3 |\n",
       "| down5%ext | 20120618 |  2 |\n",
       "| down5%ext | 20120216 |  2 |\n",
       "| down5%ext | 20120220 |  1 |\n",
       "| down5%ext | 20120416 | 11 |\n",
       "| down5%ext | 20120319 |  4 |\n",
       "| down5%ext | 20120221 |  1 |\n",
       "| down5%ext | 20120601 |  5 |\n",
       "| down5%ext | 20120420 |  5 |\n",
       "| down5%ext | 20120405 |  5 |\n",
       "| down5%ext | 20120406 |  2 |\n",
       "| down5%ext | 20120410 |  6 |\n",
       "| down5%ext | 20120412 |  1 |\n",
       "| down5%ext | 20120308 |  1 |\n",
       "| down5%ext | 20120109 |  1 |\n",
       "\n"
      ],
      "text/plain": [
       "    tag       date     symbol_amount\n",
       "1   up5%ext   20120227   47         \n",
       "2   up5%ext   20120228   50         \n",
       "3   up5%ext   20120319  109         \n",
       "4   up5%ext   20120117 1430         \n",
       "5   up5%ext   20120106   51         \n",
       "6   up5%ext   20120111   71         \n",
       "7   down5%ext 20120116  514         \n",
       "8   up5%ext   20120314   23         \n",
       "9   up5%ext   20120320   23         \n",
       "10  down5%ext 20120328 1112         \n",
       "11  up5%ext   20120405  248         \n",
       "12  up5%ext   20120510   52         \n",
       "13  down5%ext 20120625  275         \n",
       "14  up5%ext   20120605   25         \n",
       "15  up5%ext   20120613   99         \n",
       "16  up5%ext   20120518   41         \n",
       "17  up5%ext   20120215   83         \n",
       "18  up5%ext   20120109  558         \n",
       "19  up5%ext   20120625   27         \n",
       "20  up5%ext   20120110  504         \n",
       "21  down5%ext 20120621   48         \n",
       "22  up5%ext   20120418  112         \n",
       "23  up5%ext   20120522   53         \n",
       "24  down5%ext 20120314 1138         \n",
       "25  up5%ext   20120528  117         \n",
       "26  up5%ext   20120529   79         \n",
       "27  down5%ext 20120604  435         \n",
       "28  up5%ext   20120308   65         \n",
       "29  up5%ext   20120309   81         \n",
       "30  up5%ext   20120507  101         \n",
       "... ...       ...      ...          \n",
       "191 down5%ext 20120507  2           \n",
       "192 up5%ext   20120604  8           \n",
       "193 down5%ext 20120522  2           \n",
       "194 down5%ext 20120523  9           \n",
       "195 up5%ext   20120105 10           \n",
       "196 down5%ext 20120619 10           \n",
       "197 down5%ext 20120611  8           \n",
       "198 down5%ext 20120607 11           \n",
       "199 down5%ext 20120316  7           \n",
       "200 down5%ext 20120217  3           \n",
       "201 down5%ext 20120130  8           \n",
       "202 down5%ext 20120425 19           \n",
       "203 down5%ext 20120111  3           \n",
       "204 down5%ext 20120530  2           \n",
       "205 down5%ext 20120411  2           \n",
       "206 down5%ext 20120301  3           \n",
       "207 down5%ext 20120618  2           \n",
       "208 down5%ext 20120216  2           \n",
       "209 down5%ext 20120220  1           \n",
       "210 down5%ext 20120416 11           \n",
       "211 down5%ext 20120319  4           \n",
       "212 down5%ext 20120221  1           \n",
       "213 down5%ext 20120601  5           \n",
       "214 down5%ext 20120420  5           \n",
       "215 down5%ext 20120405  5           \n",
       "216 down5%ext 20120406  2           \n",
       "217 down5%ext 20120410  6           \n",
       "218 down5%ext 20120412  1           \n",
       "219 down5%ext 20120308  1           \n",
       "220 down5%ext 20120109  1           "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[(close - pre_close)/pre_close > 0.05 | (close - pre_close)/pre_close < -0.05, .(symbol_amount = uniqueN(symbol)), by = .(tag = ifelse((close - pre_close)/pre_close > 0.05, \"up5%ext\", \"down5%ext\"), date)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *8. 每天涨幅前10的股票的总成交额和跌幅前10的股票的总成交额比例是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 117 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>ratio</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>0.4872509</td></tr>\n",
       "\t<tr><td>20120105</td><td>0.4865540</td></tr>\n",
       "\t<tr><td>20120106</td><td>0.6407234</td></tr>\n",
       "\t<tr><td>20120109</td><td>0.3406203</td></tr>\n",
       "\t<tr><td>20120110</td><td>1.7591140</td></tr>\n",
       "\t<tr><td>20120111</td><td>0.6983067</td></tr>\n",
       "\t<tr><td>20120112</td><td>2.2585934</td></tr>\n",
       "\t<tr><td>20120113</td><td>0.2505291</td></tr>\n",
       "\t<tr><td>20120116</td><td>1.2686356</td></tr>\n",
       "\t<tr><td>20120117</td><td>0.3230138</td></tr>\n",
       "\t<tr><td>20120118</td><td>0.5485787</td></tr>\n",
       "\t<tr><td>20120119</td><td>1.8044949</td></tr>\n",
       "\t<tr><td>20120120</td><td>2.4861882</td></tr>\n",
       "\t<tr><td>20120130</td><td>1.8265976</td></tr>\n",
       "\t<tr><td>20120131</td><td>0.5960954</td></tr>\n",
       "\t<tr><td>20120201</td><td>1.1580731</td></tr>\n",
       "\t<tr><td>20120202</td><td>1.1295453</td></tr>\n",
       "\t<tr><td>20120203</td><td>1.4241718</td></tr>\n",
       "\t<tr><td>20120206</td><td>1.5341702</td></tr>\n",
       "\t<tr><td>20120207</td><td>0.5099599</td></tr>\n",
       "\t<tr><td>20120208</td><td>0.8986844</td></tr>\n",
       "\t<tr><td>20120209</td><td>0.7990737</td></tr>\n",
       "\t<tr><td>20120210</td><td>0.2070284</td></tr>\n",
       "\t<tr><td>20120213</td><td>0.6177778</td></tr>\n",
       "\t<tr><td>20120214</td><td>1.1275207</td></tr>\n",
       "\t<tr><td>20120215</td><td>1.1107586</td></tr>\n",
       "\t<tr><td>20120216</td><td>0.3230486</td></tr>\n",
       "\t<tr><td>20120217</td><td>0.2261468</td></tr>\n",
       "\t<tr><td>20120220</td><td>0.5446072</td></tr>\n",
       "\t<tr><td>20120221</td><td>0.4907636</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120518</td><td>1.6580088</td></tr>\n",
       "\t<tr><td>20120521</td><td>0.5115863</td></tr>\n",
       "\t<tr><td>20120522</td><td>0.6631375</td></tr>\n",
       "\t<tr><td>20120523</td><td>0.2716677</td></tr>\n",
       "\t<tr><td>20120524</td><td>1.7208419</td></tr>\n",
       "\t<tr><td>20120525</td><td>0.3971556</td></tr>\n",
       "\t<tr><td>20120528</td><td>0.3466847</td></tr>\n",
       "\t<tr><td>20120529</td><td>0.5596081</td></tr>\n",
       "\t<tr><td>20120530</td><td>0.4372633</td></tr>\n",
       "\t<tr><td>20120531</td><td>0.8929417</td></tr>\n",
       "\t<tr><td>20120601</td><td>0.5034967</td></tr>\n",
       "\t<tr><td>20120604</td><td>0.4529167</td></tr>\n",
       "\t<tr><td>20120605</td><td>0.6617468</td></tr>\n",
       "\t<tr><td>20120606</td><td>1.0588649</td></tr>\n",
       "\t<tr><td>20120607</td><td>0.9072479</td></tr>\n",
       "\t<tr><td>20120608</td><td>0.6645945</td></tr>\n",
       "\t<tr><td>20120611</td><td>1.1998855</td></tr>\n",
       "\t<tr><td>20120612</td><td>1.1659419</td></tr>\n",
       "\t<tr><td>20120613</td><td>1.1036932</td></tr>\n",
       "\t<tr><td>20120614</td><td>0.7335171</td></tr>\n",
       "\t<tr><td>20120615</td><td>1.4193996</td></tr>\n",
       "\t<tr><td>20120618</td><td>1.7240957</td></tr>\n",
       "\t<tr><td>20120619</td><td>1.0970128</td></tr>\n",
       "\t<tr><td>20120620</td><td>1.4970851</td></tr>\n",
       "\t<tr><td>20120621</td><td>0.7537146</td></tr>\n",
       "\t<tr><td>20120625</td><td>1.2432310</td></tr>\n",
       "\t<tr><td>20120626</td><td>0.7389795</td></tr>\n",
       "\t<tr><td>20120627</td><td>1.4498633</td></tr>\n",
       "\t<tr><td>20120628</td><td>1.1150186</td></tr>\n",
       "\t<tr><td>20120629</td><td>0.7919075</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 117 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date & ratio\\\\\n",
       " <int> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & 0.4872509\\\\\n",
       "\t 20120105 & 0.4865540\\\\\n",
       "\t 20120106 & 0.6407234\\\\\n",
       "\t 20120109 & 0.3406203\\\\\n",
       "\t 20120110 & 1.7591140\\\\\n",
       "\t 20120111 & 0.6983067\\\\\n",
       "\t 20120112 & 2.2585934\\\\\n",
       "\t 20120113 & 0.2505291\\\\\n",
       "\t 20120116 & 1.2686356\\\\\n",
       "\t 20120117 & 0.3230138\\\\\n",
       "\t 20120118 & 0.5485787\\\\\n",
       "\t 20120119 & 1.8044949\\\\\n",
       "\t 20120120 & 2.4861882\\\\\n",
       "\t 20120130 & 1.8265976\\\\\n",
       "\t 20120131 & 0.5960954\\\\\n",
       "\t 20120201 & 1.1580731\\\\\n",
       "\t 20120202 & 1.1295453\\\\\n",
       "\t 20120203 & 1.4241718\\\\\n",
       "\t 20120206 & 1.5341702\\\\\n",
       "\t 20120207 & 0.5099599\\\\\n",
       "\t 20120208 & 0.8986844\\\\\n",
       "\t 20120209 & 0.7990737\\\\\n",
       "\t 20120210 & 0.2070284\\\\\n",
       "\t 20120213 & 0.6177778\\\\\n",
       "\t 20120214 & 1.1275207\\\\\n",
       "\t 20120215 & 1.1107586\\\\\n",
       "\t 20120216 & 0.3230486\\\\\n",
       "\t 20120217 & 0.2261468\\\\\n",
       "\t 20120220 & 0.5446072\\\\\n",
       "\t 20120221 & 0.4907636\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 20120518 & 1.6580088\\\\\n",
       "\t 20120521 & 0.5115863\\\\\n",
       "\t 20120522 & 0.6631375\\\\\n",
       "\t 20120523 & 0.2716677\\\\\n",
       "\t 20120524 & 1.7208419\\\\\n",
       "\t 20120525 & 0.3971556\\\\\n",
       "\t 20120528 & 0.3466847\\\\\n",
       "\t 20120529 & 0.5596081\\\\\n",
       "\t 20120530 & 0.4372633\\\\\n",
       "\t 20120531 & 0.8929417\\\\\n",
       "\t 20120601 & 0.5034967\\\\\n",
       "\t 20120604 & 0.4529167\\\\\n",
       "\t 20120605 & 0.6617468\\\\\n",
       "\t 20120606 & 1.0588649\\\\\n",
       "\t 20120607 & 0.9072479\\\\\n",
       "\t 20120608 & 0.6645945\\\\\n",
       "\t 20120611 & 1.1998855\\\\\n",
       "\t 20120612 & 1.1659419\\\\\n",
       "\t 20120613 & 1.1036932\\\\\n",
       "\t 20120614 & 0.7335171\\\\\n",
       "\t 20120615 & 1.4193996\\\\\n",
       "\t 20120618 & 1.7240957\\\\\n",
       "\t 20120619 & 1.0970128\\\\\n",
       "\t 20120620 & 1.4970851\\\\\n",
       "\t 20120621 & 0.7537146\\\\\n",
       "\t 20120625 & 1.2432310\\\\\n",
       "\t 20120626 & 0.7389795\\\\\n",
       "\t 20120627 & 1.4498633\\\\\n",
       "\t 20120628 & 1.1150186\\\\\n",
       "\t 20120629 & 0.7919075\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 117 × 2\n",
       "\n",
       "| date &lt;int&gt; | ratio &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| 20120104 | 0.4872509 |\n",
       "| 20120105 | 0.4865540 |\n",
       "| 20120106 | 0.6407234 |\n",
       "| 20120109 | 0.3406203 |\n",
       "| 20120110 | 1.7591140 |\n",
       "| 20120111 | 0.6983067 |\n",
       "| 20120112 | 2.2585934 |\n",
       "| 20120113 | 0.2505291 |\n",
       "| 20120116 | 1.2686356 |\n",
       "| 20120117 | 0.3230138 |\n",
       "| 20120118 | 0.5485787 |\n",
       "| 20120119 | 1.8044949 |\n",
       "| 20120120 | 2.4861882 |\n",
       "| 20120130 | 1.8265976 |\n",
       "| 20120131 | 0.5960954 |\n",
       "| 20120201 | 1.1580731 |\n",
       "| 20120202 | 1.1295453 |\n",
       "| 20120203 | 1.4241718 |\n",
       "| 20120206 | 1.5341702 |\n",
       "| 20120207 | 0.5099599 |\n",
       "| 20120208 | 0.8986844 |\n",
       "| 20120209 | 0.7990737 |\n",
       "| 20120210 | 0.2070284 |\n",
       "| 20120213 | 0.6177778 |\n",
       "| 20120214 | 1.1275207 |\n",
       "| 20120215 | 1.1107586 |\n",
       "| 20120216 | 0.3230486 |\n",
       "| 20120217 | 0.2261468 |\n",
       "| 20120220 | 0.5446072 |\n",
       "| 20120221 | 0.4907636 |\n",
       "| ... | ... |\n",
       "| 20120518 | 1.6580088 |\n",
       "| 20120521 | 0.5115863 |\n",
       "| 20120522 | 0.6631375 |\n",
       "| 20120523 | 0.2716677 |\n",
       "| 20120524 | 1.7208419 |\n",
       "| 20120525 | 0.3971556 |\n",
       "| 20120528 | 0.3466847 |\n",
       "| 20120529 | 0.5596081 |\n",
       "| 20120530 | 0.4372633 |\n",
       "| 20120531 | 0.8929417 |\n",
       "| 20120601 | 0.5034967 |\n",
       "| 20120604 | 0.4529167 |\n",
       "| 20120605 | 0.6617468 |\n",
       "| 20120606 | 1.0588649 |\n",
       "| 20120607 | 0.9072479 |\n",
       "| 20120608 | 0.6645945 |\n",
       "| 20120611 | 1.1998855 |\n",
       "| 20120612 | 1.1659419 |\n",
       "| 20120613 | 1.1036932 |\n",
       "| 20120614 | 0.7335171 |\n",
       "| 20120615 | 1.4193996 |\n",
       "| 20120618 | 1.7240957 |\n",
       "| 20120619 | 1.0970128 |\n",
       "| 20120620 | 1.4970851 |\n",
       "| 20120621 | 0.7537146 |\n",
       "| 20120625 | 1.2432310 |\n",
       "| 20120626 | 0.7389795 |\n",
       "| 20120627 | 1.4498633 |\n",
       "| 20120628 | 1.1150186 |\n",
       "| 20120629 | 0.7919075 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     ratio    \n",
       "1   20120104 0.4872509\n",
       "2   20120105 0.4865540\n",
       "3   20120106 0.6407234\n",
       "4   20120109 0.3406203\n",
       "5   20120110 1.7591140\n",
       "6   20120111 0.6983067\n",
       "7   20120112 2.2585934\n",
       "8   20120113 0.2505291\n",
       "9   20120116 1.2686356\n",
       "10  20120117 0.3230138\n",
       "11  20120118 0.5485787\n",
       "12  20120119 1.8044949\n",
       "13  20120120 2.4861882\n",
       "14  20120130 1.8265976\n",
       "15  20120131 0.5960954\n",
       "16  20120201 1.1580731\n",
       "17  20120202 1.1295453\n",
       "18  20120203 1.4241718\n",
       "19  20120206 1.5341702\n",
       "20  20120207 0.5099599\n",
       "21  20120208 0.8986844\n",
       "22  20120209 0.7990737\n",
       "23  20120210 0.2070284\n",
       "24  20120213 0.6177778\n",
       "25  20120214 1.1275207\n",
       "26  20120215 1.1107586\n",
       "27  20120216 0.3230486\n",
       "28  20120217 0.2261468\n",
       "29  20120220 0.5446072\n",
       "30  20120221 0.4907636\n",
       "... ...      ...      \n",
       "88  20120518 1.6580088\n",
       "89  20120521 0.5115863\n",
       "90  20120522 0.6631375\n",
       "91  20120523 0.2716677\n",
       "92  20120524 1.7208419\n",
       "93  20120525 0.3971556\n",
       "94  20120528 0.3466847\n",
       "95  20120529 0.5596081\n",
       "96  20120530 0.4372633\n",
       "97  20120531 0.8929417\n",
       "98  20120601 0.5034967\n",
       "99  20120604 0.4529167\n",
       "100 20120605 0.6617468\n",
       "101 20120606 1.0588649\n",
       "102 20120607 0.9072479\n",
       "103 20120608 0.6645945\n",
       "104 20120611 1.1998855\n",
       "105 20120612 1.1659419\n",
       "106 20120613 1.1036932\n",
       "107 20120614 0.7335171\n",
       "108 20120615 1.4193996\n",
       "109 20120618 1.7240957\n",
       "110 20120619 1.0970128\n",
       "111 20120620 1.4970851\n",
       "112 20120621 0.7537146\n",
       "113 20120625 1.2432310\n",
       "114 20120626 0.7389795\n",
       "115 20120627 1.4498633\n",
       "116 20120628 1.1150186\n",
       "117 20120629 0.7919075"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .SD, keyby = .(date, violet = ((close - pre_close)/pre_close))\n",
    "    ][, .(ratio = sum(amount[1:10])/sum(amount[(.N-10):.N])), by = date]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *9. 每天开盘涨停的股票与收盘涨停的股票各有多少？（涨停按照收益率超过1.5%的标准计算）*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 233 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>tag</th><th scope=col>symbol_amount</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>closelimit</td><td>  70</td></tr>\n",
       "\t<tr><td>20120104</td><td>openlimit </td><td> 297</td></tr>\n",
       "\t<tr><td>20120105</td><td>closelimit</td><td>  60</td></tr>\n",
       "\t<tr><td>20120105</td><td>openlimit </td><td>  22</td></tr>\n",
       "\t<tr><td>20120106</td><td>closelimit</td><td> 743</td></tr>\n",
       "\t<tr><td>20120106</td><td>openlimit </td><td>  29</td></tr>\n",
       "\t<tr><td>20120109</td><td>closelimit</td><td>2142</td></tr>\n",
       "\t<tr><td>20120109</td><td>openlimit </td><td>   3</td></tr>\n",
       "\t<tr><td>20120110</td><td>closelimit</td><td>2125</td></tr>\n",
       "\t<tr><td>20120110</td><td>openlimit </td><td>   1</td></tr>\n",
       "\t<tr><td>20120111</td><td>closelimit</td><td> 354</td></tr>\n",
       "\t<tr><td>20120111</td><td>openlimit </td><td>  26</td></tr>\n",
       "\t<tr><td>20120112</td><td>closelimit</td><td> 258</td></tr>\n",
       "\t<tr><td>20120112</td><td>openlimit </td><td>  20</td></tr>\n",
       "\t<tr><td>20120113</td><td>closelimit</td><td>  56</td></tr>\n",
       "\t<tr><td>20120113</td><td>openlimit </td><td>  34</td></tr>\n",
       "\t<tr><td>20120116</td><td>closelimit</td><td>  40</td></tr>\n",
       "\t<tr><td>20120116</td><td>openlimit </td><td>  13</td></tr>\n",
       "\t<tr><td>20120117</td><td>closelimit</td><td>2180</td></tr>\n",
       "\t<tr><td>20120118</td><td>closelimit</td><td>  93</td></tr>\n",
       "\t<tr><td>20120118</td><td>openlimit </td><td> 116</td></tr>\n",
       "\t<tr><td>20120119</td><td>closelimit</td><td> 805</td></tr>\n",
       "\t<tr><td>20120119</td><td>openlimit </td><td>  21</td></tr>\n",
       "\t<tr><td>20120120</td><td>closelimit</td><td> 958</td></tr>\n",
       "\t<tr><td>20120120</td><td>openlimit </td><td>  44</td></tr>\n",
       "\t<tr><td>20120130</td><td>closelimit</td><td> 246</td></tr>\n",
       "\t<tr><td>20120130</td><td>openlimit </td><td>  84</td></tr>\n",
       "\t<tr><td>20120131</td><td>closelimit</td><td> 353</td></tr>\n",
       "\t<tr><td>20120131</td><td>openlimit </td><td>  16</td></tr>\n",
       "\t<tr><td>20120201</td><td>closelimit</td><td> 191</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120608</td><td>closelimit</td><td> 210</td></tr>\n",
       "\t<tr><td>20120608</td><td>openlimit </td><td> 290</td></tr>\n",
       "\t<tr><td>20120611</td><td>closelimit</td><td>1303</td></tr>\n",
       "\t<tr><td>20120611</td><td>openlimit </td><td>  17</td></tr>\n",
       "\t<tr><td>20120612</td><td>closelimit</td><td> 258</td></tr>\n",
       "\t<tr><td>20120612</td><td>openlimit </td><td>  15</td></tr>\n",
       "\t<tr><td>20120613</td><td>closelimit</td><td>1261</td></tr>\n",
       "\t<tr><td>20120613</td><td>openlimit </td><td>   8</td></tr>\n",
       "\t<tr><td>20120614</td><td>closelimit</td><td> 217</td></tr>\n",
       "\t<tr><td>20120614</td><td>openlimit </td><td>  14</td></tr>\n",
       "\t<tr><td>20120615</td><td>closelimit</td><td> 341</td></tr>\n",
       "\t<tr><td>20120615</td><td>openlimit </td><td>  22</td></tr>\n",
       "\t<tr><td>20120618</td><td>closelimit</td><td> 663</td></tr>\n",
       "\t<tr><td>20120618</td><td>openlimit </td><td>  34</td></tr>\n",
       "\t<tr><td>20120619</td><td>closelimit</td><td> 221</td></tr>\n",
       "\t<tr><td>20120619</td><td>openlimit </td><td>  12</td></tr>\n",
       "\t<tr><td>20120620</td><td>closelimit</td><td> 313</td></tr>\n",
       "\t<tr><td>20120620</td><td>openlimit </td><td>  24</td></tr>\n",
       "\t<tr><td>20120621</td><td>closelimit</td><td> 145</td></tr>\n",
       "\t<tr><td>20120621</td><td>openlimit </td><td>  10</td></tr>\n",
       "\t<tr><td>20120625</td><td>closelimit</td><td>  87</td></tr>\n",
       "\t<tr><td>20120625</td><td>openlimit </td><td>  16</td></tr>\n",
       "\t<tr><td>20120626</td><td>closelimit</td><td> 326</td></tr>\n",
       "\t<tr><td>20120626</td><td>openlimit </td><td>   8</td></tr>\n",
       "\t<tr><td>20120627</td><td>closelimit</td><td> 293</td></tr>\n",
       "\t<tr><td>20120627</td><td>openlimit </td><td>  18</td></tr>\n",
       "\t<tr><td>20120628</td><td>closelimit</td><td> 162</td></tr>\n",
       "\t<tr><td>20120628</td><td>openlimit </td><td>  54</td></tr>\n",
       "\t<tr><td>20120629</td><td>closelimit</td><td> 961</td></tr>\n",
       "\t<tr><td>20120629</td><td>openlimit </td><td>   5</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 233 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & tag & symbol\\_amount\\\\\n",
       " <int> & <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120104 & closelimit &   70\\\\\n",
       "\t 20120104 & openlimit  &  297\\\\\n",
       "\t 20120105 & closelimit &   60\\\\\n",
       "\t 20120105 & openlimit  &   22\\\\\n",
       "\t 20120106 & closelimit &  743\\\\\n",
       "\t 20120106 & openlimit  &   29\\\\\n",
       "\t 20120109 & closelimit & 2142\\\\\n",
       "\t 20120109 & openlimit  &    3\\\\\n",
       "\t 20120110 & closelimit & 2125\\\\\n",
       "\t 20120110 & openlimit  &    1\\\\\n",
       "\t 20120111 & closelimit &  354\\\\\n",
       "\t 20120111 & openlimit  &   26\\\\\n",
       "\t 20120112 & closelimit &  258\\\\\n",
       "\t 20120112 & openlimit  &   20\\\\\n",
       "\t 20120113 & closelimit &   56\\\\\n",
       "\t 20120113 & openlimit  &   34\\\\\n",
       "\t 20120116 & closelimit &   40\\\\\n",
       "\t 20120116 & openlimit  &   13\\\\\n",
       "\t 20120117 & closelimit & 2180\\\\\n",
       "\t 20120118 & closelimit &   93\\\\\n",
       "\t 20120118 & openlimit  &  116\\\\\n",
       "\t 20120119 & closelimit &  805\\\\\n",
       "\t 20120119 & openlimit  &   21\\\\\n",
       "\t 20120120 & closelimit &  958\\\\\n",
       "\t 20120120 & openlimit  &   44\\\\\n",
       "\t 20120130 & closelimit &  246\\\\\n",
       "\t 20120130 & openlimit  &   84\\\\\n",
       "\t 20120131 & closelimit &  353\\\\\n",
       "\t 20120131 & openlimit  &   16\\\\\n",
       "\t 20120201 & closelimit &  191\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120608 & closelimit &  210\\\\\n",
       "\t 20120608 & openlimit  &  290\\\\\n",
       "\t 20120611 & closelimit & 1303\\\\\n",
       "\t 20120611 & openlimit  &   17\\\\\n",
       "\t 20120612 & closelimit &  258\\\\\n",
       "\t 20120612 & openlimit  &   15\\\\\n",
       "\t 20120613 & closelimit & 1261\\\\\n",
       "\t 20120613 & openlimit  &    8\\\\\n",
       "\t 20120614 & closelimit &  217\\\\\n",
       "\t 20120614 & openlimit  &   14\\\\\n",
       "\t 20120615 & closelimit &  341\\\\\n",
       "\t 20120615 & openlimit  &   22\\\\\n",
       "\t 20120618 & closelimit &  663\\\\\n",
       "\t 20120618 & openlimit  &   34\\\\\n",
       "\t 20120619 & closelimit &  221\\\\\n",
       "\t 20120619 & openlimit  &   12\\\\\n",
       "\t 20120620 & closelimit &  313\\\\\n",
       "\t 20120620 & openlimit  &   24\\\\\n",
       "\t 20120621 & closelimit &  145\\\\\n",
       "\t 20120621 & openlimit  &   10\\\\\n",
       "\t 20120625 & closelimit &   87\\\\\n",
       "\t 20120625 & openlimit  &   16\\\\\n",
       "\t 20120626 & closelimit &  326\\\\\n",
       "\t 20120626 & openlimit  &    8\\\\\n",
       "\t 20120627 & closelimit &  293\\\\\n",
       "\t 20120627 & openlimit  &   18\\\\\n",
       "\t 20120628 & closelimit &  162\\\\\n",
       "\t 20120628 & openlimit  &   54\\\\\n",
       "\t 20120629 & closelimit &  961\\\\\n",
       "\t 20120629 & openlimit  &    5\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 233 × 3\n",
       "\n",
       "| date &lt;int&gt; | tag &lt;chr&gt; | symbol_amount &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | closelimit |   70 |\n",
       "| 20120104 | openlimit  |  297 |\n",
       "| 20120105 | closelimit |   60 |\n",
       "| 20120105 | openlimit  |   22 |\n",
       "| 20120106 | closelimit |  743 |\n",
       "| 20120106 | openlimit  |   29 |\n",
       "| 20120109 | closelimit | 2142 |\n",
       "| 20120109 | openlimit  |    3 |\n",
       "| 20120110 | closelimit | 2125 |\n",
       "| 20120110 | openlimit  |    1 |\n",
       "| 20120111 | closelimit |  354 |\n",
       "| 20120111 | openlimit  |   26 |\n",
       "| 20120112 | closelimit |  258 |\n",
       "| 20120112 | openlimit  |   20 |\n",
       "| 20120113 | closelimit |   56 |\n",
       "| 20120113 | openlimit  |   34 |\n",
       "| 20120116 | closelimit |   40 |\n",
       "| 20120116 | openlimit  |   13 |\n",
       "| 20120117 | closelimit | 2180 |\n",
       "| 20120118 | closelimit |   93 |\n",
       "| 20120118 | openlimit  |  116 |\n",
       "| 20120119 | closelimit |  805 |\n",
       "| 20120119 | openlimit  |   21 |\n",
       "| 20120120 | closelimit |  958 |\n",
       "| 20120120 | openlimit  |   44 |\n",
       "| 20120130 | closelimit |  246 |\n",
       "| 20120130 | openlimit  |   84 |\n",
       "| 20120131 | closelimit |  353 |\n",
       "| 20120131 | openlimit  |   16 |\n",
       "| 20120201 | closelimit |  191 |\n",
       "| ... | ... | ... |\n",
       "| 20120608 | closelimit |  210 |\n",
       "| 20120608 | openlimit  |  290 |\n",
       "| 20120611 | closelimit | 1303 |\n",
       "| 20120611 | openlimit  |   17 |\n",
       "| 20120612 | closelimit |  258 |\n",
       "| 20120612 | openlimit  |   15 |\n",
       "| 20120613 | closelimit | 1261 |\n",
       "| 20120613 | openlimit  |    8 |\n",
       "| 20120614 | closelimit |  217 |\n",
       "| 20120614 | openlimit  |   14 |\n",
       "| 20120615 | closelimit |  341 |\n",
       "| 20120615 | openlimit  |   22 |\n",
       "| 20120618 | closelimit |  663 |\n",
       "| 20120618 | openlimit  |   34 |\n",
       "| 20120619 | closelimit |  221 |\n",
       "| 20120619 | openlimit  |   12 |\n",
       "| 20120620 | closelimit |  313 |\n",
       "| 20120620 | openlimit  |   24 |\n",
       "| 20120621 | closelimit |  145 |\n",
       "| 20120621 | openlimit  |   10 |\n",
       "| 20120625 | closelimit |   87 |\n",
       "| 20120625 | openlimit  |   16 |\n",
       "| 20120626 | closelimit |  326 |\n",
       "| 20120626 | openlimit  |    8 |\n",
       "| 20120627 | closelimit |  293 |\n",
       "| 20120627 | openlimit  |   18 |\n",
       "| 20120628 | closelimit |  162 |\n",
       "| 20120628 | openlimit  |   54 |\n",
       "| 20120629 | closelimit |  961 |\n",
       "| 20120629 | openlimit  |    5 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     tag        symbol_amount\n",
       "1   20120104 closelimit   70         \n",
       "2   20120104 openlimit   297         \n",
       "3   20120105 closelimit   60         \n",
       "4   20120105 openlimit    22         \n",
       "5   20120106 closelimit  743         \n",
       "6   20120106 openlimit    29         \n",
       "7   20120109 closelimit 2142         \n",
       "8   20120109 openlimit     3         \n",
       "9   20120110 closelimit 2125         \n",
       "10  20120110 openlimit     1         \n",
       "11  20120111 closelimit  354         \n",
       "12  20120111 openlimit    26         \n",
       "13  20120112 closelimit  258         \n",
       "14  20120112 openlimit    20         \n",
       "15  20120113 closelimit   56         \n",
       "16  20120113 openlimit    34         \n",
       "17  20120116 closelimit   40         \n",
       "18  20120116 openlimit    13         \n",
       "19  20120117 closelimit 2180         \n",
       "20  20120118 closelimit   93         \n",
       "21  20120118 openlimit   116         \n",
       "22  20120119 closelimit  805         \n",
       "23  20120119 openlimit    21         \n",
       "24  20120120 closelimit  958         \n",
       "25  20120120 openlimit    44         \n",
       "26  20120130 closelimit  246         \n",
       "27  20120130 openlimit    84         \n",
       "28  20120131 closelimit  353         \n",
       "29  20120131 openlimit    16         \n",
       "30  20120201 closelimit  191         \n",
       "... ...      ...        ...          \n",
       "204 20120608 closelimit  210         \n",
       "205 20120608 openlimit   290         \n",
       "206 20120611 closelimit 1303         \n",
       "207 20120611 openlimit    17         \n",
       "208 20120612 closelimit  258         \n",
       "209 20120612 openlimit    15         \n",
       "210 20120613 closelimit 1261         \n",
       "211 20120613 openlimit     8         \n",
       "212 20120614 closelimit  217         \n",
       "213 20120614 openlimit    14         \n",
       "214 20120615 closelimit  341         \n",
       "215 20120615 openlimit    22         \n",
       "216 20120618 closelimit  663         \n",
       "217 20120618 openlimit    34         \n",
       "218 20120619 closelimit  221         \n",
       "219 20120619 openlimit    12         \n",
       "220 20120620 closelimit  313         \n",
       "221 20120620 openlimit    24         \n",
       "222 20120621 closelimit  145         \n",
       "223 20120621 openlimit    10         \n",
       "224 20120625 closelimit   87         \n",
       "225 20120625 openlimit    16         \n",
       "226 20120626 closelimit  326         \n",
       "227 20120626 openlimit     8         \n",
       "228 20120627 closelimit  293         \n",
       "229 20120627 openlimit    18         \n",
       "230 20120628 closelimit  162         \n",
       "231 20120628 openlimit    54         \n",
       "232 20120629 closelimit  961         \n",
       "233 20120629 openlimit     5         "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[(close/pre_close - 1) > 0.015 | (open/pre_close - 1) > 0.015, .SD, by = .(date, symbol, tag = ifelse((close/pre_close - 1) > 0.015, \"closelimit\", \"openlimit\"))\n",
    "    ][, .(symbol_amount = uniqueN(symbol)), keyby = .(date, tag)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *10. 每天统计最近3天出现过开盘涨停、跌停的股票各有多少只？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 233 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>tag</th><th scope=col>symbol_amount</th><th scope=col>date</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>closelimit</td><td>  NA</td><td>20120104</td></tr>\n",
       "\t<tr><td>closelimit</td><td>  NA</td><td>20120105</td></tr>\n",
       "\t<tr><td>closelimit</td><td>  NA</td><td>20120106</td></tr>\n",
       "\t<tr><td>closelimit</td><td> 873</td><td>20120109</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2945</td><td>20120110</td></tr>\n",
       "\t<tr><td>closelimit</td><td>5010</td><td>20120111</td></tr>\n",
       "\t<tr><td>closelimit</td><td>4621</td><td>20120112</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2737</td><td>20120113</td></tr>\n",
       "\t<tr><td>closelimit</td><td> 668</td><td>20120116</td></tr>\n",
       "\t<tr><td>closelimit</td><td> 354</td><td>20120117</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2276</td><td>20120118</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2313</td><td>20120119</td></tr>\n",
       "\t<tr><td>closelimit</td><td>3078</td><td>20120120</td></tr>\n",
       "\t<tr><td>closelimit</td><td>1856</td><td>20120130</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2009</td><td>20120131</td></tr>\n",
       "\t<tr><td>closelimit</td><td>1557</td><td>20120201</td></tr>\n",
       "\t<tr><td>closelimit</td><td> 790</td><td>20120202</td></tr>\n",
       "\t<tr><td>closelimit</td><td>1975</td><td>20120203</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2824</td><td>20120206</td></tr>\n",
       "\t<tr><td>closelimit</td><td>3249</td><td>20120207</td></tr>\n",
       "\t<tr><td>closelimit</td><td>1921</td><td>20120208</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2631</td><td>20120209</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2509</td><td>20120210</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2818</td><td>20120213</td></tr>\n",
       "\t<tr><td>closelimit</td><td>1703</td><td>20120214</td></tr>\n",
       "\t<tr><td>closelimit</td><td>1556</td><td>20120215</td></tr>\n",
       "\t<tr><td>closelimit</td><td>2261</td><td>20120216</td></tr>\n",
       "\t<tr><td>closelimit</td><td>1813</td><td>20120217</td></tr>\n",
       "\t<tr><td>closelimit</td><td>1660</td><td>20120220</td></tr>\n",
       "\t<tr><td>closelimit</td><td> 856</td><td>20120221</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 42</td><td>20120518</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 45</td><td>20120521</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 66</td><td>20120522</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 99</td><td>20120523</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 95</td><td>20120524</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 76</td><td>20120525</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 50</td><td>20120528</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 43</td><td>20120529</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 37</td><td>20120530</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 37</td><td>20120531</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 37</td><td>20120601</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 62</td><td>20120604</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 55</td><td>20120605</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 89</td><td>20120606</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 88</td><td>20120607</td></tr>\n",
       "\t<tr><td>openlimit</td><td>391</td><td>20120608</td></tr>\n",
       "\t<tr><td>openlimit</td><td>644</td><td>20120611</td></tr>\n",
       "\t<tr><td>openlimit</td><td>623</td><td>20120612</td></tr>\n",
       "\t<tr><td>openlimit</td><td>322</td><td>20120613</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 40</td><td>20120614</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 37</td><td>20120615</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 44</td><td>20120618</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 70</td><td>20120619</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 68</td><td>20120620</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 70</td><td>20120621</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 46</td><td>20120625</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 50</td><td>20120626</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 34</td><td>20120627</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 42</td><td>20120628</td></tr>\n",
       "\t<tr><td>openlimit</td><td> 80</td><td>20120629</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 233 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " tag & symbol\\_amount & date\\\\\n",
       " <chr> & <int> & <int>\\\\\n",
       "\\hline\n",
       "\t closelimit &   NA & 20120104\\\\\n",
       "\t closelimit &   NA & 20120105\\\\\n",
       "\t closelimit &   NA & 20120106\\\\\n",
       "\t closelimit &  873 & 20120109\\\\\n",
       "\t closelimit & 2945 & 20120110\\\\\n",
       "\t closelimit & 5010 & 20120111\\\\\n",
       "\t closelimit & 4621 & 20120112\\\\\n",
       "\t closelimit & 2737 & 20120113\\\\\n",
       "\t closelimit &  668 & 20120116\\\\\n",
       "\t closelimit &  354 & 20120117\\\\\n",
       "\t closelimit & 2276 & 20120118\\\\\n",
       "\t closelimit & 2313 & 20120119\\\\\n",
       "\t closelimit & 3078 & 20120120\\\\\n",
       "\t closelimit & 1856 & 20120130\\\\\n",
       "\t closelimit & 2009 & 20120131\\\\\n",
       "\t closelimit & 1557 & 20120201\\\\\n",
       "\t closelimit &  790 & 20120202\\\\\n",
       "\t closelimit & 1975 & 20120203\\\\\n",
       "\t closelimit & 2824 & 20120206\\\\\n",
       "\t closelimit & 3249 & 20120207\\\\\n",
       "\t closelimit & 1921 & 20120208\\\\\n",
       "\t closelimit & 2631 & 20120209\\\\\n",
       "\t closelimit & 2509 & 20120210\\\\\n",
       "\t closelimit & 2818 & 20120213\\\\\n",
       "\t closelimit & 1703 & 20120214\\\\\n",
       "\t closelimit & 1556 & 20120215\\\\\n",
       "\t closelimit & 2261 & 20120216\\\\\n",
       "\t closelimit & 1813 & 20120217\\\\\n",
       "\t closelimit & 1660 & 20120220\\\\\n",
       "\t closelimit &  856 & 20120221\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t openlimit &  42 & 20120518\\\\\n",
       "\t openlimit &  45 & 20120521\\\\\n",
       "\t openlimit &  66 & 20120522\\\\\n",
       "\t openlimit &  99 & 20120523\\\\\n",
       "\t openlimit &  95 & 20120524\\\\\n",
       "\t openlimit &  76 & 20120525\\\\\n",
       "\t openlimit &  50 & 20120528\\\\\n",
       "\t openlimit &  43 & 20120529\\\\\n",
       "\t openlimit &  37 & 20120530\\\\\n",
       "\t openlimit &  37 & 20120531\\\\\n",
       "\t openlimit &  37 & 20120601\\\\\n",
       "\t openlimit &  62 & 20120604\\\\\n",
       "\t openlimit &  55 & 20120605\\\\\n",
       "\t openlimit &  89 & 20120606\\\\\n",
       "\t openlimit &  88 & 20120607\\\\\n",
       "\t openlimit & 391 & 20120608\\\\\n",
       "\t openlimit & 644 & 20120611\\\\\n",
       "\t openlimit & 623 & 20120612\\\\\n",
       "\t openlimit & 322 & 20120613\\\\\n",
       "\t openlimit &  40 & 20120614\\\\\n",
       "\t openlimit &  37 & 20120615\\\\\n",
       "\t openlimit &  44 & 20120618\\\\\n",
       "\t openlimit &  70 & 20120619\\\\\n",
       "\t openlimit &  68 & 20120620\\\\\n",
       "\t openlimit &  70 & 20120621\\\\\n",
       "\t openlimit &  46 & 20120625\\\\\n",
       "\t openlimit &  50 & 20120626\\\\\n",
       "\t openlimit &  34 & 20120627\\\\\n",
       "\t openlimit &  42 & 20120628\\\\\n",
       "\t openlimit &  80 & 20120629\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 233 × 3\n",
       "\n",
       "| tag &lt;chr&gt; | symbol_amount &lt;int&gt; | date &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| closelimit |   NA | 20120104 |\n",
       "| closelimit |   NA | 20120105 |\n",
       "| closelimit |   NA | 20120106 |\n",
       "| closelimit |  873 | 20120109 |\n",
       "| closelimit | 2945 | 20120110 |\n",
       "| closelimit | 5010 | 20120111 |\n",
       "| closelimit | 4621 | 20120112 |\n",
       "| closelimit | 2737 | 20120113 |\n",
       "| closelimit |  668 | 20120116 |\n",
       "| closelimit |  354 | 20120117 |\n",
       "| closelimit | 2276 | 20120118 |\n",
       "| closelimit | 2313 | 20120119 |\n",
       "| closelimit | 3078 | 20120120 |\n",
       "| closelimit | 1856 | 20120130 |\n",
       "| closelimit | 2009 | 20120131 |\n",
       "| closelimit | 1557 | 20120201 |\n",
       "| closelimit |  790 | 20120202 |\n",
       "| closelimit | 1975 | 20120203 |\n",
       "| closelimit | 2824 | 20120206 |\n",
       "| closelimit | 3249 | 20120207 |\n",
       "| closelimit | 1921 | 20120208 |\n",
       "| closelimit | 2631 | 20120209 |\n",
       "| closelimit | 2509 | 20120210 |\n",
       "| closelimit | 2818 | 20120213 |\n",
       "| closelimit | 1703 | 20120214 |\n",
       "| closelimit | 1556 | 20120215 |\n",
       "| closelimit | 2261 | 20120216 |\n",
       "| closelimit | 1813 | 20120217 |\n",
       "| closelimit | 1660 | 20120220 |\n",
       "| closelimit |  856 | 20120221 |\n",
       "| ... | ... | ... |\n",
       "| openlimit |  42 | 20120518 |\n",
       "| openlimit |  45 | 20120521 |\n",
       "| openlimit |  66 | 20120522 |\n",
       "| openlimit |  99 | 20120523 |\n",
       "| openlimit |  95 | 20120524 |\n",
       "| openlimit |  76 | 20120525 |\n",
       "| openlimit |  50 | 20120528 |\n",
       "| openlimit |  43 | 20120529 |\n",
       "| openlimit |  37 | 20120530 |\n",
       "| openlimit |  37 | 20120531 |\n",
       "| openlimit |  37 | 20120601 |\n",
       "| openlimit |  62 | 20120604 |\n",
       "| openlimit |  55 | 20120605 |\n",
       "| openlimit |  89 | 20120606 |\n",
       "| openlimit |  88 | 20120607 |\n",
       "| openlimit | 391 | 20120608 |\n",
       "| openlimit | 644 | 20120611 |\n",
       "| openlimit | 623 | 20120612 |\n",
       "| openlimit | 322 | 20120613 |\n",
       "| openlimit |  40 | 20120614 |\n",
       "| openlimit |  37 | 20120615 |\n",
       "| openlimit |  44 | 20120618 |\n",
       "| openlimit |  70 | 20120619 |\n",
       "| openlimit |  68 | 20120620 |\n",
       "| openlimit |  70 | 20120621 |\n",
       "| openlimit |  46 | 20120625 |\n",
       "| openlimit |  50 | 20120626 |\n",
       "| openlimit |  34 | 20120627 |\n",
       "| openlimit |  42 | 20120628 |\n",
       "| openlimit |  80 | 20120629 |\n",
       "\n"
      ],
      "text/plain": [
       "    tag        symbol_amount date    \n",
       "1   closelimit   NA          20120104\n",
       "2   closelimit   NA          20120105\n",
       "3   closelimit   NA          20120106\n",
       "4   closelimit  873          20120109\n",
       "5   closelimit 2945          20120110\n",
       "6   closelimit 5010          20120111\n",
       "7   closelimit 4621          20120112\n",
       "8   closelimit 2737          20120113\n",
       "9   closelimit  668          20120116\n",
       "10  closelimit  354          20120117\n",
       "11  closelimit 2276          20120118\n",
       "12  closelimit 2313          20120119\n",
       "13  closelimit 3078          20120120\n",
       "14  closelimit 1856          20120130\n",
       "15  closelimit 2009          20120131\n",
       "16  closelimit 1557          20120201\n",
       "17  closelimit  790          20120202\n",
       "18  closelimit 1975          20120203\n",
       "19  closelimit 2824          20120206\n",
       "20  closelimit 3249          20120207\n",
       "21  closelimit 1921          20120208\n",
       "22  closelimit 2631          20120209\n",
       "23  closelimit 2509          20120210\n",
       "24  closelimit 2818          20120213\n",
       "25  closelimit 1703          20120214\n",
       "26  closelimit 1556          20120215\n",
       "27  closelimit 2261          20120216\n",
       "28  closelimit 1813          20120217\n",
       "29  closelimit 1660          20120220\n",
       "30  closelimit  856          20120221\n",
       "... ...        ...           ...     \n",
       "204 openlimit   42           20120518\n",
       "205 openlimit   45           20120521\n",
       "206 openlimit   66           20120522\n",
       "207 openlimit   99           20120523\n",
       "208 openlimit   95           20120524\n",
       "209 openlimit   76           20120525\n",
       "210 openlimit   50           20120528\n",
       "211 openlimit   43           20120529\n",
       "212 openlimit   37           20120530\n",
       "213 openlimit   37           20120531\n",
       "214 openlimit   37           20120601\n",
       "215 openlimit   62           20120604\n",
       "216 openlimit   55           20120605\n",
       "217 openlimit   89           20120606\n",
       "218 openlimit   88           20120607\n",
       "219 openlimit  391           20120608\n",
       "220 openlimit  644           20120611\n",
       "221 openlimit  623           20120612\n",
       "222 openlimit  322           20120613\n",
       "223 openlimit   40           20120614\n",
       "224 openlimit   37           20120615\n",
       "225 openlimit   44           20120618\n",
       "226 openlimit   70           20120619\n",
       "227 openlimit   68           20120620\n",
       "228 openlimit   70           20120621\n",
       "229 openlimit   46           20120625\n",
       "230 openlimit   50           20120626\n",
       "231 openlimit   34           20120627\n",
       "232 openlimit   42           20120628\n",
       "233 openlimit   80           20120629"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[(close/pre_close - 1) > 0.015 | (open/pre_close - 1) > 0.015, .SD, by = .(date, symbol, tag = ifelse((close/pre_close - 1) > 0.015, \"closelimit\", \"openlimit\"))\n",
    "    ][, uniqueN(symbol), keyby = .(tag, date)\n",
    "    ][, .(symbol_amount = {\n",
    "        a <- vector()\n",
    "        for (i in 4:.N) {\n",
    "            a[i] <- sum(V1[(i-3):(i-1)])\n",
    "        }\n",
    "        a\n",
    "    }, date), by = .(tag)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *11. 股票每天的成交额变化率和收益率的相关性如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "0.163331017090952"
      ],
      "text/latex": [
       "0.163331017090952"
      ],
      "text/markdown": [
       "0.163331017090952"
      ],
      "text/plain": [
       "[1] 0.163331"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(amount_change = {\n",
    "    a <- vector()\n",
    "    for (i in 2:.N) {\n",
    "        a[i] <- amount[i]/amount[i-1] - 1\n",
    "    }\n",
    "    a\n",
    "    }, ret = close/pre_close - 1, symbol = symbol)\n",
    "    ][is.finite(amount_change), na.omit(.SD)\n",
    "    ][, cor(amount_change, ret)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *12. 每天每个行业的总成交额变化率和行业收益率的相关性如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "0.394216465079625"
      ],
      "text/latex": [
       "0.394216465079625"
      ],
      "text/markdown": [
       "0.394216465079625"
      ],
      "text/plain": [
       "[1] 0.3942165"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(ind_amount = sum(amount), weight = capt/sum(capt), ret = close/pre_close - 1), keyby = .(date, industry)\n",
    "    ][, .(ind_ret = sum(weight * ret), ind_amount = ind_amount), keyby = .(industry, date)\n",
    "    ][, unique(.SD)\n",
    "    ][, .(ind_amount_change = {\n",
    "        a <- vector()\n",
    "        for (i in 2:.N) {\n",
    "            a[i] <- ind_amount[i]/ind_amount[i-1] - 1\n",
    "        }\n",
    "        a\n",
    "    }, ind_ret = ind_ret), keyby = .(industry)\n",
    "    ][!is.na(ind_amount_change), cor(ind_amount_change, ind_ret)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *13. 每天市场的总成交额变化率和市场收益率相关性如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "0.442459215009143"
      ],
      "text/latex": [
       "0.442459215009143"
      ],
      "text/markdown": [
       "0.442459215009143"
      ],
      "text/plain": [
       "[1] 0.4424592"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(mkt_amount = sum(amount), weight = capt/sum(capt), ret = close/pre_close - 1), keyby = date\n",
    "    ][, .(mkt_ret = sum(weight * ret), mkt_amount = mkt_amount), keyby = date\n",
    "    ][, unique(.SD)\n",
    "    ][, .(mkt_amount_change = {\n",
    "        a <- vector()\n",
    "        for (i in 2:.N) {\n",
    "            a[i] <- mkt_amount[i]/mkt_amount[i-1]-1\n",
    "        }\n",
    "        a\n",
    "    }, mkt_ret = mkt_ret)\n",
    "    ][!is.na(mkt_amount_change), cor(mkt_amount_change, mkt_ret)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *14. 每天市场的总成交额的变化率和所有股票收益率的标准差相关性如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "-0.191389346045384"
      ],
      "text/latex": [
       "-0.191389346045384"
      ],
      "text/markdown": [
       "-0.191389346045384"
      ],
      "text/plain": [
       "[1] -0.1913893"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(mkt_amount = sum(amount), ret = close/pre_close - 1, symbol = symbol), keyby = date\n",
    "    ][, .(ret_sd = unique(sd(ret)), mkt_amount = unique(mkt_amount)), keyby = date\n",
    "    ][, .(mkt_amount_change = {\n",
    "        a <- vector()\n",
    "        for (i in 2:.N) {\n",
    "            a[i] <- mkt_amount[i]/mkt_amount[i-1] - 1\n",
    "        }\n",
    "        a\n",
    "    }, ret_sd = ret_sd)\n",
    "    ][!is.na(mkt_amount_change), cor(mkt_amount_change, ret_sd)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *15. 每天每个行业的总成交额变化率和行业内股票收益率的标准差相关性如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "0.104345635868357"
      ],
      "text/latex": [
       "0.104345635868357"
      ],
      "text/markdown": [
       "0.104345635868357"
      ],
      "text/plain": [
       "[1] 0.1043456"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(ind_amount = sum(amount), ret = close/pre_close - 1, symbol = symbol), keyby = .(industry, date)\n",
    "    ][, .(ind_ret_sd = unique(sd(ret)), ind_amount = unique(ind_amount)), keyby = .(industry, date)\n",
    "    ][, .(ind_amount_change = {\n",
    "        a <- vector()\n",
    "        for (i in 2:.N) {\n",
    "            a[i] <- ind_amount[i]/ind_amount[i-1] - 1\n",
    "        }\n",
    "        a\n",
    "    }, ind_ret_sd = ind_ret_sd), keyby = industry\n",
    "    ][!is.na(ind_amount_change), cor(ind_ret_sd, ind_amount_change)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *16. 上证50、沪深300、中证500指数成分股中，沪股和深股各有多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 5 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>type</th><th scope=col>stkcd_amount</th><th scope=col>type</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>SH</td><td> 54</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>SH</td><td>205</td><td>index_w300</td></tr>\n",
       "\t<tr><td>SZ</td><td> 95</td><td>index_w300</td></tr>\n",
       "\t<tr><td>SH</td><td>297</td><td>index_w500</td></tr>\n",
       "\t<tr><td>SZ</td><td>248</td><td>index_w500</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 5 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " type & stkcd\\_amount & type\\\\\n",
       " <chr> & <int> & <chr>\\\\\n",
       "\\hline\n",
       "\t SH &  54 & index\\_w50 \\\\\n",
       "\t SH & 205 & index\\_w300\\\\\n",
       "\t SZ &  95 & index\\_w300\\\\\n",
       "\t SH & 297 & index\\_w500\\\\\n",
       "\t SZ & 248 & index\\_w500\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 5 × 3\n",
       "\n",
       "| type &lt;chr&gt; | stkcd_amount &lt;int&gt; | type &lt;chr&gt; |\n",
       "|---|---|---|\n",
       "| SH |  54 | index_w50  |\n",
       "| SH | 205 | index_w300 |\n",
       "| SZ |  95 | index_w300 |\n",
       "| SH | 297 | index_w500 |\n",
       "| SZ | 248 | index_w500 |\n",
       "\n"
      ],
      "text/plain": [
       "  type stkcd_amount type      \n",
       "1 SH    54          index_w50 \n",
       "2 SH   205          index_w300\n",
       "3 SZ    95          index_w300\n",
       "4 SH   297          index_w500\n",
       "5 SZ   248          index_w500"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "list(data[index_w50 > 0, .(stkcd_amount = uniqueN(symbol), type = \"index_w50\"), by = .(type = ifelse(str_detect(symbol, \"SH\"), \"SH\", \"SZ\"))], \n",
    "    data[index_w300 > 0, .(stkcd_amount = uniqueN(symbol), type = \"index_w300\"), by = .(type = ifelse(str_detect(symbol, \"SH\"), \"SH\", \"SZ\"))], \n",
    "    data[index_w500 > 0, .(stkcd_amount = uniqueN(symbol), type = \"index_w500\"), by = .(type = ifelse(str_detect(symbol, \"SH\"), \"SH\", \"SZ\"))]) %>% rbindlist()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *17. 上证50、沪深300、中证500指数成分股中，行业分布如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 79 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>stkcd_amount</th><th scope=col>type</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>BANKS   </td><td>11</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>MTLMIN  </td><td>10</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>ENERGY  </td><td> 7</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>DVFININS</td><td> 6</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>MACH    </td><td> 4</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>REALEST </td><td> 2</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>HDWRSEMI</td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>TRDDIST </td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>CNSTENG </td><td> 3</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>ELECEQP </td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>AUTO    </td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>BEV     </td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>CONMAT  </td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>RDRLTRAN</td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>AIRLINE </td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>CHEM    </td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>MARINE  </td><td> 1</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>BANKS   </td><td>16</td><td>index_w300</td></tr>\n",
       "\t<tr><td>MTLMIN  </td><td>36</td><td>index_w300</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>12</td><td>index_w300</td></tr>\n",
       "\t<tr><td>RDRLTRAN</td><td> 5</td><td>index_w300</td></tr>\n",
       "\t<tr><td>MARINE  </td><td> 4</td><td>index_w300</td></tr>\n",
       "\t<tr><td>ENERGY  </td><td>24</td><td>index_w300</td></tr>\n",
       "\t<tr><td>AIRLINE </td><td> 4</td><td>index_w300</td></tr>\n",
       "\t<tr><td>DVFININS</td><td>18</td><td>index_w300</td></tr>\n",
       "\t<tr><td>MACH    </td><td>20</td><td>index_w300</td></tr>\n",
       "\t<tr><td>MEDIA   </td><td> 3</td><td>index_w300</td></tr>\n",
       "\t<tr><td>REALEST </td><td>13</td><td>index_w300</td></tr>\n",
       "\t<tr><td>HDWRSEMI</td><td>10</td><td>index_w300</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>AUTO    </td><td>20</td><td>index_w500</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>24</td><td>index_w500</td></tr>\n",
       "\t<tr><td>MTLMIN  </td><td>34</td><td>index_w500</td></tr>\n",
       "\t<tr><td>AERODEF </td><td> 2</td><td>index_w500</td></tr>\n",
       "\t<tr><td>REALEST </td><td>44</td><td>index_w500</td></tr>\n",
       "\t<tr><td>CONSSERV</td><td> 8</td><td>index_w500</td></tr>\n",
       "\t<tr><td>TRDDIST </td><td> 9</td><td>index_w500</td></tr>\n",
       "\t<tr><td>BEV     </td><td> 7</td><td>index_w500</td></tr>\n",
       "\t<tr><td>HOUSEDUR</td><td>12</td><td>index_w500</td></tr>\n",
       "\t<tr><td>LEISLUX </td><td>22</td><td>index_w500</td></tr>\n",
       "\t<tr><td>CHEM    </td><td>52</td><td>index_w500</td></tr>\n",
       "\t<tr><td>ELECEQP </td><td>28</td><td>index_w500</td></tr>\n",
       "\t<tr><td>MATERIAL</td><td>12</td><td>index_w500</td></tr>\n",
       "\t<tr><td>MACH    </td><td>34</td><td>index_w500</td></tr>\n",
       "\t<tr><td>FOODPROD</td><td>27</td><td>index_w500</td></tr>\n",
       "\t<tr><td>HEALTH  </td><td>43</td><td>index_w500</td></tr>\n",
       "\t<tr><td>HDWRSEMI</td><td>44</td><td>index_w500</td></tr>\n",
       "\t<tr><td>MARINE  </td><td> 4</td><td>index_w500</td></tr>\n",
       "\t<tr><td>MEDIA   </td><td> 9</td><td>index_w500</td></tr>\n",
       "\t<tr><td>RETAIL  </td><td>17</td><td>index_w500</td></tr>\n",
       "\t<tr><td>ENERGY  </td><td>11</td><td>index_w500</td></tr>\n",
       "\t<tr><td>CONMAT  </td><td>11</td><td>index_w500</td></tr>\n",
       "\t<tr><td>INDCONG </td><td> 5</td><td>index_w500</td></tr>\n",
       "\t<tr><td>BLDPROD </td><td> 5</td><td>index_w500</td></tr>\n",
       "\t<tr><td>CNSTENG </td><td>14</td><td>index_w500</td></tr>\n",
       "\t<tr><td>AIRLINE </td><td> 4</td><td>index_w500</td></tr>\n",
       "\t<tr><td>SOFTWARE</td><td>11</td><td>index_w500</td></tr>\n",
       "\t<tr><td>PERSPRD </td><td> 6</td><td>index_w500</td></tr>\n",
       "\t<tr><td>DVFININS</td><td> 1</td><td>index_w500</td></tr>\n",
       "\t<tr><td>COMSERV </td><td> 5</td><td>index_w500</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 79 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " industry & stkcd\\_amount & type\\\\\n",
       " <chr> & <int> & <chr>\\\\\n",
       "\\hline\n",
       "\t BANKS    & 11 & index\\_w50 \\\\\n",
       "\t MTLMIN   & 10 & index\\_w50 \\\\\n",
       "\t ENERGY   &  7 & index\\_w50 \\\\\n",
       "\t DVFININS &  6 & index\\_w50 \\\\\n",
       "\t MACH     &  4 & index\\_w50 \\\\\n",
       "\t REALEST  &  2 & index\\_w50 \\\\\n",
       "\t HDWRSEMI &  1 & index\\_w50 \\\\\n",
       "\t TRDDIST  &  1 & index\\_w50 \\\\\n",
       "\t CNSTENG  &  3 & index\\_w50 \\\\\n",
       "\t ELECEQP  &  1 & index\\_w50 \\\\\n",
       "\t AUTO     &  1 & index\\_w50 \\\\\n",
       "\t BEV      &  1 & index\\_w50 \\\\\n",
       "\t CONMAT   &  1 & index\\_w50 \\\\\n",
       "\t UTILITIE &  1 & index\\_w50 \\\\\n",
       "\t RDRLTRAN &  1 & index\\_w50 \\\\\n",
       "\t AIRLINE  &  1 & index\\_w50 \\\\\n",
       "\t CHEM     &  1 & index\\_w50 \\\\\n",
       "\t MARINE   &  1 & index\\_w50 \\\\\n",
       "\t BANKS    & 16 & index\\_w300\\\\\n",
       "\t MTLMIN   & 36 & index\\_w300\\\\\n",
       "\t UTILITIE & 12 & index\\_w300\\\\\n",
       "\t RDRLTRAN &  5 & index\\_w300\\\\\n",
       "\t MARINE   &  4 & index\\_w300\\\\\n",
       "\t ENERGY   & 24 & index\\_w300\\\\\n",
       "\t AIRLINE  &  4 & index\\_w300\\\\\n",
       "\t DVFININS & 18 & index\\_w300\\\\\n",
       "\t MACH     & 20 & index\\_w300\\\\\n",
       "\t MEDIA    &  3 & index\\_w300\\\\\n",
       "\t REALEST  & 13 & index\\_w300\\\\\n",
       "\t HDWRSEMI & 10 & index\\_w300\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t AUTO     & 20 & index\\_w500\\\\\n",
       "\t UTILITIE & 24 & index\\_w500\\\\\n",
       "\t MTLMIN   & 34 & index\\_w500\\\\\n",
       "\t AERODEF  &  2 & index\\_w500\\\\\n",
       "\t REALEST  & 44 & index\\_w500\\\\\n",
       "\t CONSSERV &  8 & index\\_w500\\\\\n",
       "\t TRDDIST  &  9 & index\\_w500\\\\\n",
       "\t BEV      &  7 & index\\_w500\\\\\n",
       "\t HOUSEDUR & 12 & index\\_w500\\\\\n",
       "\t LEISLUX  & 22 & index\\_w500\\\\\n",
       "\t CHEM     & 52 & index\\_w500\\\\\n",
       "\t ELECEQP  & 28 & index\\_w500\\\\\n",
       "\t MATERIAL & 12 & index\\_w500\\\\\n",
       "\t MACH     & 34 & index\\_w500\\\\\n",
       "\t FOODPROD & 27 & index\\_w500\\\\\n",
       "\t HEALTH   & 43 & index\\_w500\\\\\n",
       "\t HDWRSEMI & 44 & index\\_w500\\\\\n",
       "\t MARINE   &  4 & index\\_w500\\\\\n",
       "\t MEDIA    &  9 & index\\_w500\\\\\n",
       "\t RETAIL   & 17 & index\\_w500\\\\\n",
       "\t ENERGY   & 11 & index\\_w500\\\\\n",
       "\t CONMAT   & 11 & index\\_w500\\\\\n",
       "\t INDCONG  &  5 & index\\_w500\\\\\n",
       "\t BLDPROD  &  5 & index\\_w500\\\\\n",
       "\t CNSTENG  & 14 & index\\_w500\\\\\n",
       "\t AIRLINE  &  4 & index\\_w500\\\\\n",
       "\t SOFTWARE & 11 & index\\_w500\\\\\n",
       "\t PERSPRD  &  6 & index\\_w500\\\\\n",
       "\t DVFININS &  1 & index\\_w500\\\\\n",
       "\t COMSERV  &  5 & index\\_w500\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 79 × 3\n",
       "\n",
       "| industry &lt;chr&gt; | stkcd_amount &lt;int&gt; | type &lt;chr&gt; |\n",
       "|---|---|---|\n",
       "| BANKS    | 11 | index_w50  |\n",
       "| MTLMIN   | 10 | index_w50  |\n",
       "| ENERGY   |  7 | index_w50  |\n",
       "| DVFININS |  6 | index_w50  |\n",
       "| MACH     |  4 | index_w50  |\n",
       "| REALEST  |  2 | index_w50  |\n",
       "| HDWRSEMI |  1 | index_w50  |\n",
       "| TRDDIST  |  1 | index_w50  |\n",
       "| CNSTENG  |  3 | index_w50  |\n",
       "| ELECEQP  |  1 | index_w50  |\n",
       "| AUTO     |  1 | index_w50  |\n",
       "| BEV      |  1 | index_w50  |\n",
       "| CONMAT   |  1 | index_w50  |\n",
       "| UTILITIE |  1 | index_w50  |\n",
       "| RDRLTRAN |  1 | index_w50  |\n",
       "| AIRLINE  |  1 | index_w50  |\n",
       "| CHEM     |  1 | index_w50  |\n",
       "| MARINE   |  1 | index_w50  |\n",
       "| BANKS    | 16 | index_w300 |\n",
       "| MTLMIN   | 36 | index_w300 |\n",
       "| UTILITIE | 12 | index_w300 |\n",
       "| RDRLTRAN |  5 | index_w300 |\n",
       "| MARINE   |  4 | index_w300 |\n",
       "| ENERGY   | 24 | index_w300 |\n",
       "| AIRLINE  |  4 | index_w300 |\n",
       "| DVFININS | 18 | index_w300 |\n",
       "| MACH     | 20 | index_w300 |\n",
       "| MEDIA    |  3 | index_w300 |\n",
       "| REALEST  | 13 | index_w300 |\n",
       "| HDWRSEMI | 10 | index_w300 |\n",
       "| ... | ... | ... |\n",
       "| AUTO     | 20 | index_w500 |\n",
       "| UTILITIE | 24 | index_w500 |\n",
       "| MTLMIN   | 34 | index_w500 |\n",
       "| AERODEF  |  2 | index_w500 |\n",
       "| REALEST  | 44 | index_w500 |\n",
       "| CONSSERV |  8 | index_w500 |\n",
       "| TRDDIST  |  9 | index_w500 |\n",
       "| BEV      |  7 | index_w500 |\n",
       "| HOUSEDUR | 12 | index_w500 |\n",
       "| LEISLUX  | 22 | index_w500 |\n",
       "| CHEM     | 52 | index_w500 |\n",
       "| ELECEQP  | 28 | index_w500 |\n",
       "| MATERIAL | 12 | index_w500 |\n",
       "| MACH     | 34 | index_w500 |\n",
       "| FOODPROD | 27 | index_w500 |\n",
       "| HEALTH   | 43 | index_w500 |\n",
       "| HDWRSEMI | 44 | index_w500 |\n",
       "| MARINE   |  4 | index_w500 |\n",
       "| MEDIA    |  9 | index_w500 |\n",
       "| RETAIL   | 17 | index_w500 |\n",
       "| ENERGY   | 11 | index_w500 |\n",
       "| CONMAT   | 11 | index_w500 |\n",
       "| INDCONG  |  5 | index_w500 |\n",
       "| BLDPROD  |  5 | index_w500 |\n",
       "| CNSTENG  | 14 | index_w500 |\n",
       "| AIRLINE  |  4 | index_w500 |\n",
       "| SOFTWARE | 11 | index_w500 |\n",
       "| PERSPRD  |  6 | index_w500 |\n",
       "| DVFININS |  1 | index_w500 |\n",
       "| COMSERV  |  5 | index_w500 |\n",
       "\n"
      ],
      "text/plain": [
       "    industry stkcd_amount type      \n",
       "1   BANKS    11           index_w50 \n",
       "2   MTLMIN   10           index_w50 \n",
       "3   ENERGY    7           index_w50 \n",
       "4   DVFININS  6           index_w50 \n",
       "5   MACH      4           index_w50 \n",
       "6   REALEST   2           index_w50 \n",
       "7   HDWRSEMI  1           index_w50 \n",
       "8   TRDDIST   1           index_w50 \n",
       "9   CNSTENG   3           index_w50 \n",
       "10  ELECEQP   1           index_w50 \n",
       "11  AUTO      1           index_w50 \n",
       "12  BEV       1           index_w50 \n",
       "13  CONMAT    1           index_w50 \n",
       "14  UTILITIE  1           index_w50 \n",
       "15  RDRLTRAN  1           index_w50 \n",
       "16  AIRLINE   1           index_w50 \n",
       "17  CHEM      1           index_w50 \n",
       "18  MARINE    1           index_w50 \n",
       "19  BANKS    16           index_w300\n",
       "20  MTLMIN   36           index_w300\n",
       "21  UTILITIE 12           index_w300\n",
       "22  RDRLTRAN  5           index_w300\n",
       "23  MARINE    4           index_w300\n",
       "24  ENERGY   24           index_w300\n",
       "25  AIRLINE   4           index_w300\n",
       "26  DVFININS 18           index_w300\n",
       "27  MACH     20           index_w300\n",
       "28  MEDIA     3           index_w300\n",
       "29  REALEST  13           index_w300\n",
       "30  HDWRSEMI 10           index_w300\n",
       "... ...      ...          ...       \n",
       "50  AUTO     20           index_w500\n",
       "51  UTILITIE 24           index_w500\n",
       "52  MTLMIN   34           index_w500\n",
       "53  AERODEF   2           index_w500\n",
       "54  REALEST  44           index_w500\n",
       "55  CONSSERV  8           index_w500\n",
       "56  TRDDIST   9           index_w500\n",
       "57  BEV       7           index_w500\n",
       "58  HOUSEDUR 12           index_w500\n",
       "59  LEISLUX  22           index_w500\n",
       "60  CHEM     52           index_w500\n",
       "61  ELECEQP  28           index_w500\n",
       "62  MATERIAL 12           index_w500\n",
       "63  MACH     34           index_w500\n",
       "64  FOODPROD 27           index_w500\n",
       "65  HEALTH   43           index_w500\n",
       "66  HDWRSEMI 44           index_w500\n",
       "67  MARINE    4           index_w500\n",
       "68  MEDIA     9           index_w500\n",
       "69  RETAIL   17           index_w500\n",
       "70  ENERGY   11           index_w500\n",
       "71  CONMAT   11           index_w500\n",
       "72  INDCONG   5           index_w500\n",
       "73  BLDPROD   5           index_w500\n",
       "74  CNSTENG  14           index_w500\n",
       "75  AIRLINE   4           index_w500\n",
       "76  SOFTWARE 11           index_w500\n",
       "77  PERSPRD   6           index_w500\n",
       "78  DVFININS  1           index_w500\n",
       "79  COMSERV   5           index_w500"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "list(data[index_w50 > 0, .(stkcd_amount = uniqueN(symbol), type = \"index_w50\"), by = .(industry)], \n",
    "    data[index_w300 > 0, .(stkcd_amount = uniqueN(symbol), type = \"index_w300\"), by = .(industry)], \n",
    "    data[index_w500 > 0, .(stkcd_amount = uniqueN(symbol), type = \"index_w500\"), by = .(industry)]) %>% rbindlist()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *18. 每天上证50、沪深300、中证500指数成分股的总成交额各是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 351 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>amount</th><th scope=col>type</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>11372037211</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120105</td><td>15174601949</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120106</td><td>11457969686</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120109</td><td>19783087939</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120110</td><td>25840613156</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120111</td><td>17961005017</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120112</td><td>16699936305</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120113</td><td>16871980689</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120116</td><td>12436137122</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120117</td><td>24730323911</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120118</td><td>23518166213</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120119</td><td>21927842113</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120120</td><td>21921052047</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120130</td><td>18446545356</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120131</td><td>13239423407</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120201</td><td>14193726576</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120202</td><td>17836381969</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120203</td><td>19129273031</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120206</td><td>16256800163</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120207</td><td>14397210154</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120208</td><td>22752042078</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120209</td><td>21389844651</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120210</td><td>20972221791</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120213</td><td>16994977747</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120214</td><td>13194356723</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120215</td><td>19165036567</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120216</td><td>17006014781</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120217</td><td>12347860075</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120220</td><td>18885764023</td><td>index_w50</td></tr>\n",
       "\t<tr><td>20120221</td><td>13834849720</td><td>index_w50</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120607</td><td>24059754834</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120608</td><td>24632330712</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120611</td><td>26395399785</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120612</td><td>23442262200</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120613</td><td>29468855604</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120614</td><td>30953322837</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120615</td><td>27690673635</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120618</td><td>26269674861</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120619</td><td>29309582210</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120620</td><td>23665268119</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120621</td><td>23639187187</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120625</td><td>22532215538</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120626</td><td>21483353140</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120627</td><td>21639398881</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120628</td><td>22602437253</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120629</td><td>23306389586</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120104</td><td>14524793317</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120105</td><td>15625211500</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120106</td><td>13828890301</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120109</td><td>19513699717</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120110</td><td>30514518911</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120111</td><td>26734594075</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120112</td><td>23360250650</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120113</td><td>22903605941</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120116</td><td>14770460574</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120117</td><td>24190587967</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120118</td><td>25906635875</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120119</td><td>19281495124</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120120</td><td>18759755175</td><td>index_w500</td></tr>\n",
       "\t<tr><td>20120130</td><td>15801755404</td><td>index_w500</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 351 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & amount & type\\\\\n",
       " <int> & <dbl> & <chr>\\\\\n",
       "\\hline\n",
       "\t 20120104 & 11372037211 & index\\_w50\\\\\n",
       "\t 20120105 & 15174601949 & index\\_w50\\\\\n",
       "\t 20120106 & 11457969686 & index\\_w50\\\\\n",
       "\t 20120109 & 19783087939 & index\\_w50\\\\\n",
       "\t 20120110 & 25840613156 & index\\_w50\\\\\n",
       "\t 20120111 & 17961005017 & index\\_w50\\\\\n",
       "\t 20120112 & 16699936305 & index\\_w50\\\\\n",
       "\t 20120113 & 16871980689 & index\\_w50\\\\\n",
       "\t 20120116 & 12436137122 & index\\_w50\\\\\n",
       "\t 20120117 & 24730323911 & index\\_w50\\\\\n",
       "\t 20120118 & 23518166213 & index\\_w50\\\\\n",
       "\t 20120119 & 21927842113 & index\\_w50\\\\\n",
       "\t 20120120 & 21921052047 & index\\_w50\\\\\n",
       "\t 20120130 & 18446545356 & index\\_w50\\\\\n",
       "\t 20120131 & 13239423407 & index\\_w50\\\\\n",
       "\t 20120201 & 14193726576 & index\\_w50\\\\\n",
       "\t 20120202 & 17836381969 & index\\_w50\\\\\n",
       "\t 20120203 & 19129273031 & index\\_w50\\\\\n",
       "\t 20120206 & 16256800163 & index\\_w50\\\\\n",
       "\t 20120207 & 14397210154 & index\\_w50\\\\\n",
       "\t 20120208 & 22752042078 & index\\_w50\\\\\n",
       "\t 20120209 & 21389844651 & index\\_w50\\\\\n",
       "\t 20120210 & 20972221791 & index\\_w50\\\\\n",
       "\t 20120213 & 16994977747 & index\\_w50\\\\\n",
       "\t 20120214 & 13194356723 & index\\_w50\\\\\n",
       "\t 20120215 & 19165036567 & index\\_w50\\\\\n",
       "\t 20120216 & 17006014781 & index\\_w50\\\\\n",
       "\t 20120217 & 12347860075 & index\\_w50\\\\\n",
       "\t 20120220 & 18885764023 & index\\_w50\\\\\n",
       "\t 20120221 & 13834849720 & index\\_w50\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120607 & 24059754834 & index\\_w500\\\\\n",
       "\t 20120608 & 24632330712 & index\\_w500\\\\\n",
       "\t 20120611 & 26395399785 & index\\_w500\\\\\n",
       "\t 20120612 & 23442262200 & index\\_w500\\\\\n",
       "\t 20120613 & 29468855604 & index\\_w500\\\\\n",
       "\t 20120614 & 30953322837 & index\\_w500\\\\\n",
       "\t 20120615 & 27690673635 & index\\_w500\\\\\n",
       "\t 20120618 & 26269674861 & index\\_w500\\\\\n",
       "\t 20120619 & 29309582210 & index\\_w500\\\\\n",
       "\t 20120620 & 23665268119 & index\\_w500\\\\\n",
       "\t 20120621 & 23639187187 & index\\_w500\\\\\n",
       "\t 20120625 & 22532215538 & index\\_w500\\\\\n",
       "\t 20120626 & 21483353140 & index\\_w500\\\\\n",
       "\t 20120627 & 21639398881 & index\\_w500\\\\\n",
       "\t 20120628 & 22602437253 & index\\_w500\\\\\n",
       "\t 20120629 & 23306389586 & index\\_w500\\\\\n",
       "\t 20120104 & 14524793317 & index\\_w500\\\\\n",
       "\t 20120105 & 15625211500 & index\\_w500\\\\\n",
       "\t 20120106 & 13828890301 & index\\_w500\\\\\n",
       "\t 20120109 & 19513699717 & index\\_w500\\\\\n",
       "\t 20120110 & 30514518911 & index\\_w500\\\\\n",
       "\t 20120111 & 26734594075 & index\\_w500\\\\\n",
       "\t 20120112 & 23360250650 & index\\_w500\\\\\n",
       "\t 20120113 & 22903605941 & index\\_w500\\\\\n",
       "\t 20120116 & 14770460574 & index\\_w500\\\\\n",
       "\t 20120117 & 24190587967 & index\\_w500\\\\\n",
       "\t 20120118 & 25906635875 & index\\_w500\\\\\n",
       "\t 20120119 & 19281495124 & index\\_w500\\\\\n",
       "\t 20120120 & 18759755175 & index\\_w500\\\\\n",
       "\t 20120130 & 15801755404 & index\\_w500\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 351 × 3\n",
       "\n",
       "| date &lt;int&gt; | amount &lt;dbl&gt; | type &lt;chr&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | 11372037211 | index_w50 |\n",
       "| 20120105 | 15174601949 | index_w50 |\n",
       "| 20120106 | 11457969686 | index_w50 |\n",
       "| 20120109 | 19783087939 | index_w50 |\n",
       "| 20120110 | 25840613156 | index_w50 |\n",
       "| 20120111 | 17961005017 | index_w50 |\n",
       "| 20120112 | 16699936305 | index_w50 |\n",
       "| 20120113 | 16871980689 | index_w50 |\n",
       "| 20120116 | 12436137122 | index_w50 |\n",
       "| 20120117 | 24730323911 | index_w50 |\n",
       "| 20120118 | 23518166213 | index_w50 |\n",
       "| 20120119 | 21927842113 | index_w50 |\n",
       "| 20120120 | 21921052047 | index_w50 |\n",
       "| 20120130 | 18446545356 | index_w50 |\n",
       "| 20120131 | 13239423407 | index_w50 |\n",
       "| 20120201 | 14193726576 | index_w50 |\n",
       "| 20120202 | 17836381969 | index_w50 |\n",
       "| 20120203 | 19129273031 | index_w50 |\n",
       "| 20120206 | 16256800163 | index_w50 |\n",
       "| 20120207 | 14397210154 | index_w50 |\n",
       "| 20120208 | 22752042078 | index_w50 |\n",
       "| 20120209 | 21389844651 | index_w50 |\n",
       "| 20120210 | 20972221791 | index_w50 |\n",
       "| 20120213 | 16994977747 | index_w50 |\n",
       "| 20120214 | 13194356723 | index_w50 |\n",
       "| 20120215 | 19165036567 | index_w50 |\n",
       "| 20120216 | 17006014781 | index_w50 |\n",
       "| 20120217 | 12347860075 | index_w50 |\n",
       "| 20120220 | 18885764023 | index_w50 |\n",
       "| 20120221 | 13834849720 | index_w50 |\n",
       "| ... | ... | ... |\n",
       "| 20120607 | 24059754834 | index_w500 |\n",
       "| 20120608 | 24632330712 | index_w500 |\n",
       "| 20120611 | 26395399785 | index_w500 |\n",
       "| 20120612 | 23442262200 | index_w500 |\n",
       "| 20120613 | 29468855604 | index_w500 |\n",
       "| 20120614 | 30953322837 | index_w500 |\n",
       "| 20120615 | 27690673635 | index_w500 |\n",
       "| 20120618 | 26269674861 | index_w500 |\n",
       "| 20120619 | 29309582210 | index_w500 |\n",
       "| 20120620 | 23665268119 | index_w500 |\n",
       "| 20120621 | 23639187187 | index_w500 |\n",
       "| 20120625 | 22532215538 | index_w500 |\n",
       "| 20120626 | 21483353140 | index_w500 |\n",
       "| 20120627 | 21639398881 | index_w500 |\n",
       "| 20120628 | 22602437253 | index_w500 |\n",
       "| 20120629 | 23306389586 | index_w500 |\n",
       "| 20120104 | 14524793317 | index_w500 |\n",
       "| 20120105 | 15625211500 | index_w500 |\n",
       "| 20120106 | 13828890301 | index_w500 |\n",
       "| 20120109 | 19513699717 | index_w500 |\n",
       "| 20120110 | 30514518911 | index_w500 |\n",
       "| 20120111 | 26734594075 | index_w500 |\n",
       "| 20120112 | 23360250650 | index_w500 |\n",
       "| 20120113 | 22903605941 | index_w500 |\n",
       "| 20120116 | 14770460574 | index_w500 |\n",
       "| 20120117 | 24190587967 | index_w500 |\n",
       "| 20120118 | 25906635875 | index_w500 |\n",
       "| 20120119 | 19281495124 | index_w500 |\n",
       "| 20120120 | 18759755175 | index_w500 |\n",
       "| 20120130 | 15801755404 | index_w500 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     amount      type      \n",
       "1   20120104 11372037211 index_w50 \n",
       "2   20120105 15174601949 index_w50 \n",
       "3   20120106 11457969686 index_w50 \n",
       "4   20120109 19783087939 index_w50 \n",
       "5   20120110 25840613156 index_w50 \n",
       "6   20120111 17961005017 index_w50 \n",
       "7   20120112 16699936305 index_w50 \n",
       "8   20120113 16871980689 index_w50 \n",
       "9   20120116 12436137122 index_w50 \n",
       "10  20120117 24730323911 index_w50 \n",
       "11  20120118 23518166213 index_w50 \n",
       "12  20120119 21927842113 index_w50 \n",
       "13  20120120 21921052047 index_w50 \n",
       "14  20120130 18446545356 index_w50 \n",
       "15  20120131 13239423407 index_w50 \n",
       "16  20120201 14193726576 index_w50 \n",
       "17  20120202 17836381969 index_w50 \n",
       "18  20120203 19129273031 index_w50 \n",
       "19  20120206 16256800163 index_w50 \n",
       "20  20120207 14397210154 index_w50 \n",
       "21  20120208 22752042078 index_w50 \n",
       "22  20120209 21389844651 index_w50 \n",
       "23  20120210 20972221791 index_w50 \n",
       "24  20120213 16994977747 index_w50 \n",
       "25  20120214 13194356723 index_w50 \n",
       "26  20120215 19165036567 index_w50 \n",
       "27  20120216 17006014781 index_w50 \n",
       "28  20120217 12347860075 index_w50 \n",
       "29  20120220 18885764023 index_w50 \n",
       "30  20120221 13834849720 index_w50 \n",
       "... ...      ...         ...       \n",
       "322 20120607 24059754834 index_w500\n",
       "323 20120608 24632330712 index_w500\n",
       "324 20120611 26395399785 index_w500\n",
       "325 20120612 23442262200 index_w500\n",
       "326 20120613 29468855604 index_w500\n",
       "327 20120614 30953322837 index_w500\n",
       "328 20120615 27690673635 index_w500\n",
       "329 20120618 26269674861 index_w500\n",
       "330 20120619 29309582210 index_w500\n",
       "331 20120620 23665268119 index_w500\n",
       "332 20120621 23639187187 index_w500\n",
       "333 20120625 22532215538 index_w500\n",
       "334 20120626 21483353140 index_w500\n",
       "335 20120627 21639398881 index_w500\n",
       "336 20120628 22602437253 index_w500\n",
       "337 20120629 23306389586 index_w500\n",
       "338 20120104 14524793317 index_w500\n",
       "339 20120105 15625211500 index_w500\n",
       "340 20120106 13828890301 index_w500\n",
       "341 20120109 19513699717 index_w500\n",
       "342 20120110 30514518911 index_w500\n",
       "343 20120111 26734594075 index_w500\n",
       "344 20120112 23360250650 index_w500\n",
       "345 20120113 22903605941 index_w500\n",
       "346 20120116 14770460574 index_w500\n",
       "347 20120117 24190587967 index_w500\n",
       "348 20120118 25906635875 index_w500\n",
       "349 20120119 19281495124 index_w500\n",
       "350 20120120 18759755175 index_w500\n",
       "351 20120130 15801755404 index_w500"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "list(data[index_w50 > 0, .(amount = sum(amount) %>% unique(), type = \"index_w50\"), by = .(date)], \n",
    "    data[index_w300 > 0, .(amount = sum(amount) %>% unique(), type = \"index_w300\"), by = .(date)], \n",
    "    data[index_w500 > 0, .(amount = sum(amount) %>% unique(), type = \"index_w500\"), by = .(date)]) %>% rbindlist()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *19. 上证50、沪深300、中证500指数日收益率的历史波动率是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>vol</th><th scope=col>type</th></tr>\n",
       "\t<tr><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>0.01234205</td><td>index_w50 </td></tr>\n",
       "\t<tr><td>0.01336797</td><td>index_w300</td></tr>\n",
       "\t<tr><td>0.01607531</td><td>index_w500</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " vol & type\\\\\n",
       " <dbl> & <chr>\\\\\n",
       "\\hline\n",
       "\t 0.01234205 & index\\_w50 \\\\\n",
       "\t 0.01336797 & index\\_w300\\\\\n",
       "\t 0.01607531 & index\\_w500\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3 × 2\n",
       "\n",
       "| vol &lt;dbl&gt; | type &lt;chr&gt; |\n",
       "|---|---|\n",
       "| 0.01234205 | index_w50  |\n",
       "| 0.01336797 | index_w300 |\n",
       "| 0.01607531 | index_w500 |\n",
       "\n"
      ],
      "text/plain": [
       "  vol        type      \n",
       "1 0.01234205 index_w50 \n",
       "2 0.01336797 index_w300\n",
       "3 0.01607531 index_w500"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "list(data[, .(index_ret = sum(index_w50 * (close/pre_close - 1))), keyby = .(date)\n",
    "        ][, .(vol = sd(index_ret), type = \"index_w50\")],\n",
    "    data[, .(index_ret = sum(index_w300 * (close/pre_close - 1))), keyby = .(date)\n",
    "        ][, .(vol = sd(index_ret), type = \"index_w300\")],\n",
    "    data[, .(index_ret = sum(index_w500 * (close/pre_close - 1))), keyby = .(date)\n",
    "        ][, .(vol = sd(index_ret), type = \"index_w500\")]) %>% rbindlist()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *20. 上证50、沪深300、中证500指数日收益率的相关系数矩阵？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 31,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A matrix: 3 × 3 of type dbl</caption>\n",
       "<thead>\n",
       "\t<tr><th></th><th scope=col>index_w50_ret</th><th scope=col>index_w300_ret</th><th scope=col>index_w500_ret</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><th scope=row>index_w50_ret</th><td>1.0000000</td><td>0.9760849</td><td>0.8476975</td></tr>\n",
       "\t<tr><th scope=row>index_w300_ret</th><td>0.9760849</td><td>1.0000000</td><td>0.9333580</td></tr>\n",
       "\t<tr><th scope=row>index_w500_ret</th><td>0.8476975</td><td>0.9333580</td><td>1.0000000</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A matrix: 3 × 3 of type dbl\n",
       "\\begin{tabular}{r|lll}\n",
       "  & index\\_w50\\_ret & index\\_w300\\_ret & index\\_w500\\_ret\\\\\n",
       "\\hline\n",
       "\tindex\\_w50\\_ret & 1.0000000 & 0.9760849 & 0.8476975\\\\\n",
       "\tindex\\_w300\\_ret & 0.9760849 & 1.0000000 & 0.9333580\\\\\n",
       "\tindex\\_w500\\_ret & 0.8476975 & 0.9333580 & 1.0000000\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A matrix: 3 × 3 of type dbl\n",
       "\n",
       "| <!--/--> | index_w50_ret | index_w300_ret | index_w500_ret |\n",
       "|---|---|---|---|\n",
       "| index_w50_ret | 1.0000000 | 0.9760849 | 0.8476975 |\n",
       "| index_w300_ret | 0.9760849 | 1.0000000 | 0.9333580 |\n",
       "| index_w500_ret | 0.8476975 | 0.9333580 | 1.0000000 |\n",
       "\n"
      ],
      "text/plain": [
       "               index_w50_ret index_w300_ret index_w500_ret\n",
       "index_w50_ret  1.0000000     0.9760849      0.8476975     \n",
       "index_w300_ret 0.9760849     1.0000000      0.9333580     \n",
       "index_w500_ret 0.8476975     0.9333580      1.0000000     "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(index_w50_ret = sum(index_w50 * (close/pre_close - 1)), index_w300_ret = sum(index_w300 * (close/pre_close - 1)), index_w500_ret = sum(index_w500 * (close/pre_close - 1))), keyby = date\n",
    "    ][, cor(.SD[, -1])]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *21. 上证50、沪深300、去除上证50的沪深300指数日收益率的相关系数矩阵？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 32,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A matrix: 3 × 3 of type dbl</caption>\n",
       "<thead>\n",
       "\t<tr><th></th><th scope=col>index_w50_ret</th><th scope=col>index_w300_ret</th><th scope=col>index_w300_50_ret</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><th scope=row>index_w50_ret</th><td>1.0000000</td><td>0.9760849</td><td>0.9294381</td></tr>\n",
       "\t<tr><th scope=row>index_w300_ret</th><td>0.9760849</td><td>1.0000000</td><td>0.9874054</td></tr>\n",
       "\t<tr><th scope=row>index_w300_50_ret</th><td>0.9294381</td><td>0.9874054</td><td>1.0000000</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A matrix: 3 × 3 of type dbl\n",
       "\\begin{tabular}{r|lll}\n",
       "  & index\\_w50\\_ret & index\\_w300\\_ret & index\\_w300\\_50\\_ret\\\\\n",
       "\\hline\n",
       "\tindex\\_w50\\_ret & 1.0000000 & 0.9760849 & 0.9294381\\\\\n",
       "\tindex\\_w300\\_ret & 0.9760849 & 1.0000000 & 0.9874054\\\\\n",
       "\tindex\\_w300\\_50\\_ret & 0.9294381 & 0.9874054 & 1.0000000\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A matrix: 3 × 3 of type dbl\n",
       "\n",
       "| <!--/--> | index_w50_ret | index_w300_ret | index_w300_50_ret |\n",
       "|---|---|---|---|\n",
       "| index_w50_ret | 1.0000000 | 0.9760849 | 0.9294381 |\n",
       "| index_w300_ret | 0.9760849 | 1.0000000 | 0.9874054 |\n",
       "| index_w300_50_ret | 0.9294381 | 0.9874054 | 1.0000000 |\n",
       "\n"
      ],
      "text/plain": [
       "                  index_w50_ret index_w300_ret index_w300_50_ret\n",
       "index_w50_ret     1.0000000     0.9760849      0.9294381        \n",
       "index_w300_ret    0.9760849     1.0000000      0.9874054        \n",
       "index_w300_50_ret 0.9294381     0.9874054      1.0000000        "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(index_w50_ret = sum(index_w50 * (close/pre_close - 1)), index_w300_ret = sum(index_w300 * (close/pre_close - 1)), index_w300_50 = ifelse(index_w50 == 0 & index_w300 > 0, index_w300, 0), close = close, pre_close = pre_close), keyby = date       ][, .(index_w50_ret = unique(index_w50_ret), index_w300_ret = unique(index_w300_ret), index_w300_50_ret = sum(index_w300_50 * (close/pre_close - 1)) %>% unique()), keyby = date\n",
    "    ][, cor(.SD[, -1])]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *22. 每天沪深300指数成分占比最大的10只股票是哪些？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 1170 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>symbol</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>600004.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600006.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600007.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600012.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600017.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600018.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600020.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600021.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>600022.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600004.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600006.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600007.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600012.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600017.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600018.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600020.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600021.SH</td></tr>\n",
       "\t<tr><td>20120105</td><td>600022.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600004.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600006.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600007.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600012.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600017.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600018.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600020.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600021.SH</td></tr>\n",
       "\t<tr><td>20120106</td><td>600022.SH</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120627</td><td>600004.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600006.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600007.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600012.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600017.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600018.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600020.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600021.SH</td></tr>\n",
       "\t<tr><td>20120627</td><td>600022.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600004.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600006.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600007.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600012.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600017.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600018.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600020.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600021.SH</td></tr>\n",
       "\t<tr><td>20120628</td><td>600022.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600004.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600006.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600007.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600012.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600017.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600018.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600020.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600021.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>600022.SH</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 1170 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date & symbol\\\\\n",
       " <int> & <chr>\\\\\n",
       "\\hline\n",
       "\t 20120104 & 600004.SH\\\\\n",
       "\t 20120104 & 600006.SH\\\\\n",
       "\t 20120104 & 600007.SH\\\\\n",
       "\t 20120104 & 600011.SH\\\\\n",
       "\t 20120104 & 600012.SH\\\\\n",
       "\t 20120104 & 600017.SH\\\\\n",
       "\t 20120104 & 600018.SH\\\\\n",
       "\t 20120104 & 600020.SH\\\\\n",
       "\t 20120104 & 600021.SH\\\\\n",
       "\t 20120104 & 600022.SH\\\\\n",
       "\t 20120105 & 600004.SH\\\\\n",
       "\t 20120105 & 600006.SH\\\\\n",
       "\t 20120105 & 600007.SH\\\\\n",
       "\t 20120105 & 600011.SH\\\\\n",
       "\t 20120105 & 600012.SH\\\\\n",
       "\t 20120105 & 600017.SH\\\\\n",
       "\t 20120105 & 600018.SH\\\\\n",
       "\t 20120105 & 600020.SH\\\\\n",
       "\t 20120105 & 600021.SH\\\\\n",
       "\t 20120105 & 600022.SH\\\\\n",
       "\t 20120106 & 600004.SH\\\\\n",
       "\t 20120106 & 600006.SH\\\\\n",
       "\t 20120106 & 600007.SH\\\\\n",
       "\t 20120106 & 600011.SH\\\\\n",
       "\t 20120106 & 600012.SH\\\\\n",
       "\t 20120106 & 600017.SH\\\\\n",
       "\t 20120106 & 600018.SH\\\\\n",
       "\t 20120106 & 600020.SH\\\\\n",
       "\t 20120106 & 600021.SH\\\\\n",
       "\t 20120106 & 600022.SH\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 20120627 & 600004.SH\\\\\n",
       "\t 20120627 & 600006.SH\\\\\n",
       "\t 20120627 & 600007.SH\\\\\n",
       "\t 20120627 & 600011.SH\\\\\n",
       "\t 20120627 & 600012.SH\\\\\n",
       "\t 20120627 & 600017.SH\\\\\n",
       "\t 20120627 & 600018.SH\\\\\n",
       "\t 20120627 & 600020.SH\\\\\n",
       "\t 20120627 & 600021.SH\\\\\n",
       "\t 20120627 & 600022.SH\\\\\n",
       "\t 20120628 & 600004.SH\\\\\n",
       "\t 20120628 & 600006.SH\\\\\n",
       "\t 20120628 & 600007.SH\\\\\n",
       "\t 20120628 & 600011.SH\\\\\n",
       "\t 20120628 & 600012.SH\\\\\n",
       "\t 20120628 & 600017.SH\\\\\n",
       "\t 20120628 & 600018.SH\\\\\n",
       "\t 20120628 & 600020.SH\\\\\n",
       "\t 20120628 & 600021.SH\\\\\n",
       "\t 20120628 & 600022.SH\\\\\n",
       "\t 20120629 & 600004.SH\\\\\n",
       "\t 20120629 & 600006.SH\\\\\n",
       "\t 20120629 & 600007.SH\\\\\n",
       "\t 20120629 & 600011.SH\\\\\n",
       "\t 20120629 & 600012.SH\\\\\n",
       "\t 20120629 & 600017.SH\\\\\n",
       "\t 20120629 & 600018.SH\\\\\n",
       "\t 20120629 & 600020.SH\\\\\n",
       "\t 20120629 & 600021.SH\\\\\n",
       "\t 20120629 & 600022.SH\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 1170 × 2\n",
       "\n",
       "| date &lt;int&gt; | symbol &lt;chr&gt; |\n",
       "|---|---|\n",
       "| 20120104 | 600004.SH |\n",
       "| 20120104 | 600006.SH |\n",
       "| 20120104 | 600007.SH |\n",
       "| 20120104 | 600011.SH |\n",
       "| 20120104 | 600012.SH |\n",
       "| 20120104 | 600017.SH |\n",
       "| 20120104 | 600018.SH |\n",
       "| 20120104 | 600020.SH |\n",
       "| 20120104 | 600021.SH |\n",
       "| 20120104 | 600022.SH |\n",
       "| 20120105 | 600004.SH |\n",
       "| 20120105 | 600006.SH |\n",
       "| 20120105 | 600007.SH |\n",
       "| 20120105 | 600011.SH |\n",
       "| 20120105 | 600012.SH |\n",
       "| 20120105 | 600017.SH |\n",
       "| 20120105 | 600018.SH |\n",
       "| 20120105 | 600020.SH |\n",
       "| 20120105 | 600021.SH |\n",
       "| 20120105 | 600022.SH |\n",
       "| 20120106 | 600004.SH |\n",
       "| 20120106 | 600006.SH |\n",
       "| 20120106 | 600007.SH |\n",
       "| 20120106 | 600011.SH |\n",
       "| 20120106 | 600012.SH |\n",
       "| 20120106 | 600017.SH |\n",
       "| 20120106 | 600018.SH |\n",
       "| 20120106 | 600020.SH |\n",
       "| 20120106 | 600021.SH |\n",
       "| 20120106 | 600022.SH |\n",
       "| ... | ... |\n",
       "| 20120627 | 600004.SH |\n",
       "| 20120627 | 600006.SH |\n",
       "| 20120627 | 600007.SH |\n",
       "| 20120627 | 600011.SH |\n",
       "| 20120627 | 600012.SH |\n",
       "| 20120627 | 600017.SH |\n",
       "| 20120627 | 600018.SH |\n",
       "| 20120627 | 600020.SH |\n",
       "| 20120627 | 600021.SH |\n",
       "| 20120627 | 600022.SH |\n",
       "| 20120628 | 600004.SH |\n",
       "| 20120628 | 600006.SH |\n",
       "| 20120628 | 600007.SH |\n",
       "| 20120628 | 600011.SH |\n",
       "| 20120628 | 600012.SH |\n",
       "| 20120628 | 600017.SH |\n",
       "| 20120628 | 600018.SH |\n",
       "| 20120628 | 600020.SH |\n",
       "| 20120628 | 600021.SH |\n",
       "| 20120628 | 600022.SH |\n",
       "| 20120629 | 600004.SH |\n",
       "| 20120629 | 600006.SH |\n",
       "| 20120629 | 600007.SH |\n",
       "| 20120629 | 600011.SH |\n",
       "| 20120629 | 600012.SH |\n",
       "| 20120629 | 600017.SH |\n",
       "| 20120629 | 600018.SH |\n",
       "| 20120629 | 600020.SH |\n",
       "| 20120629 | 600021.SH |\n",
       "| 20120629 | 600022.SH |\n",
       "\n"
      ],
      "text/plain": [
       "     date     symbol   \n",
       "1    20120104 600004.SH\n",
       "2    20120104 600006.SH\n",
       "3    20120104 600007.SH\n",
       "4    20120104 600011.SH\n",
       "5    20120104 600012.SH\n",
       "6    20120104 600017.SH\n",
       "7    20120104 600018.SH\n",
       "8    20120104 600020.SH\n",
       "9    20120104 600021.SH\n",
       "10   20120104 600022.SH\n",
       "11   20120105 600004.SH\n",
       "12   20120105 600006.SH\n",
       "13   20120105 600007.SH\n",
       "14   20120105 600011.SH\n",
       "15   20120105 600012.SH\n",
       "16   20120105 600017.SH\n",
       "17   20120105 600018.SH\n",
       "18   20120105 600020.SH\n",
       "19   20120105 600021.SH\n",
       "20   20120105 600022.SH\n",
       "21   20120106 600004.SH\n",
       "22   20120106 600006.SH\n",
       "23   20120106 600007.SH\n",
       "24   20120106 600011.SH\n",
       "25   20120106 600012.SH\n",
       "26   20120106 600017.SH\n",
       "27   20120106 600018.SH\n",
       "28   20120106 600020.SH\n",
       "29   20120106 600021.SH\n",
       "30   20120106 600022.SH\n",
       "...  ...      ...      \n",
       "1141 20120627 600004.SH\n",
       "1142 20120627 600006.SH\n",
       "1143 20120627 600007.SH\n",
       "1144 20120627 600011.SH\n",
       "1145 20120627 600012.SH\n",
       "1146 20120627 600017.SH\n",
       "1147 20120627 600018.SH\n",
       "1148 20120627 600020.SH\n",
       "1149 20120627 600021.SH\n",
       "1150 20120627 600022.SH\n",
       "1151 20120628 600004.SH\n",
       "1152 20120628 600006.SH\n",
       "1153 20120628 600007.SH\n",
       "1154 20120628 600011.SH\n",
       "1155 20120628 600012.SH\n",
       "1156 20120628 600017.SH\n",
       "1157 20120628 600018.SH\n",
       "1158 20120628 600020.SH\n",
       "1159 20120628 600021.SH\n",
       "1160 20120628 600022.SH\n",
       "1161 20120629 600004.SH\n",
       "1162 20120629 600006.SH\n",
       "1163 20120629 600007.SH\n",
       "1164 20120629 600011.SH\n",
       "1165 20120629 600012.SH\n",
       "1166 20120629 600017.SH\n",
       "1167 20120629 600018.SH\n",
       "1168 20120629 600020.SH\n",
       "1169 20120629 600021.SH\n",
       "1170 20120629 600022.SH"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[order(date, index_w300), .(symbol = symbol[1:10]), by = .(date)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *23. 各个行业的平均每日股票数量从大到小排序是什么？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3744 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>industry</th><th scope=col>stkcd_amount</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>HDWRSEMI</td><td>224</td></tr>\n",
       "\t<tr><td>20120104</td><td>CHEM    </td><td>219</td></tr>\n",
       "\t<tr><td>20120104</td><td>MACH    </td><td>201</td></tr>\n",
       "\t<tr><td>20120104</td><td>HEALTH  </td><td>172</td></tr>\n",
       "\t<tr><td>20120104</td><td>ELECEQP </td><td>131</td></tr>\n",
       "\t<tr><td>20120104</td><td>REALEST </td><td>131</td></tr>\n",
       "\t<tr><td>20120104</td><td>MTLMIN  </td><td>128</td></tr>\n",
       "\t<tr><td>20120104</td><td>LEISLUX </td><td>106</td></tr>\n",
       "\t<tr><td>20120104</td><td>FOODPROD</td><td> 99</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO    </td><td> 85</td></tr>\n",
       "\t<tr><td>20120104</td><td>SOFTWARE</td><td> 75</td></tr>\n",
       "\t<tr><td>20120104</td><td>RETAIL  </td><td> 74</td></tr>\n",
       "\t<tr><td>20120104</td><td>UTILITIE</td><td> 74</td></tr>\n",
       "\t<tr><td>20120104</td><td>HOUSEDUR</td><td> 61</td></tr>\n",
       "\t<tr><td>20120104</td><td>ENERGY  </td><td> 57</td></tr>\n",
       "\t<tr><td>20120104</td><td>RDRLTRAN</td><td> 56</td></tr>\n",
       "\t<tr><td>20120104</td><td>CNSTENG </td><td> 54</td></tr>\n",
       "\t<tr><td>20120104</td><td>MATERIAL</td><td> 48</td></tr>\n",
       "\t<tr><td>20120104</td><td>CONMAT  </td><td> 37</td></tr>\n",
       "\t<tr><td>20120104</td><td>TRDDIST </td><td> 36</td></tr>\n",
       "\t<tr><td>20120104</td><td>CONSSERV</td><td> 34</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV     </td><td> 30</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD </td><td> 28</td></tr>\n",
       "\t<tr><td>20120104</td><td>COMSERV </td><td> 27</td></tr>\n",
       "\t<tr><td>20120104</td><td>PERSPRD </td><td> 25</td></tr>\n",
       "\t<tr><td>20120104</td><td>DVFININS</td><td> 23</td></tr>\n",
       "\t<tr><td>20120104</td><td>MEDIA   </td><td> 22</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS   </td><td> 16</td></tr>\n",
       "\t<tr><td>20120104</td><td>INDCONG </td><td> 13</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE </td><td> 12</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>MACH    </td><td>208</td></tr>\n",
       "\t<tr><td>20120629</td><td>HEALTH  </td><td>183</td></tr>\n",
       "\t<tr><td>20120629</td><td>ELECEQP </td><td>138</td></tr>\n",
       "\t<tr><td>20120629</td><td>MTLMIN  </td><td>133</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td>132</td></tr>\n",
       "\t<tr><td>20120629</td><td>LEISLUX </td><td>110</td></tr>\n",
       "\t<tr><td>20120629</td><td>FOODPROD</td><td>103</td></tr>\n",
       "\t<tr><td>20120629</td><td>AUTO    </td><td> 90</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td> 89</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td> 75</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td> 74</td></tr>\n",
       "\t<tr><td>20120629</td><td>HOUSEDUR</td><td> 63</td></tr>\n",
       "\t<tr><td>20120629</td><td>ENERGY  </td><td> 59</td></tr>\n",
       "\t<tr><td>20120629</td><td>CNSTENG </td><td> 57</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td> 57</td></tr>\n",
       "\t<tr><td>20120629</td><td>MATERIAL</td><td> 51</td></tr>\n",
       "\t<tr><td>20120629</td><td>CONMAT  </td><td> 37</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td> 36</td></tr>\n",
       "\t<tr><td>20120629</td><td>CONSSERV</td><td> 33</td></tr>\n",
       "\t<tr><td>20120629</td><td>BEV     </td><td> 31</td></tr>\n",
       "\t<tr><td>20120629</td><td>COMSERV </td><td> 29</td></tr>\n",
       "\t<tr><td>20120629</td><td>BLDPROD </td><td> 27</td></tr>\n",
       "\t<tr><td>20120629</td><td>MEDIA   </td><td> 26</td></tr>\n",
       "\t<tr><td>20120629</td><td>DVFININS</td><td> 25</td></tr>\n",
       "\t<tr><td>20120629</td><td>PERSPRD </td><td> 25</td></tr>\n",
       "\t<tr><td>20120629</td><td>BANKS   </td><td> 16</td></tr>\n",
       "\t<tr><td>20120629</td><td>AIRLINE </td><td> 13</td></tr>\n",
       "\t<tr><td>20120629</td><td>AERODEF </td><td> 12</td></tr>\n",
       "\t<tr><td>20120629</td><td>MARINE  </td><td> 12</td></tr>\n",
       "\t<tr><td>20120629</td><td>INDCONG </td><td> 11</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3744 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & industry & stkcd\\_amount\\\\\n",
       " <int> & <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120104 & HDWRSEMI & 224\\\\\n",
       "\t 20120104 & CHEM     & 219\\\\\n",
       "\t 20120104 & MACH     & 201\\\\\n",
       "\t 20120104 & HEALTH   & 172\\\\\n",
       "\t 20120104 & ELECEQP  & 131\\\\\n",
       "\t 20120104 & REALEST  & 131\\\\\n",
       "\t 20120104 & MTLMIN   & 128\\\\\n",
       "\t 20120104 & LEISLUX  & 106\\\\\n",
       "\t 20120104 & FOODPROD &  99\\\\\n",
       "\t 20120104 & AUTO     &  85\\\\\n",
       "\t 20120104 & SOFTWARE &  75\\\\\n",
       "\t 20120104 & RETAIL   &  74\\\\\n",
       "\t 20120104 & UTILITIE &  74\\\\\n",
       "\t 20120104 & HOUSEDUR &  61\\\\\n",
       "\t 20120104 & ENERGY   &  57\\\\\n",
       "\t 20120104 & RDRLTRAN &  56\\\\\n",
       "\t 20120104 & CNSTENG  &  54\\\\\n",
       "\t 20120104 & MATERIAL &  48\\\\\n",
       "\t 20120104 & CONMAT   &  37\\\\\n",
       "\t 20120104 & TRDDIST  &  36\\\\\n",
       "\t 20120104 & CONSSERV &  34\\\\\n",
       "\t 20120104 & BEV      &  30\\\\\n",
       "\t 20120104 & BLDPROD  &  28\\\\\n",
       "\t 20120104 & COMSERV  &  27\\\\\n",
       "\t 20120104 & PERSPRD  &  25\\\\\n",
       "\t 20120104 & DVFININS &  23\\\\\n",
       "\t 20120104 & MEDIA    &  22\\\\\n",
       "\t 20120104 & BANKS    &  16\\\\\n",
       "\t 20120104 & INDCONG  &  13\\\\\n",
       "\t 20120104 & AIRLINE  &  12\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120629 & MACH     & 208\\\\\n",
       "\t 20120629 & HEALTH   & 183\\\\\n",
       "\t 20120629 & ELECEQP  & 138\\\\\n",
       "\t 20120629 & MTLMIN   & 133\\\\\n",
       "\t 20120629 & REALEST  & 132\\\\\n",
       "\t 20120629 & LEISLUX  & 110\\\\\n",
       "\t 20120629 & FOODPROD & 103\\\\\n",
       "\t 20120629 & AUTO     &  90\\\\\n",
       "\t 20120629 & SOFTWARE &  89\\\\\n",
       "\t 20120629 & UTILITIE &  75\\\\\n",
       "\t 20120629 & RETAIL   &  74\\\\\n",
       "\t 20120629 & HOUSEDUR &  63\\\\\n",
       "\t 20120629 & ENERGY   &  59\\\\\n",
       "\t 20120629 & CNSTENG  &  57\\\\\n",
       "\t 20120629 & RDRLTRAN &  57\\\\\n",
       "\t 20120629 & MATERIAL &  51\\\\\n",
       "\t 20120629 & CONMAT   &  37\\\\\n",
       "\t 20120629 & TRDDIST  &  36\\\\\n",
       "\t 20120629 & CONSSERV &  33\\\\\n",
       "\t 20120629 & BEV      &  31\\\\\n",
       "\t 20120629 & COMSERV  &  29\\\\\n",
       "\t 20120629 & BLDPROD  &  27\\\\\n",
       "\t 20120629 & MEDIA    &  26\\\\\n",
       "\t 20120629 & DVFININS &  25\\\\\n",
       "\t 20120629 & PERSPRD  &  25\\\\\n",
       "\t 20120629 & BANKS    &  16\\\\\n",
       "\t 20120629 & AIRLINE  &  13\\\\\n",
       "\t 20120629 & AERODEF  &  12\\\\\n",
       "\t 20120629 & MARINE   &  12\\\\\n",
       "\t 20120629 & INDCONG  &  11\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3744 × 3\n",
       "\n",
       "| date &lt;int&gt; | industry &lt;chr&gt; | stkcd_amount &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | HDWRSEMI | 224 |\n",
       "| 20120104 | CHEM     | 219 |\n",
       "| 20120104 | MACH     | 201 |\n",
       "| 20120104 | HEALTH   | 172 |\n",
       "| 20120104 | ELECEQP  | 131 |\n",
       "| 20120104 | REALEST  | 131 |\n",
       "| 20120104 | MTLMIN   | 128 |\n",
       "| 20120104 | LEISLUX  | 106 |\n",
       "| 20120104 | FOODPROD |  99 |\n",
       "| 20120104 | AUTO     |  85 |\n",
       "| 20120104 | SOFTWARE |  75 |\n",
       "| 20120104 | RETAIL   |  74 |\n",
       "| 20120104 | UTILITIE |  74 |\n",
       "| 20120104 | HOUSEDUR |  61 |\n",
       "| 20120104 | ENERGY   |  57 |\n",
       "| 20120104 | RDRLTRAN |  56 |\n",
       "| 20120104 | CNSTENG  |  54 |\n",
       "| 20120104 | MATERIAL |  48 |\n",
       "| 20120104 | CONMAT   |  37 |\n",
       "| 20120104 | TRDDIST  |  36 |\n",
       "| 20120104 | CONSSERV |  34 |\n",
       "| 20120104 | BEV      |  30 |\n",
       "| 20120104 | BLDPROD  |  28 |\n",
       "| 20120104 | COMSERV  |  27 |\n",
       "| 20120104 | PERSPRD  |  25 |\n",
       "| 20120104 | DVFININS |  23 |\n",
       "| 20120104 | MEDIA    |  22 |\n",
       "| 20120104 | BANKS    |  16 |\n",
       "| 20120104 | INDCONG  |  13 |\n",
       "| 20120104 | AIRLINE  |  12 |\n",
       "| ... | ... | ... |\n",
       "| 20120629 | MACH     | 208 |\n",
       "| 20120629 | HEALTH   | 183 |\n",
       "| 20120629 | ELECEQP  | 138 |\n",
       "| 20120629 | MTLMIN   | 133 |\n",
       "| 20120629 | REALEST  | 132 |\n",
       "| 20120629 | LEISLUX  | 110 |\n",
       "| 20120629 | FOODPROD | 103 |\n",
       "| 20120629 | AUTO     |  90 |\n",
       "| 20120629 | SOFTWARE |  89 |\n",
       "| 20120629 | UTILITIE |  75 |\n",
       "| 20120629 | RETAIL   |  74 |\n",
       "| 20120629 | HOUSEDUR |  63 |\n",
       "| 20120629 | ENERGY   |  59 |\n",
       "| 20120629 | CNSTENG  |  57 |\n",
       "| 20120629 | RDRLTRAN |  57 |\n",
       "| 20120629 | MATERIAL |  51 |\n",
       "| 20120629 | CONMAT   |  37 |\n",
       "| 20120629 | TRDDIST  |  36 |\n",
       "| 20120629 | CONSSERV |  33 |\n",
       "| 20120629 | BEV      |  31 |\n",
       "| 20120629 | COMSERV  |  29 |\n",
       "| 20120629 | BLDPROD  |  27 |\n",
       "| 20120629 | MEDIA    |  26 |\n",
       "| 20120629 | DVFININS |  25 |\n",
       "| 20120629 | PERSPRD  |  25 |\n",
       "| 20120629 | BANKS    |  16 |\n",
       "| 20120629 | AIRLINE  |  13 |\n",
       "| 20120629 | AERODEF  |  12 |\n",
       "| 20120629 | MARINE   |  12 |\n",
       "| 20120629 | INDCONG  |  11 |\n",
       "\n"
      ],
      "text/plain": [
       "     date     industry stkcd_amount\n",
       "1    20120104 HDWRSEMI 224         \n",
       "2    20120104 CHEM     219         \n",
       "3    20120104 MACH     201         \n",
       "4    20120104 HEALTH   172         \n",
       "5    20120104 ELECEQP  131         \n",
       "6    20120104 REALEST  131         \n",
       "7    20120104 MTLMIN   128         \n",
       "8    20120104 LEISLUX  106         \n",
       "9    20120104 FOODPROD  99         \n",
       "10   20120104 AUTO      85         \n",
       "11   20120104 SOFTWARE  75         \n",
       "12   20120104 RETAIL    74         \n",
       "13   20120104 UTILITIE  74         \n",
       "14   20120104 HOUSEDUR  61         \n",
       "15   20120104 ENERGY    57         \n",
       "16   20120104 RDRLTRAN  56         \n",
       "17   20120104 CNSTENG   54         \n",
       "18   20120104 MATERIAL  48         \n",
       "19   20120104 CONMAT    37         \n",
       "20   20120104 TRDDIST   36         \n",
       "21   20120104 CONSSERV  34         \n",
       "22   20120104 BEV       30         \n",
       "23   20120104 BLDPROD   28         \n",
       "24   20120104 COMSERV   27         \n",
       "25   20120104 PERSPRD   25         \n",
       "26   20120104 DVFININS  23         \n",
       "27   20120104 MEDIA     22         \n",
       "28   20120104 BANKS     16         \n",
       "29   20120104 INDCONG   13         \n",
       "30   20120104 AIRLINE   12         \n",
       "...  ...      ...      ...         \n",
       "3715 20120629 MACH     208         \n",
       "3716 20120629 HEALTH   183         \n",
       "3717 20120629 ELECEQP  138         \n",
       "3718 20120629 MTLMIN   133         \n",
       "3719 20120629 REALEST  132         \n",
       "3720 20120629 LEISLUX  110         \n",
       "3721 20120629 FOODPROD 103         \n",
       "3722 20120629 AUTO      90         \n",
       "3723 20120629 SOFTWARE  89         \n",
       "3724 20120629 UTILITIE  75         \n",
       "3725 20120629 RETAIL    74         \n",
       "3726 20120629 HOUSEDUR  63         \n",
       "3727 20120629 ENERGY    59         \n",
       "3728 20120629 CNSTENG   57         \n",
       "3729 20120629 RDRLTRAN  57         \n",
       "3730 20120629 MATERIAL  51         \n",
       "3731 20120629 CONMAT    37         \n",
       "3732 20120629 TRDDIST   36         \n",
       "3733 20120629 CONSSERV  33         \n",
       "3734 20120629 BEV       31         \n",
       "3735 20120629 COMSERV   29         \n",
       "3736 20120629 BLDPROD   27         \n",
       "3737 20120629 MEDIA     26         \n",
       "3738 20120629 DVFININS  25         \n",
       "3739 20120629 PERSPRD   25         \n",
       "3740 20120629 BANKS     16         \n",
       "3741 20120629 AIRLINE   13         \n",
       "3742 20120629 AERODEF   12         \n",
       "3743 20120629 MARINE    12         \n",
       "3744 20120629 INDCONG   11         "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_amount = uniqueN(symbol)), keyby = .(date, industry)\n",
    "    ][order(date, -stkcd_amount)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *24. 每个行业每天成交额最大的一只股票代码是什么？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 36,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3744 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>industry</th><th scope=col>symbol</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>AERODEF </td><td>000768.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE </td><td>600029.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO    </td><td>600104.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS   </td><td>600036.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV     </td><td>600519.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD </td><td>601636.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>CHEM    </td><td>600160.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>CNSTENG </td><td>601117.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>COMSERV </td><td>000544.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>CONMAT  </td><td>600585.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>CONSSERV</td><td>000069.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>DVFININS</td><td>601318.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>ELECEQP </td><td>600373.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>ENERGY  </td><td>600028.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>FOODPROD</td><td>600371.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>HDWRSEMI</td><td>300077.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>HEALTH  </td><td>000423.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>HOUSEDUR</td><td>000651.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>INDCONG </td><td>000009.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>LEISLUX </td><td>002292.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>MACH    </td><td>002006.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>MARINE  </td><td>601919.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>MATERIAL</td><td>600963.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>MEDIA   </td><td>601928.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>MTLMIN  </td><td>600111.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>PERSPRD </td><td>600827.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>RDRLTRAN</td><td>601006.SH</td></tr>\n",
       "\t<tr><td>20120104</td><td>REALEST </td><td>000002.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>RETAIL  </td><td>002024.SZ</td></tr>\n",
       "\t<tr><td>20120104</td><td>SOFTWARE</td><td>300166.SZ</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>AUTO    </td><td>600104.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>BANKS   </td><td>600016.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>BEV     </td><td>000799.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>BLDPROD </td><td>002665.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>CHEM    </td><td>600260.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>CNSTENG </td><td>601669.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>COMSERV </td><td>002310.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>CONMAT  </td><td>600585.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>CONSSERV</td><td>000069.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>DVFININS</td><td>601318.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>ELECEQP </td><td>600875.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>ENERGY  </td><td>600123.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>FOODPROD</td><td>600887.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>HDWRSEMI</td><td>000970.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>HEALTH  </td><td>600085.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>HOUSEDUR</td><td>000651.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>INDCONG </td><td>600668.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>LEISLUX </td><td>600152.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>MACH    </td><td>300332.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>MARINE  </td><td>002320.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>MATERIAL</td><td>600401.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>MEDIA   </td><td>601929.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>MTLMIN  </td><td>600111.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>PERSPRD </td><td>600827.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td>601006.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td>600048.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td>600739.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td>300104.SZ</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td>600366.SH</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td>600011.SH</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3744 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & industry & symbol\\\\\n",
       " <int> & <chr> & <chr>\\\\\n",
       "\\hline\n",
       "\t 20120104 & AERODEF  & 000768.SZ\\\\\n",
       "\t 20120104 & AIRLINE  & 600029.SH\\\\\n",
       "\t 20120104 & AUTO     & 600104.SH\\\\\n",
       "\t 20120104 & BANKS    & 600036.SH\\\\\n",
       "\t 20120104 & BEV      & 600519.SH\\\\\n",
       "\t 20120104 & BLDPROD  & 601636.SH\\\\\n",
       "\t 20120104 & CHEM     & 600160.SH\\\\\n",
       "\t 20120104 & CNSTENG  & 601117.SH\\\\\n",
       "\t 20120104 & COMSERV  & 000544.SZ\\\\\n",
       "\t 20120104 & CONMAT   & 600585.SH\\\\\n",
       "\t 20120104 & CONSSERV & 000069.SZ\\\\\n",
       "\t 20120104 & DVFININS & 601318.SH\\\\\n",
       "\t 20120104 & ELECEQP  & 600373.SH\\\\\n",
       "\t 20120104 & ENERGY   & 600028.SH\\\\\n",
       "\t 20120104 & FOODPROD & 600371.SH\\\\\n",
       "\t 20120104 & HDWRSEMI & 300077.SZ\\\\\n",
       "\t 20120104 & HEALTH   & 000423.SZ\\\\\n",
       "\t 20120104 & HOUSEDUR & 000651.SZ\\\\\n",
       "\t 20120104 & INDCONG  & 000009.SZ\\\\\n",
       "\t 20120104 & LEISLUX  & 002292.SZ\\\\\n",
       "\t 20120104 & MACH     & 002006.SZ\\\\\n",
       "\t 20120104 & MARINE   & 601919.SH\\\\\n",
       "\t 20120104 & MATERIAL & 600963.SH\\\\\n",
       "\t 20120104 & MEDIA    & 601928.SH\\\\\n",
       "\t 20120104 & MTLMIN   & 600111.SH\\\\\n",
       "\t 20120104 & PERSPRD  & 600827.SH\\\\\n",
       "\t 20120104 & RDRLTRAN & 601006.SH\\\\\n",
       "\t 20120104 & REALEST  & 000002.SZ\\\\\n",
       "\t 20120104 & RETAIL   & 002024.SZ\\\\\n",
       "\t 20120104 & SOFTWARE & 300166.SZ\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120629 & AUTO     & 600104.SH\\\\\n",
       "\t 20120629 & BANKS    & 600016.SH\\\\\n",
       "\t 20120629 & BEV      & 000799.SZ\\\\\n",
       "\t 20120629 & BLDPROD  & 002665.SZ\\\\\n",
       "\t 20120629 & CHEM     & 600260.SH\\\\\n",
       "\t 20120629 & CNSTENG  & 601669.SH\\\\\n",
       "\t 20120629 & COMSERV  & 002310.SZ\\\\\n",
       "\t 20120629 & CONMAT   & 600585.SH\\\\\n",
       "\t 20120629 & CONSSERV & 000069.SZ\\\\\n",
       "\t 20120629 & DVFININS & 601318.SH\\\\\n",
       "\t 20120629 & ELECEQP  & 600875.SH\\\\\n",
       "\t 20120629 & ENERGY   & 600123.SH\\\\\n",
       "\t 20120629 & FOODPROD & 600887.SH\\\\\n",
       "\t 20120629 & HDWRSEMI & 000970.SZ\\\\\n",
       "\t 20120629 & HEALTH   & 600085.SH\\\\\n",
       "\t 20120629 & HOUSEDUR & 000651.SZ\\\\\n",
       "\t 20120629 & INDCONG  & 600668.SH\\\\\n",
       "\t 20120629 & LEISLUX  & 600152.SH\\\\\n",
       "\t 20120629 & MACH     & 300332.SZ\\\\\n",
       "\t 20120629 & MARINE   & 002320.SZ\\\\\n",
       "\t 20120629 & MATERIAL & 600401.SH\\\\\n",
       "\t 20120629 & MEDIA    & 601929.SH\\\\\n",
       "\t 20120629 & MTLMIN   & 600111.SH\\\\\n",
       "\t 20120629 & PERSPRD  & 600827.SH\\\\\n",
       "\t 20120629 & RDRLTRAN & 601006.SH\\\\\n",
       "\t 20120629 & REALEST  & 600048.SH\\\\\n",
       "\t 20120629 & RETAIL   & 600739.SH\\\\\n",
       "\t 20120629 & SOFTWARE & 300104.SZ\\\\\n",
       "\t 20120629 & TRDDIST  & 600366.SH\\\\\n",
       "\t 20120629 & UTILITIE & 600011.SH\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3744 × 3\n",
       "\n",
       "| date &lt;int&gt; | industry &lt;chr&gt; | symbol &lt;chr&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | AERODEF  | 000768.SZ |\n",
       "| 20120104 | AIRLINE  | 600029.SH |\n",
       "| 20120104 | AUTO     | 600104.SH |\n",
       "| 20120104 | BANKS    | 600036.SH |\n",
       "| 20120104 | BEV      | 600519.SH |\n",
       "| 20120104 | BLDPROD  | 601636.SH |\n",
       "| 20120104 | CHEM     | 600160.SH |\n",
       "| 20120104 | CNSTENG  | 601117.SH |\n",
       "| 20120104 | COMSERV  | 000544.SZ |\n",
       "| 20120104 | CONMAT   | 600585.SH |\n",
       "| 20120104 | CONSSERV | 000069.SZ |\n",
       "| 20120104 | DVFININS | 601318.SH |\n",
       "| 20120104 | ELECEQP  | 600373.SH |\n",
       "| 20120104 | ENERGY   | 600028.SH |\n",
       "| 20120104 | FOODPROD | 600371.SH |\n",
       "| 20120104 | HDWRSEMI | 300077.SZ |\n",
       "| 20120104 | HEALTH   | 000423.SZ |\n",
       "| 20120104 | HOUSEDUR | 000651.SZ |\n",
       "| 20120104 | INDCONG  | 000009.SZ |\n",
       "| 20120104 | LEISLUX  | 002292.SZ |\n",
       "| 20120104 | MACH     | 002006.SZ |\n",
       "| 20120104 | MARINE   | 601919.SH |\n",
       "| 20120104 | MATERIAL | 600963.SH |\n",
       "| 20120104 | MEDIA    | 601928.SH |\n",
       "| 20120104 | MTLMIN   | 600111.SH |\n",
       "| 20120104 | PERSPRD  | 600827.SH |\n",
       "| 20120104 | RDRLTRAN | 601006.SH |\n",
       "| 20120104 | REALEST  | 000002.SZ |\n",
       "| 20120104 | RETAIL   | 002024.SZ |\n",
       "| 20120104 | SOFTWARE | 300166.SZ |\n",
       "| ... | ... | ... |\n",
       "| 20120629 | AUTO     | 600104.SH |\n",
       "| 20120629 | BANKS    | 600016.SH |\n",
       "| 20120629 | BEV      | 000799.SZ |\n",
       "| 20120629 | BLDPROD  | 002665.SZ |\n",
       "| 20120629 | CHEM     | 600260.SH |\n",
       "| 20120629 | CNSTENG  | 601669.SH |\n",
       "| 20120629 | COMSERV  | 002310.SZ |\n",
       "| 20120629 | CONMAT   | 600585.SH |\n",
       "| 20120629 | CONSSERV | 000069.SZ |\n",
       "| 20120629 | DVFININS | 601318.SH |\n",
       "| 20120629 | ELECEQP  | 600875.SH |\n",
       "| 20120629 | ENERGY   | 600123.SH |\n",
       "| 20120629 | FOODPROD | 600887.SH |\n",
       "| 20120629 | HDWRSEMI | 000970.SZ |\n",
       "| 20120629 | HEALTH   | 600085.SH |\n",
       "| 20120629 | HOUSEDUR | 000651.SZ |\n",
       "| 20120629 | INDCONG  | 600668.SH |\n",
       "| 20120629 | LEISLUX  | 600152.SH |\n",
       "| 20120629 | MACH     | 300332.SZ |\n",
       "| 20120629 | MARINE   | 002320.SZ |\n",
       "| 20120629 | MATERIAL | 600401.SH |\n",
       "| 20120629 | MEDIA    | 601929.SH |\n",
       "| 20120629 | MTLMIN   | 600111.SH |\n",
       "| 20120629 | PERSPRD  | 600827.SH |\n",
       "| 20120629 | RDRLTRAN | 601006.SH |\n",
       "| 20120629 | REALEST  | 600048.SH |\n",
       "| 20120629 | RETAIL   | 600739.SH |\n",
       "| 20120629 | SOFTWARE | 300104.SZ |\n",
       "| 20120629 | TRDDIST  | 600366.SH |\n",
       "| 20120629 | UTILITIE | 600011.SH |\n",
       "\n"
      ],
      "text/plain": [
       "     date     industry symbol   \n",
       "1    20120104 AERODEF  000768.SZ\n",
       "2    20120104 AIRLINE  600029.SH\n",
       "3    20120104 AUTO     600104.SH\n",
       "4    20120104 BANKS    600036.SH\n",
       "5    20120104 BEV      600519.SH\n",
       "6    20120104 BLDPROD  601636.SH\n",
       "7    20120104 CHEM     600160.SH\n",
       "8    20120104 CNSTENG  601117.SH\n",
       "9    20120104 COMSERV  000544.SZ\n",
       "10   20120104 CONMAT   600585.SH\n",
       "11   20120104 CONSSERV 000069.SZ\n",
       "12   20120104 DVFININS 601318.SH\n",
       "13   20120104 ELECEQP  600373.SH\n",
       "14   20120104 ENERGY   600028.SH\n",
       "15   20120104 FOODPROD 600371.SH\n",
       "16   20120104 HDWRSEMI 300077.SZ\n",
       "17   20120104 HEALTH   000423.SZ\n",
       "18   20120104 HOUSEDUR 000651.SZ\n",
       "19   20120104 INDCONG  000009.SZ\n",
       "20   20120104 LEISLUX  002292.SZ\n",
       "21   20120104 MACH     002006.SZ\n",
       "22   20120104 MARINE   601919.SH\n",
       "23   20120104 MATERIAL 600963.SH\n",
       "24   20120104 MEDIA    601928.SH\n",
       "25   20120104 MTLMIN   600111.SH\n",
       "26   20120104 PERSPRD  600827.SH\n",
       "27   20120104 RDRLTRAN 601006.SH\n",
       "28   20120104 REALEST  000002.SZ\n",
       "29   20120104 RETAIL   002024.SZ\n",
       "30   20120104 SOFTWARE 300166.SZ\n",
       "...  ...      ...      ...      \n",
       "3715 20120629 AUTO     600104.SH\n",
       "3716 20120629 BANKS    600016.SH\n",
       "3717 20120629 BEV      000799.SZ\n",
       "3718 20120629 BLDPROD  002665.SZ\n",
       "3719 20120629 CHEM     600260.SH\n",
       "3720 20120629 CNSTENG  601669.SH\n",
       "3721 20120629 COMSERV  002310.SZ\n",
       "3722 20120629 CONMAT   600585.SH\n",
       "3723 20120629 CONSSERV 000069.SZ\n",
       "3724 20120629 DVFININS 601318.SH\n",
       "3725 20120629 ELECEQP  600875.SH\n",
       "3726 20120629 ENERGY   600123.SH\n",
       "3727 20120629 FOODPROD 600887.SH\n",
       "3728 20120629 HDWRSEMI 000970.SZ\n",
       "3729 20120629 HEALTH   600085.SH\n",
       "3730 20120629 HOUSEDUR 000651.SZ\n",
       "3731 20120629 INDCONG  600668.SH\n",
       "3732 20120629 LEISLUX  600152.SH\n",
       "3733 20120629 MACH     300332.SZ\n",
       "3734 20120629 MARINE   002320.SZ\n",
       "3735 20120629 MATERIAL 600401.SH\n",
       "3736 20120629 MEDIA    601929.SH\n",
       "3737 20120629 MTLMIN   600111.SH\n",
       "3738 20120629 PERSPRD  600827.SH\n",
       "3739 20120629 RDRLTRAN 601006.SH\n",
       "3740 20120629 REALEST  600048.SH\n",
       "3741 20120629 RETAIL   600739.SH\n",
       "3742 20120629 SOFTWARE 300104.SZ\n",
       "3743 20120629 TRDDIST  600366.SH\n",
       "3744 20120629 UTILITIE 600011.SH"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[order(-amount), .(symbol = symbol[1]), keyby = .(date, industry)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *25. 每个行业每天最大成交额是最小成交额的几倍？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 37,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3744 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>industry</th><th scope=col>times</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>AERODEF </td><td> 1.6822610</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE </td><td>17.0340980</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO    </td><td> 0.3134478</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS   </td><td> 4.5180305</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV     </td><td> 0.2922401</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD </td><td> 0.7188041</td></tr>\n",
       "\t<tr><td>20120104</td><td>CHEM    </td><td> 1.0349111</td></tr>\n",
       "\t<tr><td>20120104</td><td>CNSTENG </td><td> 0.5009316</td></tr>\n",
       "\t<tr><td>20120104</td><td>COMSERV </td><td> 1.0394275</td></tr>\n",
       "\t<tr><td>20120104</td><td>CONMAT  </td><td> 4.2984205</td></tr>\n",
       "\t<tr><td>20120104</td><td>CONSSERV</td><td> 0.8214472</td></tr>\n",
       "\t<tr><td>20120104</td><td>DVFININS</td><td> 3.2683079</td></tr>\n",
       "\t<tr><td>20120104</td><td>ELECEQP </td><td> 1.3623109</td></tr>\n",
       "\t<tr><td>20120104</td><td>ENERGY  </td><td>34.3966060</td></tr>\n",
       "\t<tr><td>20120104</td><td>FOODPROD</td><td> 0.1772187</td></tr>\n",
       "\t<tr><td>20120104</td><td>HDWRSEMI</td><td> 2.4764020</td></tr>\n",
       "\t<tr><td>20120104</td><td>HEALTH  </td><td> 0.2420717</td></tr>\n",
       "\t<tr><td>20120104</td><td>HOUSEDUR</td><td> 0.6168042</td></tr>\n",
       "\t<tr><td>20120104</td><td>INDCONG </td><td> 6.1823444</td></tr>\n",
       "\t<tr><td>20120104</td><td>LEISLUX </td><td> 0.3167109</td></tr>\n",
       "\t<tr><td>20120104</td><td>MACH    </td><td> 4.8111147</td></tr>\n",
       "\t<tr><td>20120104</td><td>MARINE  </td><td> 0.4432790</td></tr>\n",
       "\t<tr><td>20120104</td><td>MATERIAL</td><td>12.4777166</td></tr>\n",
       "\t<tr><td>20120104</td><td>MEDIA   </td><td> 2.2790388</td></tr>\n",
       "\t<tr><td>20120104</td><td>MTLMIN  </td><td> 3.3665150</td></tr>\n",
       "\t<tr><td>20120104</td><td>PERSPRD </td><td> 0.1256154</td></tr>\n",
       "\t<tr><td>20120104</td><td>RDRLTRAN</td><td> 2.5649232</td></tr>\n",
       "\t<tr><td>20120104</td><td>REALEST </td><td> 0.4121114</td></tr>\n",
       "\t<tr><td>20120104</td><td>RETAIL  </td><td> 0.2165226</td></tr>\n",
       "\t<tr><td>20120104</td><td>SOFTWARE</td><td> 2.7345634</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>AUTO    </td><td>2.27323689</td></tr>\n",
       "\t<tr><td>20120629</td><td>BANKS   </td><td>2.06223330</td></tr>\n",
       "\t<tr><td>20120629</td><td>BEV     </td><td>0.61905775</td></tr>\n",
       "\t<tr><td>20120629</td><td>BLDPROD </td><td>1.77302846</td></tr>\n",
       "\t<tr><td>20120629</td><td>CHEM    </td><td>2.54753075</td></tr>\n",
       "\t<tr><td>20120629</td><td>CNSTENG </td><td>1.55439024</td></tr>\n",
       "\t<tr><td>20120629</td><td>COMSERV </td><td>0.24126277</td></tr>\n",
       "\t<tr><td>20120629</td><td>CONMAT  </td><td>6.12903666</td></tr>\n",
       "\t<tr><td>20120629</td><td>CONSSERV</td><td>3.03217547</td></tr>\n",
       "\t<tr><td>20120629</td><td>DVFININS</td><td>2.99211946</td></tr>\n",
       "\t<tr><td>20120629</td><td>ELECEQP </td><td>1.70335236</td></tr>\n",
       "\t<tr><td>20120629</td><td>ENERGY  </td><td>2.46010199</td></tr>\n",
       "\t<tr><td>20120629</td><td>FOODPROD</td><td>4.18878344</td></tr>\n",
       "\t<tr><td>20120629</td><td>HDWRSEMI</td><td>0.61688526</td></tr>\n",
       "\t<tr><td>20120629</td><td>HEALTH  </td><td>0.09351477</td></tr>\n",
       "\t<tr><td>20120629</td><td>HOUSEDUR</td><td>2.69817425</td></tr>\n",
       "\t<tr><td>20120629</td><td>INDCONG </td><td>0.71609360</td></tr>\n",
       "\t<tr><td>20120629</td><td>LEISLUX </td><td>0.58744568</td></tr>\n",
       "\t<tr><td>20120629</td><td>MACH    </td><td>0.56622217</td></tr>\n",
       "\t<tr><td>20120629</td><td>MARINE  </td><td>0.18630310</td></tr>\n",
       "\t<tr><td>20120629</td><td>MATERIAL</td><td>3.20769498</td></tr>\n",
       "\t<tr><td>20120629</td><td>MEDIA   </td><td>0.39127529</td></tr>\n",
       "\t<tr><td>20120629</td><td>MTLMIN  </td><td>0.36931516</td></tr>\n",
       "\t<tr><td>20120629</td><td>PERSPRD </td><td>0.03507188</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td>0.14896858</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td>0.35510014</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td>5.96876353</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td>1.14844790</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td>0.67385846</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td>0.42938029</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3744 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & industry & times\\\\\n",
       " <int> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & AERODEF  &  1.6822610\\\\\n",
       "\t 20120104 & AIRLINE  & 17.0340980\\\\\n",
       "\t 20120104 & AUTO     &  0.3134478\\\\\n",
       "\t 20120104 & BANKS    &  4.5180305\\\\\n",
       "\t 20120104 & BEV      &  0.2922401\\\\\n",
       "\t 20120104 & BLDPROD  &  0.7188041\\\\\n",
       "\t 20120104 & CHEM     &  1.0349111\\\\\n",
       "\t 20120104 & CNSTENG  &  0.5009316\\\\\n",
       "\t 20120104 & COMSERV  &  1.0394275\\\\\n",
       "\t 20120104 & CONMAT   &  4.2984205\\\\\n",
       "\t 20120104 & CONSSERV &  0.8214472\\\\\n",
       "\t 20120104 & DVFININS &  3.2683079\\\\\n",
       "\t 20120104 & ELECEQP  &  1.3623109\\\\\n",
       "\t 20120104 & ENERGY   & 34.3966060\\\\\n",
       "\t 20120104 & FOODPROD &  0.1772187\\\\\n",
       "\t 20120104 & HDWRSEMI &  2.4764020\\\\\n",
       "\t 20120104 & HEALTH   &  0.2420717\\\\\n",
       "\t 20120104 & HOUSEDUR &  0.6168042\\\\\n",
       "\t 20120104 & INDCONG  &  6.1823444\\\\\n",
       "\t 20120104 & LEISLUX  &  0.3167109\\\\\n",
       "\t 20120104 & MACH     &  4.8111147\\\\\n",
       "\t 20120104 & MARINE   &  0.4432790\\\\\n",
       "\t 20120104 & MATERIAL & 12.4777166\\\\\n",
       "\t 20120104 & MEDIA    &  2.2790388\\\\\n",
       "\t 20120104 & MTLMIN   &  3.3665150\\\\\n",
       "\t 20120104 & PERSPRD  &  0.1256154\\\\\n",
       "\t 20120104 & RDRLTRAN &  2.5649232\\\\\n",
       "\t 20120104 & REALEST  &  0.4121114\\\\\n",
       "\t 20120104 & RETAIL   &  0.2165226\\\\\n",
       "\t 20120104 & SOFTWARE &  2.7345634\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120629 & AUTO     & 2.27323689\\\\\n",
       "\t 20120629 & BANKS    & 2.06223330\\\\\n",
       "\t 20120629 & BEV      & 0.61905775\\\\\n",
       "\t 20120629 & BLDPROD  & 1.77302846\\\\\n",
       "\t 20120629 & CHEM     & 2.54753075\\\\\n",
       "\t 20120629 & CNSTENG  & 1.55439024\\\\\n",
       "\t 20120629 & COMSERV  & 0.24126277\\\\\n",
       "\t 20120629 & CONMAT   & 6.12903666\\\\\n",
       "\t 20120629 & CONSSERV & 3.03217547\\\\\n",
       "\t 20120629 & DVFININS & 2.99211946\\\\\n",
       "\t 20120629 & ELECEQP  & 1.70335236\\\\\n",
       "\t 20120629 & ENERGY   & 2.46010199\\\\\n",
       "\t 20120629 & FOODPROD & 4.18878344\\\\\n",
       "\t 20120629 & HDWRSEMI & 0.61688526\\\\\n",
       "\t 20120629 & HEALTH   & 0.09351477\\\\\n",
       "\t 20120629 & HOUSEDUR & 2.69817425\\\\\n",
       "\t 20120629 & INDCONG  & 0.71609360\\\\\n",
       "\t 20120629 & LEISLUX  & 0.58744568\\\\\n",
       "\t 20120629 & MACH     & 0.56622217\\\\\n",
       "\t 20120629 & MARINE   & 0.18630310\\\\\n",
       "\t 20120629 & MATERIAL & 3.20769498\\\\\n",
       "\t 20120629 & MEDIA    & 0.39127529\\\\\n",
       "\t 20120629 & MTLMIN   & 0.36931516\\\\\n",
       "\t 20120629 & PERSPRD  & 0.03507188\\\\\n",
       "\t 20120629 & RDRLTRAN & 0.14896858\\\\\n",
       "\t 20120629 & REALEST  & 0.35510014\\\\\n",
       "\t 20120629 & RETAIL   & 5.96876353\\\\\n",
       "\t 20120629 & SOFTWARE & 1.14844790\\\\\n",
       "\t 20120629 & TRDDIST  & 0.67385846\\\\\n",
       "\t 20120629 & UTILITIE & 0.42938029\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3744 × 3\n",
       "\n",
       "| date &lt;int&gt; | industry &lt;chr&gt; | times &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | AERODEF  |  1.6822610 |\n",
       "| 20120104 | AIRLINE  | 17.0340980 |\n",
       "| 20120104 | AUTO     |  0.3134478 |\n",
       "| 20120104 | BANKS    |  4.5180305 |\n",
       "| 20120104 | BEV      |  0.2922401 |\n",
       "| 20120104 | BLDPROD  |  0.7188041 |\n",
       "| 20120104 | CHEM     |  1.0349111 |\n",
       "| 20120104 | CNSTENG  |  0.5009316 |\n",
       "| 20120104 | COMSERV  |  1.0394275 |\n",
       "| 20120104 | CONMAT   |  4.2984205 |\n",
       "| 20120104 | CONSSERV |  0.8214472 |\n",
       "| 20120104 | DVFININS |  3.2683079 |\n",
       "| 20120104 | ELECEQP  |  1.3623109 |\n",
       "| 20120104 | ENERGY   | 34.3966060 |\n",
       "| 20120104 | FOODPROD |  0.1772187 |\n",
       "| 20120104 | HDWRSEMI |  2.4764020 |\n",
       "| 20120104 | HEALTH   |  0.2420717 |\n",
       "| 20120104 | HOUSEDUR |  0.6168042 |\n",
       "| 20120104 | INDCONG  |  6.1823444 |\n",
       "| 20120104 | LEISLUX  |  0.3167109 |\n",
       "| 20120104 | MACH     |  4.8111147 |\n",
       "| 20120104 | MARINE   |  0.4432790 |\n",
       "| 20120104 | MATERIAL | 12.4777166 |\n",
       "| 20120104 | MEDIA    |  2.2790388 |\n",
       "| 20120104 | MTLMIN   |  3.3665150 |\n",
       "| 20120104 | PERSPRD  |  0.1256154 |\n",
       "| 20120104 | RDRLTRAN |  2.5649232 |\n",
       "| 20120104 | REALEST  |  0.4121114 |\n",
       "| 20120104 | RETAIL   |  0.2165226 |\n",
       "| 20120104 | SOFTWARE |  2.7345634 |\n",
       "| ... | ... | ... |\n",
       "| 20120629 | AUTO     | 2.27323689 |\n",
       "| 20120629 | BANKS    | 2.06223330 |\n",
       "| 20120629 | BEV      | 0.61905775 |\n",
       "| 20120629 | BLDPROD  | 1.77302846 |\n",
       "| 20120629 | CHEM     | 2.54753075 |\n",
       "| 20120629 | CNSTENG  | 1.55439024 |\n",
       "| 20120629 | COMSERV  | 0.24126277 |\n",
       "| 20120629 | CONMAT   | 6.12903666 |\n",
       "| 20120629 | CONSSERV | 3.03217547 |\n",
       "| 20120629 | DVFININS | 2.99211946 |\n",
       "| 20120629 | ELECEQP  | 1.70335236 |\n",
       "| 20120629 | ENERGY   | 2.46010199 |\n",
       "| 20120629 | FOODPROD | 4.18878344 |\n",
       "| 20120629 | HDWRSEMI | 0.61688526 |\n",
       "| 20120629 | HEALTH   | 0.09351477 |\n",
       "| 20120629 | HOUSEDUR | 2.69817425 |\n",
       "| 20120629 | INDCONG  | 0.71609360 |\n",
       "| 20120629 | LEISLUX  | 0.58744568 |\n",
       "| 20120629 | MACH     | 0.56622217 |\n",
       "| 20120629 | MARINE   | 0.18630310 |\n",
       "| 20120629 | MATERIAL | 3.20769498 |\n",
       "| 20120629 | MEDIA    | 0.39127529 |\n",
       "| 20120629 | MTLMIN   | 0.36931516 |\n",
       "| 20120629 | PERSPRD  | 0.03507188 |\n",
       "| 20120629 | RDRLTRAN | 0.14896858 |\n",
       "| 20120629 | REALEST  | 0.35510014 |\n",
       "| 20120629 | RETAIL   | 5.96876353 |\n",
       "| 20120629 | SOFTWARE | 1.14844790 |\n",
       "| 20120629 | TRDDIST  | 0.67385846 |\n",
       "| 20120629 | UTILITIE | 0.42938029 |\n",
       "\n"
      ],
      "text/plain": [
       "     date     industry times     \n",
       "1    20120104 AERODEF   1.6822610\n",
       "2    20120104 AIRLINE  17.0340980\n",
       "3    20120104 AUTO      0.3134478\n",
       "4    20120104 BANKS     4.5180305\n",
       "5    20120104 BEV       0.2922401\n",
       "6    20120104 BLDPROD   0.7188041\n",
       "7    20120104 CHEM      1.0349111\n",
       "8    20120104 CNSTENG   0.5009316\n",
       "9    20120104 COMSERV   1.0394275\n",
       "10   20120104 CONMAT    4.2984205\n",
       "11   20120104 CONSSERV  0.8214472\n",
       "12   20120104 DVFININS  3.2683079\n",
       "13   20120104 ELECEQP   1.3623109\n",
       "14   20120104 ENERGY   34.3966060\n",
       "15   20120104 FOODPROD  0.1772187\n",
       "16   20120104 HDWRSEMI  2.4764020\n",
       "17   20120104 HEALTH    0.2420717\n",
       "18   20120104 HOUSEDUR  0.6168042\n",
       "19   20120104 INDCONG   6.1823444\n",
       "20   20120104 LEISLUX   0.3167109\n",
       "21   20120104 MACH      4.8111147\n",
       "22   20120104 MARINE    0.4432790\n",
       "23   20120104 MATERIAL 12.4777166\n",
       "24   20120104 MEDIA     2.2790388\n",
       "25   20120104 MTLMIN    3.3665150\n",
       "26   20120104 PERSPRD   0.1256154\n",
       "27   20120104 RDRLTRAN  2.5649232\n",
       "28   20120104 REALEST   0.4121114\n",
       "29   20120104 RETAIL    0.2165226\n",
       "30   20120104 SOFTWARE  2.7345634\n",
       "...  ...      ...      ...       \n",
       "3715 20120629 AUTO     2.27323689\n",
       "3716 20120629 BANKS    2.06223330\n",
       "3717 20120629 BEV      0.61905775\n",
       "3718 20120629 BLDPROD  1.77302846\n",
       "3719 20120629 CHEM     2.54753075\n",
       "3720 20120629 CNSTENG  1.55439024\n",
       "3721 20120629 COMSERV  0.24126277\n",
       "3722 20120629 CONMAT   6.12903666\n",
       "3723 20120629 CONSSERV 3.03217547\n",
       "3724 20120629 DVFININS 2.99211946\n",
       "3725 20120629 ELECEQP  1.70335236\n",
       "3726 20120629 ENERGY   2.46010199\n",
       "3727 20120629 FOODPROD 4.18878344\n",
       "3728 20120629 HDWRSEMI 0.61688526\n",
       "3729 20120629 HEALTH   0.09351477\n",
       "3730 20120629 HOUSEDUR 2.69817425\n",
       "3731 20120629 INDCONG  0.71609360\n",
       "3732 20120629 LEISLUX  0.58744568\n",
       "3733 20120629 MACH     0.56622217\n",
       "3734 20120629 MARINE   0.18630310\n",
       "3735 20120629 MATERIAL 3.20769498\n",
       "3736 20120629 MEDIA    0.39127529\n",
       "3737 20120629 MTLMIN   0.36931516\n",
       "3738 20120629 PERSPRD  0.03507188\n",
       "3739 20120629 RDRLTRAN 0.14896858\n",
       "3740 20120629 REALEST  0.35510014\n",
       "3741 20120629 RETAIL   5.96876353\n",
       "3742 20120629 SOFTWARE 1.14844790\n",
       "3743 20120629 TRDDIST  0.67385846\n",
       "3744 20120629 UTILITIE 0.42938029"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[order(-amount) & amount > 0, .(times = amount[1]/amount[.N]), keyby = .(date, industry)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *26. 每个行业每天成交额最大的5只股票和成交额总和是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 18720 × 4</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>industry</th><th scope=col>symbol</th><th scope=col>amount</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>AERODEF</td><td>000768.SZ</td><td> 384758246</td></tr>\n",
       "\t<tr><td>20120104</td><td>AERODEF</td><td>600316.SH</td><td> 384758246</td></tr>\n",
       "\t<tr><td>20120104</td><td>AERODEF</td><td>002025.SZ</td><td> 384758246</td></tr>\n",
       "\t<tr><td>20120104</td><td>AERODEF</td><td>600893.SH</td><td> 384758246</td></tr>\n",
       "\t<tr><td>20120104</td><td>AERODEF</td><td>600118.SH</td><td> 384758246</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE</td><td>600029.SH</td><td> 321770512</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE</td><td>600221.SH</td><td> 321770512</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE</td><td>601111.SH</td><td> 321770512</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE</td><td>600115.SH</td><td> 321770512</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE</td><td>000099.SZ</td><td> 321770512</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO   </td><td>600104.SH</td><td> 859985682</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO   </td><td>000581.SZ</td><td> 859985682</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO   </td><td>000800.SZ</td><td> 859985682</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO   </td><td>600741.SH</td><td> 859985682</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO   </td><td>600760.SH</td><td> 859985682</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS  </td><td>600036.SH</td><td>2089068190</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS  </td><td>601166.SH</td><td>2089068190</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS  </td><td>600016.SH</td><td>2089068190</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS  </td><td>600000.SH</td><td>2089068190</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS  </td><td>601818.SH</td><td>2089068190</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV    </td><td>600519.SH</td><td>1869108456</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV    </td><td>000858.SZ</td><td>1869108456</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV    </td><td>000568.SZ</td><td>1869108456</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV    </td><td>002646.SZ</td><td>1869108456</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV    </td><td>600809.SH</td><td>1869108456</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD</td><td>601636.SH</td><td> 133949358</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD</td><td>002631.SZ</td><td> 133949358</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD</td><td>000786.SZ</td><td> 133949358</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD</td><td>002011.SZ</td><td> 133949358</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD</td><td>002162.SZ</td><td> 133949358</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td>601006.SH</td><td> 695894990</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td>601880.SH</td><td> 695894990</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td>600077.SH</td><td> 695894990</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td>000828.SZ</td><td> 695894990</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td>002682.SZ</td><td> 695894990</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td>600048.SH</td><td>1569178531</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td>600383.SH</td><td>1569178531</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td>000014.SZ</td><td>1569178531</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td>600113.SH</td><td>1569178531</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td>600606.SH</td><td>1569178531</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td>600739.SH</td><td> 760465188</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td>002024.SZ</td><td> 760465188</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td>600315.SH</td><td> 760465188</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td>600830.SH</td><td> 760465188</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td>600120.SH</td><td> 760465188</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td>300104.SZ</td><td> 820995303</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td>002230.SZ</td><td> 820995303</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td>002063.SZ</td><td> 820995303</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td>600588.SH</td><td> 820995303</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td>002474.SZ</td><td> 820995303</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td>600366.SH</td><td> 837608599</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td>600735.SH</td><td> 837608599</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td>600546.SH</td><td> 837608599</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td>600605.SH</td><td> 837608599</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td>600058.SH</td><td> 837608599</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td>600011.SH</td><td> 849040464</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td>600027.SH</td><td> 849040464</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td>300262.SZ</td><td> 849040464</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td>000543.SZ</td><td> 849040464</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td>600292.SH</td><td> 849040464</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 18720 × 4\n",
       "\\begin{tabular}{r|llll}\n",
       " date & industry & symbol & amount\\\\\n",
       " <int> & <chr> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & AERODEF & 000768.SZ &  384758246\\\\\n",
       "\t 20120104 & AERODEF & 600316.SH &  384758246\\\\\n",
       "\t 20120104 & AERODEF & 002025.SZ &  384758246\\\\\n",
       "\t 20120104 & AERODEF & 600893.SH &  384758246\\\\\n",
       "\t 20120104 & AERODEF & 600118.SH &  384758246\\\\\n",
       "\t 20120104 & AIRLINE & 600029.SH &  321770512\\\\\n",
       "\t 20120104 & AIRLINE & 600221.SH &  321770512\\\\\n",
       "\t 20120104 & AIRLINE & 601111.SH &  321770512\\\\\n",
       "\t 20120104 & AIRLINE & 600115.SH &  321770512\\\\\n",
       "\t 20120104 & AIRLINE & 000099.SZ &  321770512\\\\\n",
       "\t 20120104 & AUTO    & 600104.SH &  859985682\\\\\n",
       "\t 20120104 & AUTO    & 000581.SZ &  859985682\\\\\n",
       "\t 20120104 & AUTO    & 000800.SZ &  859985682\\\\\n",
       "\t 20120104 & AUTO    & 600741.SH &  859985682\\\\\n",
       "\t 20120104 & AUTO    & 600760.SH &  859985682\\\\\n",
       "\t 20120104 & BANKS   & 600036.SH & 2089068190\\\\\n",
       "\t 20120104 & BANKS   & 601166.SH & 2089068190\\\\\n",
       "\t 20120104 & BANKS   & 600016.SH & 2089068190\\\\\n",
       "\t 20120104 & BANKS   & 600000.SH & 2089068190\\\\\n",
       "\t 20120104 & BANKS   & 601818.SH & 2089068190\\\\\n",
       "\t 20120104 & BEV     & 600519.SH & 1869108456\\\\\n",
       "\t 20120104 & BEV     & 000858.SZ & 1869108456\\\\\n",
       "\t 20120104 & BEV     & 000568.SZ & 1869108456\\\\\n",
       "\t 20120104 & BEV     & 002646.SZ & 1869108456\\\\\n",
       "\t 20120104 & BEV     & 600809.SH & 1869108456\\\\\n",
       "\t 20120104 & BLDPROD & 601636.SH &  133949358\\\\\n",
       "\t 20120104 & BLDPROD & 002631.SZ &  133949358\\\\\n",
       "\t 20120104 & BLDPROD & 000786.SZ &  133949358\\\\\n",
       "\t 20120104 & BLDPROD & 002011.SZ &  133949358\\\\\n",
       "\t 20120104 & BLDPROD & 002162.SZ &  133949358\\\\\n",
       "\t ... & ... & ... & ...\\\\\n",
       "\t 20120629 & RDRLTRAN & 601006.SH &  695894990\\\\\n",
       "\t 20120629 & RDRLTRAN & 601880.SH &  695894990\\\\\n",
       "\t 20120629 & RDRLTRAN & 600077.SH &  695894990\\\\\n",
       "\t 20120629 & RDRLTRAN & 000828.SZ &  695894990\\\\\n",
       "\t 20120629 & RDRLTRAN & 002682.SZ &  695894990\\\\\n",
       "\t 20120629 & REALEST  & 600048.SH & 1569178531\\\\\n",
       "\t 20120629 & REALEST  & 600383.SH & 1569178531\\\\\n",
       "\t 20120629 & REALEST  & 000014.SZ & 1569178531\\\\\n",
       "\t 20120629 & REALEST  & 600113.SH & 1569178531\\\\\n",
       "\t 20120629 & REALEST  & 600606.SH & 1569178531\\\\\n",
       "\t 20120629 & RETAIL   & 600739.SH &  760465188\\\\\n",
       "\t 20120629 & RETAIL   & 002024.SZ &  760465188\\\\\n",
       "\t 20120629 & RETAIL   & 600315.SH &  760465188\\\\\n",
       "\t 20120629 & RETAIL   & 600830.SH &  760465188\\\\\n",
       "\t 20120629 & RETAIL   & 600120.SH &  760465188\\\\\n",
       "\t 20120629 & SOFTWARE & 300104.SZ &  820995303\\\\\n",
       "\t 20120629 & SOFTWARE & 002230.SZ &  820995303\\\\\n",
       "\t 20120629 & SOFTWARE & 002063.SZ &  820995303\\\\\n",
       "\t 20120629 & SOFTWARE & 600588.SH &  820995303\\\\\n",
       "\t 20120629 & SOFTWARE & 002474.SZ &  820995303\\\\\n",
       "\t 20120629 & TRDDIST  & 600366.SH &  837608599\\\\\n",
       "\t 20120629 & TRDDIST  & 600735.SH &  837608599\\\\\n",
       "\t 20120629 & TRDDIST  & 600546.SH &  837608599\\\\\n",
       "\t 20120629 & TRDDIST  & 600605.SH &  837608599\\\\\n",
       "\t 20120629 & TRDDIST  & 600058.SH &  837608599\\\\\n",
       "\t 20120629 & UTILITIE & 600011.SH &  849040464\\\\\n",
       "\t 20120629 & UTILITIE & 600027.SH &  849040464\\\\\n",
       "\t 20120629 & UTILITIE & 300262.SZ &  849040464\\\\\n",
       "\t 20120629 & UTILITIE & 000543.SZ &  849040464\\\\\n",
       "\t 20120629 & UTILITIE & 600292.SH &  849040464\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 18720 × 4\n",
       "\n",
       "| date &lt;int&gt; | industry &lt;chr&gt; | symbol &lt;chr&gt; | amount &lt;dbl&gt; |\n",
       "|---|---|---|---|\n",
       "| 20120104 | AERODEF | 000768.SZ |  384758246 |\n",
       "| 20120104 | AERODEF | 600316.SH |  384758246 |\n",
       "| 20120104 | AERODEF | 002025.SZ |  384758246 |\n",
       "| 20120104 | AERODEF | 600893.SH |  384758246 |\n",
       "| 20120104 | AERODEF | 600118.SH |  384758246 |\n",
       "| 20120104 | AIRLINE | 600029.SH |  321770512 |\n",
       "| 20120104 | AIRLINE | 600221.SH |  321770512 |\n",
       "| 20120104 | AIRLINE | 601111.SH |  321770512 |\n",
       "| 20120104 | AIRLINE | 600115.SH |  321770512 |\n",
       "| 20120104 | AIRLINE | 000099.SZ |  321770512 |\n",
       "| 20120104 | AUTO    | 600104.SH |  859985682 |\n",
       "| 20120104 | AUTO    | 000581.SZ |  859985682 |\n",
       "| 20120104 | AUTO    | 000800.SZ |  859985682 |\n",
       "| 20120104 | AUTO    | 600741.SH |  859985682 |\n",
       "| 20120104 | AUTO    | 600760.SH |  859985682 |\n",
       "| 20120104 | BANKS   | 600036.SH | 2089068190 |\n",
       "| 20120104 | BANKS   | 601166.SH | 2089068190 |\n",
       "| 20120104 | BANKS   | 600016.SH | 2089068190 |\n",
       "| 20120104 | BANKS   | 600000.SH | 2089068190 |\n",
       "| 20120104 | BANKS   | 601818.SH | 2089068190 |\n",
       "| 20120104 | BEV     | 600519.SH | 1869108456 |\n",
       "| 20120104 | BEV     | 000858.SZ | 1869108456 |\n",
       "| 20120104 | BEV     | 000568.SZ | 1869108456 |\n",
       "| 20120104 | BEV     | 002646.SZ | 1869108456 |\n",
       "| 20120104 | BEV     | 600809.SH | 1869108456 |\n",
       "| 20120104 | BLDPROD | 601636.SH |  133949358 |\n",
       "| 20120104 | BLDPROD | 002631.SZ |  133949358 |\n",
       "| 20120104 | BLDPROD | 000786.SZ |  133949358 |\n",
       "| 20120104 | BLDPROD | 002011.SZ |  133949358 |\n",
       "| 20120104 | BLDPROD | 002162.SZ |  133949358 |\n",
       "| ... | ... | ... | ... |\n",
       "| 20120629 | RDRLTRAN | 601006.SH |  695894990 |\n",
       "| 20120629 | RDRLTRAN | 601880.SH |  695894990 |\n",
       "| 20120629 | RDRLTRAN | 600077.SH |  695894990 |\n",
       "| 20120629 | RDRLTRAN | 000828.SZ |  695894990 |\n",
       "| 20120629 | RDRLTRAN | 002682.SZ |  695894990 |\n",
       "| 20120629 | REALEST  | 600048.SH | 1569178531 |\n",
       "| 20120629 | REALEST  | 600383.SH | 1569178531 |\n",
       "| 20120629 | REALEST  | 000014.SZ | 1569178531 |\n",
       "| 20120629 | REALEST  | 600113.SH | 1569178531 |\n",
       "| 20120629 | REALEST  | 600606.SH | 1569178531 |\n",
       "| 20120629 | RETAIL   | 600739.SH |  760465188 |\n",
       "| 20120629 | RETAIL   | 002024.SZ |  760465188 |\n",
       "| 20120629 | RETAIL   | 600315.SH |  760465188 |\n",
       "| 20120629 | RETAIL   | 600830.SH |  760465188 |\n",
       "| 20120629 | RETAIL   | 600120.SH |  760465188 |\n",
       "| 20120629 | SOFTWARE | 300104.SZ |  820995303 |\n",
       "| 20120629 | SOFTWARE | 002230.SZ |  820995303 |\n",
       "| 20120629 | SOFTWARE | 002063.SZ |  820995303 |\n",
       "| 20120629 | SOFTWARE | 600588.SH |  820995303 |\n",
       "| 20120629 | SOFTWARE | 002474.SZ |  820995303 |\n",
       "| 20120629 | TRDDIST  | 600366.SH |  837608599 |\n",
       "| 20120629 | TRDDIST  | 600735.SH |  837608599 |\n",
       "| 20120629 | TRDDIST  | 600546.SH |  837608599 |\n",
       "| 20120629 | TRDDIST  | 600605.SH |  837608599 |\n",
       "| 20120629 | TRDDIST  | 600058.SH |  837608599 |\n",
       "| 20120629 | UTILITIE | 600011.SH |  849040464 |\n",
       "| 20120629 | UTILITIE | 600027.SH |  849040464 |\n",
       "| 20120629 | UTILITIE | 300262.SZ |  849040464 |\n",
       "| 20120629 | UTILITIE | 000543.SZ |  849040464 |\n",
       "| 20120629 | UTILITIE | 600292.SH |  849040464 |\n",
       "\n"
      ],
      "text/plain": [
       "      date     industry symbol    amount    \n",
       "1     20120104 AERODEF  000768.SZ  384758246\n",
       "2     20120104 AERODEF  600316.SH  384758246\n",
       "3     20120104 AERODEF  002025.SZ  384758246\n",
       "4     20120104 AERODEF  600893.SH  384758246\n",
       "5     20120104 AERODEF  600118.SH  384758246\n",
       "6     20120104 AIRLINE  600029.SH  321770512\n",
       "7     20120104 AIRLINE  600221.SH  321770512\n",
       "8     20120104 AIRLINE  601111.SH  321770512\n",
       "9     20120104 AIRLINE  600115.SH  321770512\n",
       "10    20120104 AIRLINE  000099.SZ  321770512\n",
       "11    20120104 AUTO     600104.SH  859985682\n",
       "12    20120104 AUTO     000581.SZ  859985682\n",
       "13    20120104 AUTO     000800.SZ  859985682\n",
       "14    20120104 AUTO     600741.SH  859985682\n",
       "15    20120104 AUTO     600760.SH  859985682\n",
       "16    20120104 BANKS    600036.SH 2089068190\n",
       "17    20120104 BANKS    601166.SH 2089068190\n",
       "18    20120104 BANKS    600016.SH 2089068190\n",
       "19    20120104 BANKS    600000.SH 2089068190\n",
       "20    20120104 BANKS    601818.SH 2089068190\n",
       "21    20120104 BEV      600519.SH 1869108456\n",
       "22    20120104 BEV      000858.SZ 1869108456\n",
       "23    20120104 BEV      000568.SZ 1869108456\n",
       "24    20120104 BEV      002646.SZ 1869108456\n",
       "25    20120104 BEV      600809.SH 1869108456\n",
       "26    20120104 BLDPROD  601636.SH  133949358\n",
       "27    20120104 BLDPROD  002631.SZ  133949358\n",
       "28    20120104 BLDPROD  000786.SZ  133949358\n",
       "29    20120104 BLDPROD  002011.SZ  133949358\n",
       "30    20120104 BLDPROD  002162.SZ  133949358\n",
       "...   ...      ...      ...       ...       \n",
       "18691 20120629 RDRLTRAN 601006.SH  695894990\n",
       "18692 20120629 RDRLTRAN 601880.SH  695894990\n",
       "18693 20120629 RDRLTRAN 600077.SH  695894990\n",
       "18694 20120629 RDRLTRAN 000828.SZ  695894990\n",
       "18695 20120629 RDRLTRAN 002682.SZ  695894990\n",
       "18696 20120629 REALEST  600048.SH 1569178531\n",
       "18697 20120629 REALEST  600383.SH 1569178531\n",
       "18698 20120629 REALEST  000014.SZ 1569178531\n",
       "18699 20120629 REALEST  600113.SH 1569178531\n",
       "18700 20120629 REALEST  600606.SH 1569178531\n",
       "18701 20120629 RETAIL   600739.SH  760465188\n",
       "18702 20120629 RETAIL   002024.SZ  760465188\n",
       "18703 20120629 RETAIL   600315.SH  760465188\n",
       "18704 20120629 RETAIL   600830.SH  760465188\n",
       "18705 20120629 RETAIL   600120.SH  760465188\n",
       "18706 20120629 SOFTWARE 300104.SZ  820995303\n",
       "18707 20120629 SOFTWARE 002230.SZ  820995303\n",
       "18708 20120629 SOFTWARE 002063.SZ  820995303\n",
       "18709 20120629 SOFTWARE 600588.SH  820995303\n",
       "18710 20120629 SOFTWARE 002474.SZ  820995303\n",
       "18711 20120629 TRDDIST  600366.SH  837608599\n",
       "18712 20120629 TRDDIST  600735.SH  837608599\n",
       "18713 20120629 TRDDIST  600546.SH  837608599\n",
       "18714 20120629 TRDDIST  600605.SH  837608599\n",
       "18715 20120629 TRDDIST  600058.SH  837608599\n",
       "18716 20120629 UTILITIE 600011.SH  849040464\n",
       "18717 20120629 UTILITIE 600027.SH  849040464\n",
       "18718 20120629 UTILITIE 300262.SZ  849040464\n",
       "18719 20120629 UTILITIE 000543.SZ  849040464\n",
       "18720 20120629 UTILITIE 600292.SH  849040464"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[order(-amount), .(symbol = symbol[1:5], amount = sum(amount[1:5])), keyby = .(date, industry)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *27. 每个行业每天成交额超过该行业中股票成交额80%分位数的股票的平均收益率是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3744 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>industry</th><th scope=col>aver_ret</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>AERODEF </td><td> 0.005714392</td></tr>\n",
       "\t<tr><td>20120104</td><td>AIRLINE </td><td>-0.024726379</td></tr>\n",
       "\t<tr><td>20120104</td><td>AUTO    </td><td>-0.017813417</td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS   </td><td>-0.007846674</td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV     </td><td>-0.056254460</td></tr>\n",
       "\t<tr><td>20120104</td><td>BLDPROD </td><td>-0.031741456</td></tr>\n",
       "\t<tr><td>20120104</td><td>CHEM    </td><td>-0.032022583</td></tr>\n",
       "\t<tr><td>20120104</td><td>CNSTENG </td><td>-0.026837227</td></tr>\n",
       "\t<tr><td>20120104</td><td>COMSERV </td><td>-0.032827341</td></tr>\n",
       "\t<tr><td>20120104</td><td>CONMAT  </td><td>-0.032062156</td></tr>\n",
       "\t<tr><td>20120104</td><td>CONSSERV</td><td>-0.011679338</td></tr>\n",
       "\t<tr><td>20120104</td><td>DVFININS</td><td>-0.024368054</td></tr>\n",
       "\t<tr><td>20120104</td><td>ELECEQP </td><td>-0.038778089</td></tr>\n",
       "\t<tr><td>20120104</td><td>ENERGY  </td><td>-0.020334131</td></tr>\n",
       "\t<tr><td>20120104</td><td>FOODPROD</td><td>-0.024361002</td></tr>\n",
       "\t<tr><td>20120104</td><td>HDWRSEMI</td><td>-0.026553495</td></tr>\n",
       "\t<tr><td>20120104</td><td>HEALTH  </td><td>-0.036054007</td></tr>\n",
       "\t<tr><td>20120104</td><td>HOUSEDUR</td><td>-0.012276507</td></tr>\n",
       "\t<tr><td>20120104</td><td>INDCONG </td><td>-0.053868215</td></tr>\n",
       "\t<tr><td>20120104</td><td>LEISLUX </td><td>-0.018373211</td></tr>\n",
       "\t<tr><td>20120104</td><td>MACH    </td><td>-0.027433184</td></tr>\n",
       "\t<tr><td>20120104</td><td>MARINE  </td><td>-0.065507276</td></tr>\n",
       "\t<tr><td>20120104</td><td>MATERIAL</td><td>-0.021444413</td></tr>\n",
       "\t<tr><td>20120104</td><td>MEDIA   </td><td>-0.006370580</td></tr>\n",
       "\t<tr><td>20120104</td><td>MTLMIN  </td><td>-0.019375133</td></tr>\n",
       "\t<tr><td>20120104</td><td>PERSPRD </td><td>-0.004718465</td></tr>\n",
       "\t<tr><td>20120104</td><td>RDRLTRAN</td><td>-0.006130027</td></tr>\n",
       "\t<tr><td>20120104</td><td>REALEST </td><td>-0.024603902</td></tr>\n",
       "\t<tr><td>20120104</td><td>RETAIL  </td><td>-0.005582094</td></tr>\n",
       "\t<tr><td>20120104</td><td>SOFTWARE</td><td>-0.032296053</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>AUTO    </td><td> 0.0074871892</td></tr>\n",
       "\t<tr><td>20120629</td><td>BANKS   </td><td> 0.0185906770</td></tr>\n",
       "\t<tr><td>20120629</td><td>BEV     </td><td> 0.0453462878</td></tr>\n",
       "\t<tr><td>20120629</td><td>BLDPROD </td><td> 0.0186875392</td></tr>\n",
       "\t<tr><td>20120629</td><td>CHEM    </td><td> 0.0169914127</td></tr>\n",
       "\t<tr><td>20120629</td><td>CNSTENG </td><td> 0.0001573158</td></tr>\n",
       "\t<tr><td>20120629</td><td>COMSERV </td><td> 0.0281109505</td></tr>\n",
       "\t<tr><td>20120629</td><td>CONMAT  </td><td> 0.0038953946</td></tr>\n",
       "\t<tr><td>20120629</td><td>CONSSERV</td><td> 0.0275466943</td></tr>\n",
       "\t<tr><td>20120629</td><td>DVFININS</td><td> 0.0350693390</td></tr>\n",
       "\t<tr><td>20120629</td><td>ELECEQP </td><td> 0.0119611508</td></tr>\n",
       "\t<tr><td>20120629</td><td>ENERGY  </td><td> 0.0224783421</td></tr>\n",
       "\t<tr><td>20120629</td><td>FOODPROD</td><td> 0.0249979451</td></tr>\n",
       "\t<tr><td>20120629</td><td>HDWRSEMI</td><td> 0.0175933822</td></tr>\n",
       "\t<tr><td>20120629</td><td>HEALTH  </td><td> 0.0308070142</td></tr>\n",
       "\t<tr><td>20120629</td><td>HOUSEDUR</td><td> 0.0076037636</td></tr>\n",
       "\t<tr><td>20120629</td><td>INDCONG </td><td> 0.0191099340</td></tr>\n",
       "\t<tr><td>20120629</td><td>LEISLUX </td><td> 0.0075408840</td></tr>\n",
       "\t<tr><td>20120629</td><td>MACH    </td><td> 0.0052836943</td></tr>\n",
       "\t<tr><td>20120629</td><td>MARINE  </td><td> 0.0014933702</td></tr>\n",
       "\t<tr><td>20120629</td><td>MATERIAL</td><td> 0.0153662285</td></tr>\n",
       "\t<tr><td>20120629</td><td>MEDIA   </td><td> 0.0379832275</td></tr>\n",
       "\t<tr><td>20120629</td><td>MTLMIN  </td><td> 0.0232648693</td></tr>\n",
       "\t<tr><td>20120629</td><td>PERSPRD </td><td>-0.0035252480</td></tr>\n",
       "\t<tr><td>20120629</td><td>RDRLTRAN</td><td> 0.0210996985</td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td><td> 0.0030814397</td></tr>\n",
       "\t<tr><td>20120629</td><td>RETAIL  </td><td> 0.0131100071</td></tr>\n",
       "\t<tr><td>20120629</td><td>SOFTWARE</td><td> 0.0224472644</td></tr>\n",
       "\t<tr><td>20120629</td><td>TRDDIST </td><td>-0.0039941848</td></tr>\n",
       "\t<tr><td>20120629</td><td>UTILITIE</td><td> 0.0074044491</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3744 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & industry & aver\\_ret\\\\\n",
       " <int> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & AERODEF  &  0.005714392\\\\\n",
       "\t 20120104 & AIRLINE  & -0.024726379\\\\\n",
       "\t 20120104 & AUTO     & -0.017813417\\\\\n",
       "\t 20120104 & BANKS    & -0.007846674\\\\\n",
       "\t 20120104 & BEV      & -0.056254460\\\\\n",
       "\t 20120104 & BLDPROD  & -0.031741456\\\\\n",
       "\t 20120104 & CHEM     & -0.032022583\\\\\n",
       "\t 20120104 & CNSTENG  & -0.026837227\\\\\n",
       "\t 20120104 & COMSERV  & -0.032827341\\\\\n",
       "\t 20120104 & CONMAT   & -0.032062156\\\\\n",
       "\t 20120104 & CONSSERV & -0.011679338\\\\\n",
       "\t 20120104 & DVFININS & -0.024368054\\\\\n",
       "\t 20120104 & ELECEQP  & -0.038778089\\\\\n",
       "\t 20120104 & ENERGY   & -0.020334131\\\\\n",
       "\t 20120104 & FOODPROD & -0.024361002\\\\\n",
       "\t 20120104 & HDWRSEMI & -0.026553495\\\\\n",
       "\t 20120104 & HEALTH   & -0.036054007\\\\\n",
       "\t 20120104 & HOUSEDUR & -0.012276507\\\\\n",
       "\t 20120104 & INDCONG  & -0.053868215\\\\\n",
       "\t 20120104 & LEISLUX  & -0.018373211\\\\\n",
       "\t 20120104 & MACH     & -0.027433184\\\\\n",
       "\t 20120104 & MARINE   & -0.065507276\\\\\n",
       "\t 20120104 & MATERIAL & -0.021444413\\\\\n",
       "\t 20120104 & MEDIA    & -0.006370580\\\\\n",
       "\t 20120104 & MTLMIN   & -0.019375133\\\\\n",
       "\t 20120104 & PERSPRD  & -0.004718465\\\\\n",
       "\t 20120104 & RDRLTRAN & -0.006130027\\\\\n",
       "\t 20120104 & REALEST  & -0.024603902\\\\\n",
       "\t 20120104 & RETAIL   & -0.005582094\\\\\n",
       "\t 20120104 & SOFTWARE & -0.032296053\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120629 & AUTO     &  0.0074871892\\\\\n",
       "\t 20120629 & BANKS    &  0.0185906770\\\\\n",
       "\t 20120629 & BEV      &  0.0453462878\\\\\n",
       "\t 20120629 & BLDPROD  &  0.0186875392\\\\\n",
       "\t 20120629 & CHEM     &  0.0169914127\\\\\n",
       "\t 20120629 & CNSTENG  &  0.0001573158\\\\\n",
       "\t 20120629 & COMSERV  &  0.0281109505\\\\\n",
       "\t 20120629 & CONMAT   &  0.0038953946\\\\\n",
       "\t 20120629 & CONSSERV &  0.0275466943\\\\\n",
       "\t 20120629 & DVFININS &  0.0350693390\\\\\n",
       "\t 20120629 & ELECEQP  &  0.0119611508\\\\\n",
       "\t 20120629 & ENERGY   &  0.0224783421\\\\\n",
       "\t 20120629 & FOODPROD &  0.0249979451\\\\\n",
       "\t 20120629 & HDWRSEMI &  0.0175933822\\\\\n",
       "\t 20120629 & HEALTH   &  0.0308070142\\\\\n",
       "\t 20120629 & HOUSEDUR &  0.0076037636\\\\\n",
       "\t 20120629 & INDCONG  &  0.0191099340\\\\\n",
       "\t 20120629 & LEISLUX  &  0.0075408840\\\\\n",
       "\t 20120629 & MACH     &  0.0052836943\\\\\n",
       "\t 20120629 & MARINE   &  0.0014933702\\\\\n",
       "\t 20120629 & MATERIAL &  0.0153662285\\\\\n",
       "\t 20120629 & MEDIA    &  0.0379832275\\\\\n",
       "\t 20120629 & MTLMIN   &  0.0232648693\\\\\n",
       "\t 20120629 & PERSPRD  & -0.0035252480\\\\\n",
       "\t 20120629 & RDRLTRAN &  0.0210996985\\\\\n",
       "\t 20120629 & REALEST  &  0.0030814397\\\\\n",
       "\t 20120629 & RETAIL   &  0.0131100071\\\\\n",
       "\t 20120629 & SOFTWARE &  0.0224472644\\\\\n",
       "\t 20120629 & TRDDIST  & -0.0039941848\\\\\n",
       "\t 20120629 & UTILITIE &  0.0074044491\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3744 × 3\n",
       "\n",
       "| date &lt;int&gt; | industry &lt;chr&gt; | aver_ret &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | AERODEF  |  0.005714392 |\n",
       "| 20120104 | AIRLINE  | -0.024726379 |\n",
       "| 20120104 | AUTO     | -0.017813417 |\n",
       "| 20120104 | BANKS    | -0.007846674 |\n",
       "| 20120104 | BEV      | -0.056254460 |\n",
       "| 20120104 | BLDPROD  | -0.031741456 |\n",
       "| 20120104 | CHEM     | -0.032022583 |\n",
       "| 20120104 | CNSTENG  | -0.026837227 |\n",
       "| 20120104 | COMSERV  | -0.032827341 |\n",
       "| 20120104 | CONMAT   | -0.032062156 |\n",
       "| 20120104 | CONSSERV | -0.011679338 |\n",
       "| 20120104 | DVFININS | -0.024368054 |\n",
       "| 20120104 | ELECEQP  | -0.038778089 |\n",
       "| 20120104 | ENERGY   | -0.020334131 |\n",
       "| 20120104 | FOODPROD | -0.024361002 |\n",
       "| 20120104 | HDWRSEMI | -0.026553495 |\n",
       "| 20120104 | HEALTH   | -0.036054007 |\n",
       "| 20120104 | HOUSEDUR | -0.012276507 |\n",
       "| 20120104 | INDCONG  | -0.053868215 |\n",
       "| 20120104 | LEISLUX  | -0.018373211 |\n",
       "| 20120104 | MACH     | -0.027433184 |\n",
       "| 20120104 | MARINE   | -0.065507276 |\n",
       "| 20120104 | MATERIAL | -0.021444413 |\n",
       "| 20120104 | MEDIA    | -0.006370580 |\n",
       "| 20120104 | MTLMIN   | -0.019375133 |\n",
       "| 20120104 | PERSPRD  | -0.004718465 |\n",
       "| 20120104 | RDRLTRAN | -0.006130027 |\n",
       "| 20120104 | REALEST  | -0.024603902 |\n",
       "| 20120104 | RETAIL   | -0.005582094 |\n",
       "| 20120104 | SOFTWARE | -0.032296053 |\n",
       "| ... | ... | ... |\n",
       "| 20120629 | AUTO     |  0.0074871892 |\n",
       "| 20120629 | BANKS    |  0.0185906770 |\n",
       "| 20120629 | BEV      |  0.0453462878 |\n",
       "| 20120629 | BLDPROD  |  0.0186875392 |\n",
       "| 20120629 | CHEM     |  0.0169914127 |\n",
       "| 20120629 | CNSTENG  |  0.0001573158 |\n",
       "| 20120629 | COMSERV  |  0.0281109505 |\n",
       "| 20120629 | CONMAT   |  0.0038953946 |\n",
       "| 20120629 | CONSSERV |  0.0275466943 |\n",
       "| 20120629 | DVFININS |  0.0350693390 |\n",
       "| 20120629 | ELECEQP  |  0.0119611508 |\n",
       "| 20120629 | ENERGY   |  0.0224783421 |\n",
       "| 20120629 | FOODPROD |  0.0249979451 |\n",
       "| 20120629 | HDWRSEMI |  0.0175933822 |\n",
       "| 20120629 | HEALTH   |  0.0308070142 |\n",
       "| 20120629 | HOUSEDUR |  0.0076037636 |\n",
       "| 20120629 | INDCONG  |  0.0191099340 |\n",
       "| 20120629 | LEISLUX  |  0.0075408840 |\n",
       "| 20120629 | MACH     |  0.0052836943 |\n",
       "| 20120629 | MARINE   |  0.0014933702 |\n",
       "| 20120629 | MATERIAL |  0.0153662285 |\n",
       "| 20120629 | MEDIA    |  0.0379832275 |\n",
       "| 20120629 | MTLMIN   |  0.0232648693 |\n",
       "| 20120629 | PERSPRD  | -0.0035252480 |\n",
       "| 20120629 | RDRLTRAN |  0.0210996985 |\n",
       "| 20120629 | REALEST  |  0.0030814397 |\n",
       "| 20120629 | RETAIL   |  0.0131100071 |\n",
       "| 20120629 | SOFTWARE |  0.0224472644 |\n",
       "| 20120629 | TRDDIST  | -0.0039941848 |\n",
       "| 20120629 | UTILITIE |  0.0074044491 |\n",
       "\n"
      ],
      "text/plain": [
       "     date     industry aver_ret     \n",
       "1    20120104 AERODEF   0.005714392 \n",
       "2    20120104 AIRLINE  -0.024726379 \n",
       "3    20120104 AUTO     -0.017813417 \n",
       "4    20120104 BANKS    -0.007846674 \n",
       "5    20120104 BEV      -0.056254460 \n",
       "6    20120104 BLDPROD  -0.031741456 \n",
       "7    20120104 CHEM     -0.032022583 \n",
       "8    20120104 CNSTENG  -0.026837227 \n",
       "9    20120104 COMSERV  -0.032827341 \n",
       "10   20120104 CONMAT   -0.032062156 \n",
       "11   20120104 CONSSERV -0.011679338 \n",
       "12   20120104 DVFININS -0.024368054 \n",
       "13   20120104 ELECEQP  -0.038778089 \n",
       "14   20120104 ENERGY   -0.020334131 \n",
       "15   20120104 FOODPROD -0.024361002 \n",
       "16   20120104 HDWRSEMI -0.026553495 \n",
       "17   20120104 HEALTH   -0.036054007 \n",
       "18   20120104 HOUSEDUR -0.012276507 \n",
       "19   20120104 INDCONG  -0.053868215 \n",
       "20   20120104 LEISLUX  -0.018373211 \n",
       "21   20120104 MACH     -0.027433184 \n",
       "22   20120104 MARINE   -0.065507276 \n",
       "23   20120104 MATERIAL -0.021444413 \n",
       "24   20120104 MEDIA    -0.006370580 \n",
       "25   20120104 MTLMIN   -0.019375133 \n",
       "26   20120104 PERSPRD  -0.004718465 \n",
       "27   20120104 RDRLTRAN -0.006130027 \n",
       "28   20120104 REALEST  -0.024603902 \n",
       "29   20120104 RETAIL   -0.005582094 \n",
       "30   20120104 SOFTWARE -0.032296053 \n",
       "...  ...      ...      ...          \n",
       "3715 20120629 AUTO      0.0074871892\n",
       "3716 20120629 BANKS     0.0185906770\n",
       "3717 20120629 BEV       0.0453462878\n",
       "3718 20120629 BLDPROD   0.0186875392\n",
       "3719 20120629 CHEM      0.0169914127\n",
       "3720 20120629 CNSTENG   0.0001573158\n",
       "3721 20120629 COMSERV   0.0281109505\n",
       "3722 20120629 CONMAT    0.0038953946\n",
       "3723 20120629 CONSSERV  0.0275466943\n",
       "3724 20120629 DVFININS  0.0350693390\n",
       "3725 20120629 ELECEQP   0.0119611508\n",
       "3726 20120629 ENERGY    0.0224783421\n",
       "3727 20120629 FOODPROD  0.0249979451\n",
       "3728 20120629 HDWRSEMI  0.0175933822\n",
       "3729 20120629 HEALTH    0.0308070142\n",
       "3730 20120629 HOUSEDUR  0.0076037636\n",
       "3731 20120629 INDCONG   0.0191099340\n",
       "3732 20120629 LEISLUX   0.0075408840\n",
       "3733 20120629 MACH      0.0052836943\n",
       "3734 20120629 MARINE    0.0014933702\n",
       "3735 20120629 MATERIAL  0.0153662285\n",
       "3736 20120629 MEDIA     0.0379832275\n",
       "3737 20120629 MTLMIN    0.0232648693\n",
       "3738 20120629 PERSPRD  -0.0035252480\n",
       "3739 20120629 RDRLTRAN  0.0210996985\n",
       "3740 20120629 REALEST   0.0030814397\n",
       "3741 20120629 RETAIL    0.0131100071\n",
       "3742 20120629 SOFTWARE  0.0224472644\n",
       "3743 20120629 TRDDIST  -0.0039941848\n",
       "3744 20120629 UTILITIE  0.0074044491"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(symbol = symbol, ret = close/pre_close - 1, amount = amount, industry, date)\n",
    "    ][, .SD[amount > quantile(amount, 0.8)], keyby = .(date, industry)\n",
    "    ][, .(aver_ret = mean(ret)), keyby = .(date, industry)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *28. 每天成交额最大的10%的股票的平均收益率和成交额最小的10%的股票的平均收益率的相关系数是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 234 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>tag</th><th scope=col>ret_aver</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>max10%</td><td>-1.810573e-02</td></tr>\n",
       "\t<tr><td>20120104</td><td>min10%</td><td>-1.790767e-02</td></tr>\n",
       "\t<tr><td>20120105</td><td>max10%</td><td>-2.175878e-02</td></tr>\n",
       "\t<tr><td>20120105</td><td>min10%</td><td>-3.048809e-02</td></tr>\n",
       "\t<tr><td>20120106</td><td>max10%</td><td> 5.994575e-03</td></tr>\n",
       "\t<tr><td>20120106</td><td>min10%</td><td> 4.869812e-03</td></tr>\n",
       "\t<tr><td>20120109</td><td>max10%</td><td> 4.670463e-02</td></tr>\n",
       "\t<tr><td>20120109</td><td>min10%</td><td> 2.662675e-02</td></tr>\n",
       "\t<tr><td>20120110</td><td>max10%</td><td> 4.483562e-02</td></tr>\n",
       "\t<tr><td>20120110</td><td>min10%</td><td> 1.404222e-02</td></tr>\n",
       "\t<tr><td>20120111</td><td>max10%</td><td> 6.071583e-03</td></tr>\n",
       "\t<tr><td>20120111</td><td>min10%</td><td>-1.572137e-04</td></tr>\n",
       "\t<tr><td>20120112</td><td>max10%</td><td> 2.899930e-03</td></tr>\n",
       "\t<tr><td>20120112</td><td>min10%</td><td>-2.769072e-03</td></tr>\n",
       "\t<tr><td>20120113</td><td>max10%</td><td>-1.789808e-02</td></tr>\n",
       "\t<tr><td>20120113</td><td>min10%</td><td>-2.020250e-02</td></tr>\n",
       "\t<tr><td>20120116</td><td>max10%</td><td>-3.603208e-02</td></tr>\n",
       "\t<tr><td>20120116</td><td>min10%</td><td>-2.074093e-02</td></tr>\n",
       "\t<tr><td>20120117</td><td>max10%</td><td> 6.529098e-02</td></tr>\n",
       "\t<tr><td>20120117</td><td>min10%</td><td> 3.107494e-02</td></tr>\n",
       "\t<tr><td>20120118</td><td>max10%</td><td>-1.173023e-02</td></tr>\n",
       "\t<tr><td>20120118</td><td>min10%</td><td>-1.363859e-02</td></tr>\n",
       "\t<tr><td>20120119</td><td>max10%</td><td> 1.849607e-02</td></tr>\n",
       "\t<tr><td>20120119</td><td>min10%</td><td> 6.810131e-03</td></tr>\n",
       "\t<tr><td>20120120</td><td>max10%</td><td> 1.218242e-02</td></tr>\n",
       "\t<tr><td>20120120</td><td>min10%</td><td> 9.591501e-03</td></tr>\n",
       "\t<tr><td>20120130</td><td>max10%</td><td>-9.385729e-03</td></tr>\n",
       "\t<tr><td>20120130</td><td>min10%</td><td>-3.568590e-03</td></tr>\n",
       "\t<tr><td>20120131</td><td>max10%</td><td> 1.016516e-02</td></tr>\n",
       "\t<tr><td>20120131</td><td>min10%</td><td>-1.627513e-05</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120608</td><td>max10%</td><td>-3.526656e-03</td></tr>\n",
       "\t<tr><td>20120608</td><td>min10%</td><td>-8.663433e-04</td></tr>\n",
       "\t<tr><td>20120611</td><td>max10%</td><td> 2.284916e-02</td></tr>\n",
       "\t<tr><td>20120611</td><td>min10%</td><td> 9.983183e-03</td></tr>\n",
       "\t<tr><td>20120612</td><td>max10%</td><td>-2.302611e-03</td></tr>\n",
       "\t<tr><td>20120612</td><td>min10%</td><td>-4.450261e-03</td></tr>\n",
       "\t<tr><td>20120613</td><td>max10%</td><td> 2.907404e-02</td></tr>\n",
       "\t<tr><td>20120613</td><td>min10%</td><td> 9.064191e-03</td></tr>\n",
       "\t<tr><td>20120614</td><td>max10%</td><td>-8.545962e-04</td></tr>\n",
       "\t<tr><td>20120614</td><td>min10%</td><td>-4.039410e-03</td></tr>\n",
       "\t<tr><td>20120615</td><td>max10%</td><td> 5.126262e-03</td></tr>\n",
       "\t<tr><td>20120615</td><td>min10%</td><td> 1.301593e-03</td></tr>\n",
       "\t<tr><td>20120618</td><td>max10%</td><td> 2.140719e-02</td></tr>\n",
       "\t<tr><td>20120618</td><td>min10%</td><td> 3.938906e-03</td></tr>\n",
       "\t<tr><td>20120619</td><td>max10%</td><td> 2.044451e-03</td></tr>\n",
       "\t<tr><td>20120619</td><td>min10%</td><td>-4.978484e-03</td></tr>\n",
       "\t<tr><td>20120620</td><td>max10%</td><td> 2.392456e-03</td></tr>\n",
       "\t<tr><td>20120620</td><td>min10%</td><td>-6.741364e-04</td></tr>\n",
       "\t<tr><td>20120621</td><td>max10%</td><td>-9.563313e-03</td></tr>\n",
       "\t<tr><td>20120621</td><td>min10%</td><td>-8.137039e-03</td></tr>\n",
       "\t<tr><td>20120625</td><td>max10%</td><td>-2.341792e-02</td></tr>\n",
       "\t<tr><td>20120625</td><td>min10%</td><td>-1.465374e-02</td></tr>\n",
       "\t<tr><td>20120626</td><td>max10%</td><td> 7.305623e-03</td></tr>\n",
       "\t<tr><td>20120626</td><td>min10%</td><td> 1.843325e-05</td></tr>\n",
       "\t<tr><td>20120627</td><td>max10%</td><td> 9.976111e-03</td></tr>\n",
       "\t<tr><td>20120627</td><td>min10%</td><td>-3.558214e-03</td></tr>\n",
       "\t<tr><td>20120628</td><td>max10%</td><td>-5.688708e-03</td></tr>\n",
       "\t<tr><td>20120628</td><td>min10%</td><td>-7.626693e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>max10%</td><td> 1.842895e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>min10%</td><td> 6.780417e-03</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 234 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & tag & ret\\_aver\\\\\n",
       " <int> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & max10\\% & -1.810573e-02\\\\\n",
       "\t 20120104 & min10\\% & -1.790767e-02\\\\\n",
       "\t 20120105 & max10\\% & -2.175878e-02\\\\\n",
       "\t 20120105 & min10\\% & -3.048809e-02\\\\\n",
       "\t 20120106 & max10\\% &  5.994575e-03\\\\\n",
       "\t 20120106 & min10\\% &  4.869812e-03\\\\\n",
       "\t 20120109 & max10\\% &  4.670463e-02\\\\\n",
       "\t 20120109 & min10\\% &  2.662675e-02\\\\\n",
       "\t 20120110 & max10\\% &  4.483562e-02\\\\\n",
       "\t 20120110 & min10\\% &  1.404222e-02\\\\\n",
       "\t 20120111 & max10\\% &  6.071583e-03\\\\\n",
       "\t 20120111 & min10\\% & -1.572137e-04\\\\\n",
       "\t 20120112 & max10\\% &  2.899930e-03\\\\\n",
       "\t 20120112 & min10\\% & -2.769072e-03\\\\\n",
       "\t 20120113 & max10\\% & -1.789808e-02\\\\\n",
       "\t 20120113 & min10\\% & -2.020250e-02\\\\\n",
       "\t 20120116 & max10\\% & -3.603208e-02\\\\\n",
       "\t 20120116 & min10\\% & -2.074093e-02\\\\\n",
       "\t 20120117 & max10\\% &  6.529098e-02\\\\\n",
       "\t 20120117 & min10\\% &  3.107494e-02\\\\\n",
       "\t 20120118 & max10\\% & -1.173023e-02\\\\\n",
       "\t 20120118 & min10\\% & -1.363859e-02\\\\\n",
       "\t 20120119 & max10\\% &  1.849607e-02\\\\\n",
       "\t 20120119 & min10\\% &  6.810131e-03\\\\\n",
       "\t 20120120 & max10\\% &  1.218242e-02\\\\\n",
       "\t 20120120 & min10\\% &  9.591501e-03\\\\\n",
       "\t 20120130 & max10\\% & -9.385729e-03\\\\\n",
       "\t 20120130 & min10\\% & -3.568590e-03\\\\\n",
       "\t 20120131 & max10\\% &  1.016516e-02\\\\\n",
       "\t 20120131 & min10\\% & -1.627513e-05\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120608 & max10\\% & -3.526656e-03\\\\\n",
       "\t 20120608 & min10\\% & -8.663433e-04\\\\\n",
       "\t 20120611 & max10\\% &  2.284916e-02\\\\\n",
       "\t 20120611 & min10\\% &  9.983183e-03\\\\\n",
       "\t 20120612 & max10\\% & -2.302611e-03\\\\\n",
       "\t 20120612 & min10\\% & -4.450261e-03\\\\\n",
       "\t 20120613 & max10\\% &  2.907404e-02\\\\\n",
       "\t 20120613 & min10\\% &  9.064191e-03\\\\\n",
       "\t 20120614 & max10\\% & -8.545962e-04\\\\\n",
       "\t 20120614 & min10\\% & -4.039410e-03\\\\\n",
       "\t 20120615 & max10\\% &  5.126262e-03\\\\\n",
       "\t 20120615 & min10\\% &  1.301593e-03\\\\\n",
       "\t 20120618 & max10\\% &  2.140719e-02\\\\\n",
       "\t 20120618 & min10\\% &  3.938906e-03\\\\\n",
       "\t 20120619 & max10\\% &  2.044451e-03\\\\\n",
       "\t 20120619 & min10\\% & -4.978484e-03\\\\\n",
       "\t 20120620 & max10\\% &  2.392456e-03\\\\\n",
       "\t 20120620 & min10\\% & -6.741364e-04\\\\\n",
       "\t 20120621 & max10\\% & -9.563313e-03\\\\\n",
       "\t 20120621 & min10\\% & -8.137039e-03\\\\\n",
       "\t 20120625 & max10\\% & -2.341792e-02\\\\\n",
       "\t 20120625 & min10\\% & -1.465374e-02\\\\\n",
       "\t 20120626 & max10\\% &  7.305623e-03\\\\\n",
       "\t 20120626 & min10\\% &  1.843325e-05\\\\\n",
       "\t 20120627 & max10\\% &  9.976111e-03\\\\\n",
       "\t 20120627 & min10\\% & -3.558214e-03\\\\\n",
       "\t 20120628 & max10\\% & -5.688708e-03\\\\\n",
       "\t 20120628 & min10\\% & -7.626693e-03\\\\\n",
       "\t 20120629 & max10\\% &  1.842895e-02\\\\\n",
       "\t 20120629 & min10\\% &  6.780417e-03\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 234 × 3\n",
       "\n",
       "| date &lt;int&gt; | tag &lt;chr&gt; | ret_aver &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | max10% | -1.810573e-02 |\n",
       "| 20120104 | min10% | -1.790767e-02 |\n",
       "| 20120105 | max10% | -2.175878e-02 |\n",
       "| 20120105 | min10% | -3.048809e-02 |\n",
       "| 20120106 | max10% |  5.994575e-03 |\n",
       "| 20120106 | min10% |  4.869812e-03 |\n",
       "| 20120109 | max10% |  4.670463e-02 |\n",
       "| 20120109 | min10% |  2.662675e-02 |\n",
       "| 20120110 | max10% |  4.483562e-02 |\n",
       "| 20120110 | min10% |  1.404222e-02 |\n",
       "| 20120111 | max10% |  6.071583e-03 |\n",
       "| 20120111 | min10% | -1.572137e-04 |\n",
       "| 20120112 | max10% |  2.899930e-03 |\n",
       "| 20120112 | min10% | -2.769072e-03 |\n",
       "| 20120113 | max10% | -1.789808e-02 |\n",
       "| 20120113 | min10% | -2.020250e-02 |\n",
       "| 20120116 | max10% | -3.603208e-02 |\n",
       "| 20120116 | min10% | -2.074093e-02 |\n",
       "| 20120117 | max10% |  6.529098e-02 |\n",
       "| 20120117 | min10% |  3.107494e-02 |\n",
       "| 20120118 | max10% | -1.173023e-02 |\n",
       "| 20120118 | min10% | -1.363859e-02 |\n",
       "| 20120119 | max10% |  1.849607e-02 |\n",
       "| 20120119 | min10% |  6.810131e-03 |\n",
       "| 20120120 | max10% |  1.218242e-02 |\n",
       "| 20120120 | min10% |  9.591501e-03 |\n",
       "| 20120130 | max10% | -9.385729e-03 |\n",
       "| 20120130 | min10% | -3.568590e-03 |\n",
       "| 20120131 | max10% |  1.016516e-02 |\n",
       "| 20120131 | min10% | -1.627513e-05 |\n",
       "| ... | ... | ... |\n",
       "| 20120608 | max10% | -3.526656e-03 |\n",
       "| 20120608 | min10% | -8.663433e-04 |\n",
       "| 20120611 | max10% |  2.284916e-02 |\n",
       "| 20120611 | min10% |  9.983183e-03 |\n",
       "| 20120612 | max10% | -2.302611e-03 |\n",
       "| 20120612 | min10% | -4.450261e-03 |\n",
       "| 20120613 | max10% |  2.907404e-02 |\n",
       "| 20120613 | min10% |  9.064191e-03 |\n",
       "| 20120614 | max10% | -8.545962e-04 |\n",
       "| 20120614 | min10% | -4.039410e-03 |\n",
       "| 20120615 | max10% |  5.126262e-03 |\n",
       "| 20120615 | min10% |  1.301593e-03 |\n",
       "| 20120618 | max10% |  2.140719e-02 |\n",
       "| 20120618 | min10% |  3.938906e-03 |\n",
       "| 20120619 | max10% |  2.044451e-03 |\n",
       "| 20120619 | min10% | -4.978484e-03 |\n",
       "| 20120620 | max10% |  2.392456e-03 |\n",
       "| 20120620 | min10% | -6.741364e-04 |\n",
       "| 20120621 | max10% | -9.563313e-03 |\n",
       "| 20120621 | min10% | -8.137039e-03 |\n",
       "| 20120625 | max10% | -2.341792e-02 |\n",
       "| 20120625 | min10% | -1.465374e-02 |\n",
       "| 20120626 | max10% |  7.305623e-03 |\n",
       "| 20120626 | min10% |  1.843325e-05 |\n",
       "| 20120627 | max10% |  9.976111e-03 |\n",
       "| 20120627 | min10% | -3.558214e-03 |\n",
       "| 20120628 | max10% | -5.688708e-03 |\n",
       "| 20120628 | min10% | -7.626693e-03 |\n",
       "| 20120629 | max10% |  1.842895e-02 |\n",
       "| 20120629 | min10% |  6.780417e-03 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     tag    ret_aver     \n",
       "1   20120104 max10% -1.810573e-02\n",
       "2   20120104 min10% -1.790767e-02\n",
       "3   20120105 max10% -2.175878e-02\n",
       "4   20120105 min10% -3.048809e-02\n",
       "5   20120106 max10%  5.994575e-03\n",
       "6   20120106 min10%  4.869812e-03\n",
       "7   20120109 max10%  4.670463e-02\n",
       "8   20120109 min10%  2.662675e-02\n",
       "9   20120110 max10%  4.483562e-02\n",
       "10  20120110 min10%  1.404222e-02\n",
       "11  20120111 max10%  6.071583e-03\n",
       "12  20120111 min10% -1.572137e-04\n",
       "13  20120112 max10%  2.899930e-03\n",
       "14  20120112 min10% -2.769072e-03\n",
       "15  20120113 max10% -1.789808e-02\n",
       "16  20120113 min10% -2.020250e-02\n",
       "17  20120116 max10% -3.603208e-02\n",
       "18  20120116 min10% -2.074093e-02\n",
       "19  20120117 max10%  6.529098e-02\n",
       "20  20120117 min10%  3.107494e-02\n",
       "21  20120118 max10% -1.173023e-02\n",
       "22  20120118 min10% -1.363859e-02\n",
       "23  20120119 max10%  1.849607e-02\n",
       "24  20120119 min10%  6.810131e-03\n",
       "25  20120120 max10%  1.218242e-02\n",
       "26  20120120 min10%  9.591501e-03\n",
       "27  20120130 max10% -9.385729e-03\n",
       "28  20120130 min10% -3.568590e-03\n",
       "29  20120131 max10%  1.016516e-02\n",
       "30  20120131 min10% -1.627513e-05\n",
       "... ...      ...    ...          \n",
       "205 20120608 max10% -3.526656e-03\n",
       "206 20120608 min10% -8.663433e-04\n",
       "207 20120611 max10%  2.284916e-02\n",
       "208 20120611 min10%  9.983183e-03\n",
       "209 20120612 max10% -2.302611e-03\n",
       "210 20120612 min10% -4.450261e-03\n",
       "211 20120613 max10%  2.907404e-02\n",
       "212 20120613 min10%  9.064191e-03\n",
       "213 20120614 max10% -8.545962e-04\n",
       "214 20120614 min10% -4.039410e-03\n",
       "215 20120615 max10%  5.126262e-03\n",
       "216 20120615 min10%  1.301593e-03\n",
       "217 20120618 max10%  2.140719e-02\n",
       "218 20120618 min10%  3.938906e-03\n",
       "219 20120619 max10%  2.044451e-03\n",
       "220 20120619 min10% -4.978484e-03\n",
       "221 20120620 max10%  2.392456e-03\n",
       "222 20120620 min10% -6.741364e-04\n",
       "223 20120621 max10% -9.563313e-03\n",
       "224 20120621 min10% -8.137039e-03\n",
       "225 20120625 max10% -2.341792e-02\n",
       "226 20120625 min10% -1.465374e-02\n",
       "227 20120626 max10%  7.305623e-03\n",
       "228 20120626 min10%  1.843325e-05\n",
       "229 20120627 max10%  9.976111e-03\n",
       "230 20120627 min10% -3.558214e-03\n",
       "231 20120628 max10% -5.688708e-03\n",
       "232 20120628 min10% -7.626693e-03\n",
       "233 20120629 max10%  1.842895e-02\n",
       "234 20120629 min10%  6.780417e-03"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(symbol = symbol, ret = close/pre_close - 1, amount = amount, date)\n",
    "    ][, .(ret_aver = mean(ret)), keyby = .(date, tag = ifelse(amount > quantile(amount, 0.9), \"max10%\"，ifelse(amount < quantile(amount, 0.1), \"min10%\", \"others\")))\n",
    "    ][, .SD[-3], keyby = .(date)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *29. 每天哪些行业的平均成交额高于全市场平均成交额？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 1413 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>industry</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>AERODEF </td></tr>\n",
       "\t<tr><td>20120104</td><td>BANKS   </td></tr>\n",
       "\t<tr><td>20120104</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120104</td><td>CONMAT  </td></tr>\n",
       "\t<tr><td>20120104</td><td>DVFININS</td></tr>\n",
       "\t<tr><td>20120104</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120104</td><td>HOUSEDUR</td></tr>\n",
       "\t<tr><td>20120104</td><td>INDCONG </td></tr>\n",
       "\t<tr><td>20120104</td><td>MEDIA   </td></tr>\n",
       "\t<tr><td>20120104</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>20120105</td><td>AERODEF </td></tr>\n",
       "\t<tr><td>20120105</td><td>BANKS   </td></tr>\n",
       "\t<tr><td>20120105</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120105</td><td>CONMAT  </td></tr>\n",
       "\t<tr><td>20120105</td><td>DVFININS</td></tr>\n",
       "\t<tr><td>20120105</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120105</td><td>HOUSEDUR</td></tr>\n",
       "\t<tr><td>20120105</td><td>INDCONG </td></tr>\n",
       "\t<tr><td>20120105</td><td>MEDIA   </td></tr>\n",
       "\t<tr><td>20120105</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>20120106</td><td>AERODEF </td></tr>\n",
       "\t<tr><td>20120106</td><td>BANKS   </td></tr>\n",
       "\t<tr><td>20120106</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120106</td><td>CONMAT  </td></tr>\n",
       "\t<tr><td>20120106</td><td>DVFININS</td></tr>\n",
       "\t<tr><td>20120106</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120106</td><td>HOUSEDUR</td></tr>\n",
       "\t<tr><td>20120106</td><td>INDCONG </td></tr>\n",
       "\t<tr><td>20120106</td><td>MEDIA   </td></tr>\n",
       "\t<tr><td>20120106</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120628</td><td>AIRLINE </td></tr>\n",
       "\t<tr><td>20120628</td><td>BANKS   </td></tr>\n",
       "\t<tr><td>20120628</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120628</td><td>CNSTENG </td></tr>\n",
       "\t<tr><td>20120628</td><td>CONMAT  </td></tr>\n",
       "\t<tr><td>20120628</td><td>DVFININS</td></tr>\n",
       "\t<tr><td>20120628</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120628</td><td>FOODPROD</td></tr>\n",
       "\t<tr><td>20120628</td><td>HEALTH  </td></tr>\n",
       "\t<tr><td>20120628</td><td>INDCONG </td></tr>\n",
       "\t<tr><td>20120628</td><td>MARINE  </td></tr>\n",
       "\t<tr><td>20120628</td><td>MEDIA   </td></tr>\n",
       "\t<tr><td>20120628</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>20120628</td><td>REALEST </td></tr>\n",
       "\t<tr><td>20120628</td><td>TRDDIST </td></tr>\n",
       "\t<tr><td>20120629</td><td>AERODEF </td></tr>\n",
       "\t<tr><td>20120629</td><td>AIRLINE </td></tr>\n",
       "\t<tr><td>20120629</td><td>BANKS   </td></tr>\n",
       "\t<tr><td>20120629</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120629</td><td>CNSTENG </td></tr>\n",
       "\t<tr><td>20120629</td><td>CONMAT  </td></tr>\n",
       "\t<tr><td>20120629</td><td>DVFININS</td></tr>\n",
       "\t<tr><td>20120629</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120629</td><td>FOODPROD</td></tr>\n",
       "\t<tr><td>20120629</td><td>HEALTH  </td></tr>\n",
       "\t<tr><td>20120629</td><td>INDCONG </td></tr>\n",
       "\t<tr><td>20120629</td><td>MARINE  </td></tr>\n",
       "\t<tr><td>20120629</td><td>MEDIA   </td></tr>\n",
       "\t<tr><td>20120629</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>20120629</td><td>REALEST </td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 1413 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date & industry\\\\\n",
       " <int> & <chr>\\\\\n",
       "\\hline\n",
       "\t 20120104 & AERODEF \\\\\n",
       "\t 20120104 & BANKS   \\\\\n",
       "\t 20120104 & BEV     \\\\\n",
       "\t 20120104 & CONMAT  \\\\\n",
       "\t 20120104 & DVFININS\\\\\n",
       "\t 20120104 & ENERGY  \\\\\n",
       "\t 20120104 & HOUSEDUR\\\\\n",
       "\t 20120104 & INDCONG \\\\\n",
       "\t 20120104 & MEDIA   \\\\\n",
       "\t 20120104 & MTLMIN  \\\\\n",
       "\t 20120105 & AERODEF \\\\\n",
       "\t 20120105 & BANKS   \\\\\n",
       "\t 20120105 & BEV     \\\\\n",
       "\t 20120105 & CONMAT  \\\\\n",
       "\t 20120105 & DVFININS\\\\\n",
       "\t 20120105 & ENERGY  \\\\\n",
       "\t 20120105 & HOUSEDUR\\\\\n",
       "\t 20120105 & INDCONG \\\\\n",
       "\t 20120105 & MEDIA   \\\\\n",
       "\t 20120105 & MTLMIN  \\\\\n",
       "\t 20120106 & AERODEF \\\\\n",
       "\t 20120106 & BANKS   \\\\\n",
       "\t 20120106 & BEV     \\\\\n",
       "\t 20120106 & CONMAT  \\\\\n",
       "\t 20120106 & DVFININS\\\\\n",
       "\t 20120106 & ENERGY  \\\\\n",
       "\t 20120106 & HOUSEDUR\\\\\n",
       "\t 20120106 & INDCONG \\\\\n",
       "\t 20120106 & MEDIA   \\\\\n",
       "\t 20120106 & MTLMIN  \\\\\n",
       "\t ... & ...\\\\\n",
       "\t 20120628 & AIRLINE \\\\\n",
       "\t 20120628 & BANKS   \\\\\n",
       "\t 20120628 & BEV     \\\\\n",
       "\t 20120628 & CNSTENG \\\\\n",
       "\t 20120628 & CONMAT  \\\\\n",
       "\t 20120628 & DVFININS\\\\\n",
       "\t 20120628 & ENERGY  \\\\\n",
       "\t 20120628 & FOODPROD\\\\\n",
       "\t 20120628 & HEALTH  \\\\\n",
       "\t 20120628 & INDCONG \\\\\n",
       "\t 20120628 & MARINE  \\\\\n",
       "\t 20120628 & MEDIA   \\\\\n",
       "\t 20120628 & MTLMIN  \\\\\n",
       "\t 20120628 & REALEST \\\\\n",
       "\t 20120628 & TRDDIST \\\\\n",
       "\t 20120629 & AERODEF \\\\\n",
       "\t 20120629 & AIRLINE \\\\\n",
       "\t 20120629 & BANKS   \\\\\n",
       "\t 20120629 & BEV     \\\\\n",
       "\t 20120629 & CNSTENG \\\\\n",
       "\t 20120629 & CONMAT  \\\\\n",
       "\t 20120629 & DVFININS\\\\\n",
       "\t 20120629 & ENERGY  \\\\\n",
       "\t 20120629 & FOODPROD\\\\\n",
       "\t 20120629 & HEALTH  \\\\\n",
       "\t 20120629 & INDCONG \\\\\n",
       "\t 20120629 & MARINE  \\\\\n",
       "\t 20120629 & MEDIA   \\\\\n",
       "\t 20120629 & MTLMIN  \\\\\n",
       "\t 20120629 & REALEST \\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 1413 × 2\n",
       "\n",
       "| date &lt;int&gt; | industry &lt;chr&gt; |\n",
       "|---|---|\n",
       "| 20120104 | AERODEF  |\n",
       "| 20120104 | BANKS    |\n",
       "| 20120104 | BEV      |\n",
       "| 20120104 | CONMAT   |\n",
       "| 20120104 | DVFININS |\n",
       "| 20120104 | ENERGY   |\n",
       "| 20120104 | HOUSEDUR |\n",
       "| 20120104 | INDCONG  |\n",
       "| 20120104 | MEDIA    |\n",
       "| 20120104 | MTLMIN   |\n",
       "| 20120105 | AERODEF  |\n",
       "| 20120105 | BANKS    |\n",
       "| 20120105 | BEV      |\n",
       "| 20120105 | CONMAT   |\n",
       "| 20120105 | DVFININS |\n",
       "| 20120105 | ENERGY   |\n",
       "| 20120105 | HOUSEDUR |\n",
       "| 20120105 | INDCONG  |\n",
       "| 20120105 | MEDIA    |\n",
       "| 20120105 | MTLMIN   |\n",
       "| 20120106 | AERODEF  |\n",
       "| 20120106 | BANKS    |\n",
       "| 20120106 | BEV      |\n",
       "| 20120106 | CONMAT   |\n",
       "| 20120106 | DVFININS |\n",
       "| 20120106 | ENERGY   |\n",
       "| 20120106 | HOUSEDUR |\n",
       "| 20120106 | INDCONG  |\n",
       "| 20120106 | MEDIA    |\n",
       "| 20120106 | MTLMIN   |\n",
       "| ... | ... |\n",
       "| 20120628 | AIRLINE  |\n",
       "| 20120628 | BANKS    |\n",
       "| 20120628 | BEV      |\n",
       "| 20120628 | CNSTENG  |\n",
       "| 20120628 | CONMAT   |\n",
       "| 20120628 | DVFININS |\n",
       "| 20120628 | ENERGY   |\n",
       "| 20120628 | FOODPROD |\n",
       "| 20120628 | HEALTH   |\n",
       "| 20120628 | INDCONG  |\n",
       "| 20120628 | MARINE   |\n",
       "| 20120628 | MEDIA    |\n",
       "| 20120628 | MTLMIN   |\n",
       "| 20120628 | REALEST  |\n",
       "| 20120628 | TRDDIST  |\n",
       "| 20120629 | AERODEF  |\n",
       "| 20120629 | AIRLINE  |\n",
       "| 20120629 | BANKS    |\n",
       "| 20120629 | BEV      |\n",
       "| 20120629 | CNSTENG  |\n",
       "| 20120629 | CONMAT   |\n",
       "| 20120629 | DVFININS |\n",
       "| 20120629 | ENERGY   |\n",
       "| 20120629 | FOODPROD |\n",
       "| 20120629 | HEALTH   |\n",
       "| 20120629 | INDCONG  |\n",
       "| 20120629 | MARINE   |\n",
       "| 20120629 | MEDIA    |\n",
       "| 20120629 | MTLMIN   |\n",
       "| 20120629 | REALEST  |\n",
       "\n"
      ],
      "text/plain": [
       "     date     industry\n",
       "1    20120104 AERODEF \n",
       "2    20120104 BANKS   \n",
       "3    20120104 BEV     \n",
       "4    20120104 CONMAT  \n",
       "5    20120104 DVFININS\n",
       "6    20120104 ENERGY  \n",
       "7    20120104 HOUSEDUR\n",
       "8    20120104 INDCONG \n",
       "9    20120104 MEDIA   \n",
       "10   20120104 MTLMIN  \n",
       "11   20120105 AERODEF \n",
       "12   20120105 BANKS   \n",
       "13   20120105 BEV     \n",
       "14   20120105 CONMAT  \n",
       "15   20120105 DVFININS\n",
       "16   20120105 ENERGY  \n",
       "17   20120105 HOUSEDUR\n",
       "18   20120105 INDCONG \n",
       "19   20120105 MEDIA   \n",
       "20   20120105 MTLMIN  \n",
       "21   20120106 AERODEF \n",
       "22   20120106 BANKS   \n",
       "23   20120106 BEV     \n",
       "24   20120106 CONMAT  \n",
       "25   20120106 DVFININS\n",
       "26   20120106 ENERGY  \n",
       "27   20120106 HOUSEDUR\n",
       "28   20120106 INDCONG \n",
       "29   20120106 MEDIA   \n",
       "30   20120106 MTLMIN  \n",
       "...  ...      ...     \n",
       "1384 20120628 AIRLINE \n",
       "1385 20120628 BANKS   \n",
       "1386 20120628 BEV     \n",
       "1387 20120628 CNSTENG \n",
       "1388 20120628 CONMAT  \n",
       "1389 20120628 DVFININS\n",
       "1390 20120628 ENERGY  \n",
       "1391 20120628 FOODPROD\n",
       "1392 20120628 HEALTH  \n",
       "1393 20120628 INDCONG \n",
       "1394 20120628 MARINE  \n",
       "1395 20120628 MEDIA   \n",
       "1396 20120628 MTLMIN  \n",
       "1397 20120628 REALEST \n",
       "1398 20120628 TRDDIST \n",
       "1399 20120629 AERODEF \n",
       "1400 20120629 AIRLINE \n",
       "1401 20120629 BANKS   \n",
       "1402 20120629 BEV     \n",
       "1403 20120629 CNSTENG \n",
       "1404 20120629 CONMAT  \n",
       "1405 20120629 DVFININS\n",
       "1406 20120629 ENERGY  \n",
       "1407 20120629 FOODPROD\n",
       "1408 20120629 HEALTH  \n",
       "1409 20120629 INDCONG \n",
       "1410 20120629 MARINE  \n",
       "1411 20120629 MEDIA   \n",
       "1412 20120629 MTLMIN  \n",
       "1413 20120629 REALEST "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(amount_aver = mean(amount), industry = industry, amount = amount), keyby = .(date)\n",
    "    ][, .(amount_ind_aver = mean(amount), amount_aver), keyby = .(date, industry)\n",
    "    ][amount_ind_aver > amount_aver, unique(.SD[, 1:2])]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *30. 每天每个股票对市场的超额收益率是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 42,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 276900 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>symbol</th><th scope=col>abnr_ret</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>000001.SZ</td><td>-0.0075757072</td></tr>\n",
       "\t<tr><td>20120104</td><td>000002.SZ</td><td> 0.0012644428</td></tr>\n",
       "\t<tr><td>20120104</td><td>000004.SZ</td><td>-0.0022436150</td></tr>\n",
       "\t<tr><td>20120104</td><td>000005.SZ</td><td> 0.0200060760</td></tr>\n",
       "\t<tr><td>20120104</td><td>000006.SZ</td><td> 0.0102499784</td></tr>\n",
       "\t<tr><td>20120104</td><td>000007.SZ</td><td> 0.0701580517</td></tr>\n",
       "\t<tr><td>20120104</td><td>000008.SZ</td><td>-0.0302091320</td></tr>\n",
       "\t<tr><td>20120104</td><td>000009.SZ</td><td>-0.0533884194</td></tr>\n",
       "\t<tr><td>20120104</td><td>000010.SZ</td><td> 0.0200060760</td></tr>\n",
       "\t<tr><td>20120104</td><td>000011.SZ</td><td> 0.0021778750</td></tr>\n",
       "\t<tr><td>20120104</td><td>000012.SZ</td><td>-0.0285590454</td></tr>\n",
       "\t<tr><td>20120104</td><td>000014.SZ</td><td>-0.0004020873</td></tr>\n",
       "\t<tr><td>20120104</td><td>000016.SZ</td><td> 0.0168415190</td></tr>\n",
       "\t<tr><td>20120104</td><td>000017.SZ</td><td> 0.0126800687</td></tr>\n",
       "\t<tr><td>20120104</td><td>000018.SZ</td><td>-0.0017804164</td></tr>\n",
       "\t<tr><td>20120104</td><td>000019.SZ</td><td> 0.0018713610</td></tr>\n",
       "\t<tr><td>20120104</td><td>000020.SZ</td><td>-0.0008667893</td></tr>\n",
       "\t<tr><td>20120104</td><td>000021.SZ</td><td> 0.0083101696</td></tr>\n",
       "\t<tr><td>20120104</td><td>000022.SZ</td><td> 0.0157096206</td></tr>\n",
       "\t<tr><td>20120104</td><td>000023.SZ</td><td>-0.0220991872</td></tr>\n",
       "\t<tr><td>20120104</td><td>000024.SZ</td><td> 0.0083394093</td></tr>\n",
       "\t<tr><td>20120104</td><td>000025.SZ</td><td> 0.0129138774</td></tr>\n",
       "\t<tr><td>20120104</td><td>000026.SZ</td><td> 0.0200060760</td></tr>\n",
       "\t<tr><td>20120104</td><td>000027.SZ</td><td> 0.0085306662</td></tr>\n",
       "\t<tr><td>20120104</td><td>000028.SZ</td><td>-0.0254271793</td></tr>\n",
       "\t<tr><td>20120104</td><td>000029.SZ</td><td> 0.0016011680</td></tr>\n",
       "\t<tr><td>20120104</td><td>000030.SZ</td><td>-0.0299939240</td></tr>\n",
       "\t<tr><td>20120104</td><td>000031.SZ</td><td> 0.0068481813</td></tr>\n",
       "\t<tr><td>20120104</td><td>000032.SZ</td><td>-0.0234721849</td></tr>\n",
       "\t<tr><td>20120104</td><td>000033.SZ</td><td> 0.0006690594</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>601880.SH</td><td> 0.0511490519</td></tr>\n",
       "\t<tr><td>20120629</td><td>601886.SH</td><td> 0.0101183930</td></tr>\n",
       "\t<tr><td>20120629</td><td>601888.SH</td><td> 0.0002288460</td></tr>\n",
       "\t<tr><td>20120629</td><td>601890.SH</td><td> 0.0002189924</td></tr>\n",
       "\t<tr><td>20120629</td><td>601898.SH</td><td>-0.0115132858</td></tr>\n",
       "\t<tr><td>20120629</td><td>601899.SH</td><td>-0.0036532607</td></tr>\n",
       "\t<tr><td>20120629</td><td>601901.SH</td><td> 0.0307145894</td></tr>\n",
       "\t<tr><td>20120629</td><td>601908.SH</td><td> 0.0149124624</td></tr>\n",
       "\t<tr><td>20120629</td><td>601918.SH</td><td> 0.0050492312</td></tr>\n",
       "\t<tr><td>20120629</td><td>601919.SH</td><td>-0.0080124388</td></tr>\n",
       "\t<tr><td>20120629</td><td>601928.SH</td><td> 0.0132320288</td></tr>\n",
       "\t<tr><td>20120629</td><td>601929.SH</td><td> 0.0834219480</td></tr>\n",
       "\t<tr><td>20120629</td><td>601933.SH</td><td>-0.0085235672</td></tr>\n",
       "\t<tr><td>20120629</td><td>601939.SH</td><td>-0.0095138464</td></tr>\n",
       "\t<tr><td>20120629</td><td>601958.SH</td><td> 0.0001458416</td></tr>\n",
       "\t<tr><td>20120629</td><td>601965.SH</td><td>-0.0078975183</td></tr>\n",
       "\t<tr><td>20120629</td><td>601988.SH</td><td>-0.0131493721</td></tr>\n",
       "\t<tr><td>20120629</td><td>601989.SH</td><td>-0.0186311679</td></tr>\n",
       "\t<tr><td>20120629</td><td>601991.SH</td><td>-0.0237627647</td></tr>\n",
       "\t<tr><td>20120629</td><td>601992.SH</td><td>-0.0076033869</td></tr>\n",
       "\t<tr><td>20120629</td><td>601996.SH</td><td>-0.0073184196</td></tr>\n",
       "\t<tr><td>20120629</td><td>601998.SH</td><td>-0.0014796646</td></tr>\n",
       "\t<tr><td>20120629</td><td>601999.SH</td><td>-0.0009261685</td></tr>\n",
       "\t<tr><td>20120629</td><td>603000.SH</td><td>-0.0026201028</td></tr>\n",
       "\t<tr><td>20120629</td><td>603001.SH</td><td>-0.0222513282</td></tr>\n",
       "\t<tr><td>20120629</td><td>603002.SH</td><td>-0.0016704970</td></tr>\n",
       "\t<tr><td>20120629</td><td>603123.SH</td><td>-0.0177060950</td></tr>\n",
       "\t<tr><td>20120629</td><td>603128.SH</td><td>-0.0138303931</td></tr>\n",
       "\t<tr><td>20120629</td><td>603333.SH</td><td>-0.0122636465</td></tr>\n",
       "\t<tr><td>20120629</td><td>603366.SH</td><td> 0.0044671340</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 276900 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & symbol & abnr\\_ret\\\\\n",
       " <int> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & 000001.SZ & -0.0075757072\\\\\n",
       "\t 20120104 & 000002.SZ &  0.0012644428\\\\\n",
       "\t 20120104 & 000004.SZ & -0.0022436150\\\\\n",
       "\t 20120104 & 000005.SZ &  0.0200060760\\\\\n",
       "\t 20120104 & 000006.SZ &  0.0102499784\\\\\n",
       "\t 20120104 & 000007.SZ &  0.0701580517\\\\\n",
       "\t 20120104 & 000008.SZ & -0.0302091320\\\\\n",
       "\t 20120104 & 000009.SZ & -0.0533884194\\\\\n",
       "\t 20120104 & 000010.SZ &  0.0200060760\\\\\n",
       "\t 20120104 & 000011.SZ &  0.0021778750\\\\\n",
       "\t 20120104 & 000012.SZ & -0.0285590454\\\\\n",
       "\t 20120104 & 000014.SZ & -0.0004020873\\\\\n",
       "\t 20120104 & 000016.SZ &  0.0168415190\\\\\n",
       "\t 20120104 & 000017.SZ &  0.0126800687\\\\\n",
       "\t 20120104 & 000018.SZ & -0.0017804164\\\\\n",
       "\t 20120104 & 000019.SZ &  0.0018713610\\\\\n",
       "\t 20120104 & 000020.SZ & -0.0008667893\\\\\n",
       "\t 20120104 & 000021.SZ &  0.0083101696\\\\\n",
       "\t 20120104 & 000022.SZ &  0.0157096206\\\\\n",
       "\t 20120104 & 000023.SZ & -0.0220991872\\\\\n",
       "\t 20120104 & 000024.SZ &  0.0083394093\\\\\n",
       "\t 20120104 & 000025.SZ &  0.0129138774\\\\\n",
       "\t 20120104 & 000026.SZ &  0.0200060760\\\\\n",
       "\t 20120104 & 000027.SZ &  0.0085306662\\\\\n",
       "\t 20120104 & 000028.SZ & -0.0254271793\\\\\n",
       "\t 20120104 & 000029.SZ &  0.0016011680\\\\\n",
       "\t 20120104 & 000030.SZ & -0.0299939240\\\\\n",
       "\t 20120104 & 000031.SZ &  0.0068481813\\\\\n",
       "\t 20120104 & 000032.SZ & -0.0234721849\\\\\n",
       "\t 20120104 & 000033.SZ &  0.0006690594\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120629 & 601880.SH &  0.0511490519\\\\\n",
       "\t 20120629 & 601886.SH &  0.0101183930\\\\\n",
       "\t 20120629 & 601888.SH &  0.0002288460\\\\\n",
       "\t 20120629 & 601890.SH &  0.0002189924\\\\\n",
       "\t 20120629 & 601898.SH & -0.0115132858\\\\\n",
       "\t 20120629 & 601899.SH & -0.0036532607\\\\\n",
       "\t 20120629 & 601901.SH &  0.0307145894\\\\\n",
       "\t 20120629 & 601908.SH &  0.0149124624\\\\\n",
       "\t 20120629 & 601918.SH &  0.0050492312\\\\\n",
       "\t 20120629 & 601919.SH & -0.0080124388\\\\\n",
       "\t 20120629 & 601928.SH &  0.0132320288\\\\\n",
       "\t 20120629 & 601929.SH &  0.0834219480\\\\\n",
       "\t 20120629 & 601933.SH & -0.0085235672\\\\\n",
       "\t 20120629 & 601939.SH & -0.0095138464\\\\\n",
       "\t 20120629 & 601958.SH &  0.0001458416\\\\\n",
       "\t 20120629 & 601965.SH & -0.0078975183\\\\\n",
       "\t 20120629 & 601988.SH & -0.0131493721\\\\\n",
       "\t 20120629 & 601989.SH & -0.0186311679\\\\\n",
       "\t 20120629 & 601991.SH & -0.0237627647\\\\\n",
       "\t 20120629 & 601992.SH & -0.0076033869\\\\\n",
       "\t 20120629 & 601996.SH & -0.0073184196\\\\\n",
       "\t 20120629 & 601998.SH & -0.0014796646\\\\\n",
       "\t 20120629 & 601999.SH & -0.0009261685\\\\\n",
       "\t 20120629 & 603000.SH & -0.0026201028\\\\\n",
       "\t 20120629 & 603001.SH & -0.0222513282\\\\\n",
       "\t 20120629 & 603002.SH & -0.0016704970\\\\\n",
       "\t 20120629 & 603123.SH & -0.0177060950\\\\\n",
       "\t 20120629 & 603128.SH & -0.0138303931\\\\\n",
       "\t 20120629 & 603333.SH & -0.0122636465\\\\\n",
       "\t 20120629 & 603366.SH &  0.0044671340\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 276900 × 3\n",
       "\n",
       "| date &lt;int&gt; | symbol &lt;chr&gt; | abnr_ret &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | 000001.SZ | -0.0075757072 |\n",
       "| 20120104 | 000002.SZ |  0.0012644428 |\n",
       "| 20120104 | 000004.SZ | -0.0022436150 |\n",
       "| 20120104 | 000005.SZ |  0.0200060760 |\n",
       "| 20120104 | 000006.SZ |  0.0102499784 |\n",
       "| 20120104 | 000007.SZ |  0.0701580517 |\n",
       "| 20120104 | 000008.SZ | -0.0302091320 |\n",
       "| 20120104 | 000009.SZ | -0.0533884194 |\n",
       "| 20120104 | 000010.SZ |  0.0200060760 |\n",
       "| 20120104 | 000011.SZ |  0.0021778750 |\n",
       "| 20120104 | 000012.SZ | -0.0285590454 |\n",
       "| 20120104 | 000014.SZ | -0.0004020873 |\n",
       "| 20120104 | 000016.SZ |  0.0168415190 |\n",
       "| 20120104 | 000017.SZ |  0.0126800687 |\n",
       "| 20120104 | 000018.SZ | -0.0017804164 |\n",
       "| 20120104 | 000019.SZ |  0.0018713610 |\n",
       "| 20120104 | 000020.SZ | -0.0008667893 |\n",
       "| 20120104 | 000021.SZ |  0.0083101696 |\n",
       "| 20120104 | 000022.SZ |  0.0157096206 |\n",
       "| 20120104 | 000023.SZ | -0.0220991872 |\n",
       "| 20120104 | 000024.SZ |  0.0083394093 |\n",
       "| 20120104 | 000025.SZ |  0.0129138774 |\n",
       "| 20120104 | 000026.SZ |  0.0200060760 |\n",
       "| 20120104 | 000027.SZ |  0.0085306662 |\n",
       "| 20120104 | 000028.SZ | -0.0254271793 |\n",
       "| 20120104 | 000029.SZ |  0.0016011680 |\n",
       "| 20120104 | 000030.SZ | -0.0299939240 |\n",
       "| 20120104 | 000031.SZ |  0.0068481813 |\n",
       "| 20120104 | 000032.SZ | -0.0234721849 |\n",
       "| 20120104 | 000033.SZ |  0.0006690594 |\n",
       "| ... | ... | ... |\n",
       "| 20120629 | 601880.SH |  0.0511490519 |\n",
       "| 20120629 | 601886.SH |  0.0101183930 |\n",
       "| 20120629 | 601888.SH |  0.0002288460 |\n",
       "| 20120629 | 601890.SH |  0.0002189924 |\n",
       "| 20120629 | 601898.SH | -0.0115132858 |\n",
       "| 20120629 | 601899.SH | -0.0036532607 |\n",
       "| 20120629 | 601901.SH |  0.0307145894 |\n",
       "| 20120629 | 601908.SH |  0.0149124624 |\n",
       "| 20120629 | 601918.SH |  0.0050492312 |\n",
       "| 20120629 | 601919.SH | -0.0080124388 |\n",
       "| 20120629 | 601928.SH |  0.0132320288 |\n",
       "| 20120629 | 601929.SH |  0.0834219480 |\n",
       "| 20120629 | 601933.SH | -0.0085235672 |\n",
       "| 20120629 | 601939.SH | -0.0095138464 |\n",
       "| 20120629 | 601958.SH |  0.0001458416 |\n",
       "| 20120629 | 601965.SH | -0.0078975183 |\n",
       "| 20120629 | 601988.SH | -0.0131493721 |\n",
       "| 20120629 | 601989.SH | -0.0186311679 |\n",
       "| 20120629 | 601991.SH | -0.0237627647 |\n",
       "| 20120629 | 601992.SH | -0.0076033869 |\n",
       "| 20120629 | 601996.SH | -0.0073184196 |\n",
       "| 20120629 | 601998.SH | -0.0014796646 |\n",
       "| 20120629 | 601999.SH | -0.0009261685 |\n",
       "| 20120629 | 603000.SH | -0.0026201028 |\n",
       "| 20120629 | 603001.SH | -0.0222513282 |\n",
       "| 20120629 | 603002.SH | -0.0016704970 |\n",
       "| 20120629 | 603123.SH | -0.0177060950 |\n",
       "| 20120629 | 603128.SH | -0.0138303931 |\n",
       "| 20120629 | 603333.SH | -0.0122636465 |\n",
       "| 20120629 | 603366.SH |  0.0044671340 |\n",
       "\n"
      ],
      "text/plain": [
       "       date     symbol    abnr_ret     \n",
       "1      20120104 000001.SZ -0.0075757072\n",
       "2      20120104 000002.SZ  0.0012644428\n",
       "3      20120104 000004.SZ -0.0022436150\n",
       "4      20120104 000005.SZ  0.0200060760\n",
       "5      20120104 000006.SZ  0.0102499784\n",
       "6      20120104 000007.SZ  0.0701580517\n",
       "7      20120104 000008.SZ -0.0302091320\n",
       "8      20120104 000009.SZ -0.0533884194\n",
       "9      20120104 000010.SZ  0.0200060760\n",
       "10     20120104 000011.SZ  0.0021778750\n",
       "11     20120104 000012.SZ -0.0285590454\n",
       "12     20120104 000014.SZ -0.0004020873\n",
       "13     20120104 000016.SZ  0.0168415190\n",
       "14     20120104 000017.SZ  0.0126800687\n",
       "15     20120104 000018.SZ -0.0017804164\n",
       "16     20120104 000019.SZ  0.0018713610\n",
       "17     20120104 000020.SZ -0.0008667893\n",
       "18     20120104 000021.SZ  0.0083101696\n",
       "19     20120104 000022.SZ  0.0157096206\n",
       "20     20120104 000023.SZ -0.0220991872\n",
       "21     20120104 000024.SZ  0.0083394093\n",
       "22     20120104 000025.SZ  0.0129138774\n",
       "23     20120104 000026.SZ  0.0200060760\n",
       "24     20120104 000027.SZ  0.0085306662\n",
       "25     20120104 000028.SZ -0.0254271793\n",
       "26     20120104 000029.SZ  0.0016011680\n",
       "27     20120104 000030.SZ -0.0299939240\n",
       "28     20120104 000031.SZ  0.0068481813\n",
       "29     20120104 000032.SZ -0.0234721849\n",
       "30     20120104 000033.SZ  0.0006690594\n",
       "...    ...      ...       ...          \n",
       "276871 20120629 601880.SH  0.0511490519\n",
       "276872 20120629 601886.SH  0.0101183930\n",
       "276873 20120629 601888.SH  0.0002288460\n",
       "276874 20120629 601890.SH  0.0002189924\n",
       "276875 20120629 601898.SH -0.0115132858\n",
       "276876 20120629 601899.SH -0.0036532607\n",
       "276877 20120629 601901.SH  0.0307145894\n",
       "276878 20120629 601908.SH  0.0149124624\n",
       "276879 20120629 601918.SH  0.0050492312\n",
       "276880 20120629 601919.SH -0.0080124388\n",
       "276881 20120629 601928.SH  0.0132320288\n",
       "276882 20120629 601929.SH  0.0834219480\n",
       "276883 20120629 601933.SH -0.0085235672\n",
       "276884 20120629 601939.SH -0.0095138464\n",
       "276885 20120629 601958.SH  0.0001458416\n",
       "276886 20120629 601965.SH -0.0078975183\n",
       "276887 20120629 601988.SH -0.0131493721\n",
       "276888 20120629 601989.SH -0.0186311679\n",
       "276889 20120629 601991.SH -0.0237627647\n",
       "276890 20120629 601992.SH -0.0076033869\n",
       "276891 20120629 601996.SH -0.0073184196\n",
       "276892 20120629 601998.SH -0.0014796646\n",
       "276893 20120629 601999.SH -0.0009261685\n",
       "276894 20120629 603000.SH -0.0026201028\n",
       "276895 20120629 603001.SH -0.0222513282\n",
       "276896 20120629 603002.SH -0.0016704970\n",
       "276897 20120629 603123.SH -0.0177060950\n",
       "276898 20120629 603128.SH -0.0138303931\n",
       "276899 20120629 603333.SH -0.0122636465\n",
       "276900 20120629 603366.SH  0.0044671340"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, weight = capt/sum(capt), symbol), keyby = date\n",
    "    ][, .(mkt_ret = sum(weight*stkcd_ret), stkcd_ret, symbol), keyby = date\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ mkt_ret))[1], beta = coef(lm(stkcd_ret ~ mkt_ret))[2], mkt_ret, stkcd_ret, symbol, date)\n",
    "    ][, .(abnr_ret = stkcd_ret - alpha - beta * mkt_ret), keyby = .(date, symbol)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *31. 每天每个股票对市场去除自身的超额收益率是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 276900 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>symbol</th><th scope=col>abnr_ret</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>000001.SZ</td><td>-0.0077629463</td></tr>\n",
       "\t<tr><td>20120104</td><td>000002.SZ</td><td> 0.0010772037</td></tr>\n",
       "\t<tr><td>20120104</td><td>000004.SZ</td><td>-0.0024308541</td></tr>\n",
       "\t<tr><td>20120104</td><td>000005.SZ</td><td> 0.0198188369</td></tr>\n",
       "\t<tr><td>20120104</td><td>000006.SZ</td><td> 0.0100627393</td></tr>\n",
       "\t<tr><td>20120104</td><td>000007.SZ</td><td> 0.0699708126</td></tr>\n",
       "\t<tr><td>20120104</td><td>000008.SZ</td><td>-0.0303963711</td></tr>\n",
       "\t<tr><td>20120104</td><td>000009.SZ</td><td>-0.0535756585</td></tr>\n",
       "\t<tr><td>20120104</td><td>000010.SZ</td><td> 0.0198188369</td></tr>\n",
       "\t<tr><td>20120104</td><td>000011.SZ</td><td> 0.0019906359</td></tr>\n",
       "\t<tr><td>20120104</td><td>000012.SZ</td><td>-0.0287462845</td></tr>\n",
       "\t<tr><td>20120104</td><td>000014.SZ</td><td>-0.0005893264</td></tr>\n",
       "\t<tr><td>20120104</td><td>000016.SZ</td><td> 0.0166542799</td></tr>\n",
       "\t<tr><td>20120104</td><td>000017.SZ</td><td> 0.0124928296</td></tr>\n",
       "\t<tr><td>20120104</td><td>000018.SZ</td><td>-0.0019676555</td></tr>\n",
       "\t<tr><td>20120104</td><td>000019.SZ</td><td> 0.0016841219</td></tr>\n",
       "\t<tr><td>20120104</td><td>000020.SZ</td><td>-0.0010540284</td></tr>\n",
       "\t<tr><td>20120104</td><td>000021.SZ</td><td> 0.0081229305</td></tr>\n",
       "\t<tr><td>20120104</td><td>000022.SZ</td><td> 0.0155223815</td></tr>\n",
       "\t<tr><td>20120104</td><td>000023.SZ</td><td>-0.0222864263</td></tr>\n",
       "\t<tr><td>20120104</td><td>000024.SZ</td><td> 0.0081521702</td></tr>\n",
       "\t<tr><td>20120104</td><td>000025.SZ</td><td> 0.0127266383</td></tr>\n",
       "\t<tr><td>20120104</td><td>000026.SZ</td><td> 0.0198188369</td></tr>\n",
       "\t<tr><td>20120104</td><td>000027.SZ</td><td> 0.0083434271</td></tr>\n",
       "\t<tr><td>20120104</td><td>000028.SZ</td><td>-0.0256144184</td></tr>\n",
       "\t<tr><td>20120104</td><td>000029.SZ</td><td> 0.0014139289</td></tr>\n",
       "\t<tr><td>20120104</td><td>000030.SZ</td><td>-0.0301811631</td></tr>\n",
       "\t<tr><td>20120104</td><td>000031.SZ</td><td> 0.0066609422</td></tr>\n",
       "\t<tr><td>20120104</td><td>000032.SZ</td><td>-0.0236594240</td></tr>\n",
       "\t<tr><td>20120104</td><td>000033.SZ</td><td> 0.0004818203</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>601880.SH</td><td> 0.0511385301</td></tr>\n",
       "\t<tr><td>20120629</td><td>601886.SH</td><td> 0.0101078713</td></tr>\n",
       "\t<tr><td>20120629</td><td>601888.SH</td><td> 0.0002183242</td></tr>\n",
       "\t<tr><td>20120629</td><td>601890.SH</td><td> 0.0002084706</td></tr>\n",
       "\t<tr><td>20120629</td><td>601898.SH</td><td>-0.0115238076</td></tr>\n",
       "\t<tr><td>20120629</td><td>601899.SH</td><td>-0.0036637825</td></tr>\n",
       "\t<tr><td>20120629</td><td>601901.SH</td><td> 0.0307040676</td></tr>\n",
       "\t<tr><td>20120629</td><td>601908.SH</td><td> 0.0149019406</td></tr>\n",
       "\t<tr><td>20120629</td><td>601918.SH</td><td> 0.0050387094</td></tr>\n",
       "\t<tr><td>20120629</td><td>601919.SH</td><td>-0.0080229606</td></tr>\n",
       "\t<tr><td>20120629</td><td>601928.SH</td><td> 0.0132215070</td></tr>\n",
       "\t<tr><td>20120629</td><td>601929.SH</td><td> 0.0834114262</td></tr>\n",
       "\t<tr><td>20120629</td><td>601933.SH</td><td>-0.0085340890</td></tr>\n",
       "\t<tr><td>20120629</td><td>601939.SH</td><td>-0.0095243682</td></tr>\n",
       "\t<tr><td>20120629</td><td>601958.SH</td><td> 0.0001353198</td></tr>\n",
       "\t<tr><td>20120629</td><td>601965.SH</td><td>-0.0079080401</td></tr>\n",
       "\t<tr><td>20120629</td><td>601988.SH</td><td>-0.0131598939</td></tr>\n",
       "\t<tr><td>20120629</td><td>601989.SH</td><td>-0.0186416897</td></tr>\n",
       "\t<tr><td>20120629</td><td>601991.SH</td><td>-0.0237732865</td></tr>\n",
       "\t<tr><td>20120629</td><td>601992.SH</td><td>-0.0076139087</td></tr>\n",
       "\t<tr><td>20120629</td><td>601996.SH</td><td>-0.0073289414</td></tr>\n",
       "\t<tr><td>20120629</td><td>601998.SH</td><td>-0.0014901864</td></tr>\n",
       "\t<tr><td>20120629</td><td>601999.SH</td><td>-0.0009366902</td></tr>\n",
       "\t<tr><td>20120629</td><td>603000.SH</td><td>-0.0026306246</td></tr>\n",
       "\t<tr><td>20120629</td><td>603001.SH</td><td>-0.0222618500</td></tr>\n",
       "\t<tr><td>20120629</td><td>603002.SH</td><td>-0.0016810188</td></tr>\n",
       "\t<tr><td>20120629</td><td>603123.SH</td><td>-0.0177166168</td></tr>\n",
       "\t<tr><td>20120629</td><td>603128.SH</td><td>-0.0138409149</td></tr>\n",
       "\t<tr><td>20120629</td><td>603333.SH</td><td>-0.0122741683</td></tr>\n",
       "\t<tr><td>20120629</td><td>603366.SH</td><td> 0.0044566122</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 276900 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & symbol & abnr\\_ret\\\\\n",
       " <int> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & 000001.SZ & -0.0077629463\\\\\n",
       "\t 20120104 & 000002.SZ &  0.0010772037\\\\\n",
       "\t 20120104 & 000004.SZ & -0.0024308541\\\\\n",
       "\t 20120104 & 000005.SZ &  0.0198188369\\\\\n",
       "\t 20120104 & 000006.SZ &  0.0100627393\\\\\n",
       "\t 20120104 & 000007.SZ &  0.0699708126\\\\\n",
       "\t 20120104 & 000008.SZ & -0.0303963711\\\\\n",
       "\t 20120104 & 000009.SZ & -0.0535756585\\\\\n",
       "\t 20120104 & 000010.SZ &  0.0198188369\\\\\n",
       "\t 20120104 & 000011.SZ &  0.0019906359\\\\\n",
       "\t 20120104 & 000012.SZ & -0.0287462845\\\\\n",
       "\t 20120104 & 000014.SZ & -0.0005893264\\\\\n",
       "\t 20120104 & 000016.SZ &  0.0166542799\\\\\n",
       "\t 20120104 & 000017.SZ &  0.0124928296\\\\\n",
       "\t 20120104 & 000018.SZ & -0.0019676555\\\\\n",
       "\t 20120104 & 000019.SZ &  0.0016841219\\\\\n",
       "\t 20120104 & 000020.SZ & -0.0010540284\\\\\n",
       "\t 20120104 & 000021.SZ &  0.0081229305\\\\\n",
       "\t 20120104 & 000022.SZ &  0.0155223815\\\\\n",
       "\t 20120104 & 000023.SZ & -0.0222864263\\\\\n",
       "\t 20120104 & 000024.SZ &  0.0081521702\\\\\n",
       "\t 20120104 & 000025.SZ &  0.0127266383\\\\\n",
       "\t 20120104 & 000026.SZ &  0.0198188369\\\\\n",
       "\t 20120104 & 000027.SZ &  0.0083434271\\\\\n",
       "\t 20120104 & 000028.SZ & -0.0256144184\\\\\n",
       "\t 20120104 & 000029.SZ &  0.0014139289\\\\\n",
       "\t 20120104 & 000030.SZ & -0.0301811631\\\\\n",
       "\t 20120104 & 000031.SZ &  0.0066609422\\\\\n",
       "\t 20120104 & 000032.SZ & -0.0236594240\\\\\n",
       "\t 20120104 & 000033.SZ &  0.0004818203\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120629 & 601880.SH &  0.0511385301\\\\\n",
       "\t 20120629 & 601886.SH &  0.0101078713\\\\\n",
       "\t 20120629 & 601888.SH &  0.0002183242\\\\\n",
       "\t 20120629 & 601890.SH &  0.0002084706\\\\\n",
       "\t 20120629 & 601898.SH & -0.0115238076\\\\\n",
       "\t 20120629 & 601899.SH & -0.0036637825\\\\\n",
       "\t 20120629 & 601901.SH &  0.0307040676\\\\\n",
       "\t 20120629 & 601908.SH &  0.0149019406\\\\\n",
       "\t 20120629 & 601918.SH &  0.0050387094\\\\\n",
       "\t 20120629 & 601919.SH & -0.0080229606\\\\\n",
       "\t 20120629 & 601928.SH &  0.0132215070\\\\\n",
       "\t 20120629 & 601929.SH &  0.0834114262\\\\\n",
       "\t 20120629 & 601933.SH & -0.0085340890\\\\\n",
       "\t 20120629 & 601939.SH & -0.0095243682\\\\\n",
       "\t 20120629 & 601958.SH &  0.0001353198\\\\\n",
       "\t 20120629 & 601965.SH & -0.0079080401\\\\\n",
       "\t 20120629 & 601988.SH & -0.0131598939\\\\\n",
       "\t 20120629 & 601989.SH & -0.0186416897\\\\\n",
       "\t 20120629 & 601991.SH & -0.0237732865\\\\\n",
       "\t 20120629 & 601992.SH & -0.0076139087\\\\\n",
       "\t 20120629 & 601996.SH & -0.0073289414\\\\\n",
       "\t 20120629 & 601998.SH & -0.0014901864\\\\\n",
       "\t 20120629 & 601999.SH & -0.0009366902\\\\\n",
       "\t 20120629 & 603000.SH & -0.0026306246\\\\\n",
       "\t 20120629 & 603001.SH & -0.0222618500\\\\\n",
       "\t 20120629 & 603002.SH & -0.0016810188\\\\\n",
       "\t 20120629 & 603123.SH & -0.0177166168\\\\\n",
       "\t 20120629 & 603128.SH & -0.0138409149\\\\\n",
       "\t 20120629 & 603333.SH & -0.0122741683\\\\\n",
       "\t 20120629 & 603366.SH &  0.0044566122\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 276900 × 3\n",
       "\n",
       "| date &lt;int&gt; | symbol &lt;chr&gt; | abnr_ret &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | 000001.SZ | -0.0077629463 |\n",
       "| 20120104 | 000002.SZ |  0.0010772037 |\n",
       "| 20120104 | 000004.SZ | -0.0024308541 |\n",
       "| 20120104 | 000005.SZ |  0.0198188369 |\n",
       "| 20120104 | 000006.SZ |  0.0100627393 |\n",
       "| 20120104 | 000007.SZ |  0.0699708126 |\n",
       "| 20120104 | 000008.SZ | -0.0303963711 |\n",
       "| 20120104 | 000009.SZ | -0.0535756585 |\n",
       "| 20120104 | 000010.SZ |  0.0198188369 |\n",
       "| 20120104 | 000011.SZ |  0.0019906359 |\n",
       "| 20120104 | 000012.SZ | -0.0287462845 |\n",
       "| 20120104 | 000014.SZ | -0.0005893264 |\n",
       "| 20120104 | 000016.SZ |  0.0166542799 |\n",
       "| 20120104 | 000017.SZ |  0.0124928296 |\n",
       "| 20120104 | 000018.SZ | -0.0019676555 |\n",
       "| 20120104 | 000019.SZ |  0.0016841219 |\n",
       "| 20120104 | 000020.SZ | -0.0010540284 |\n",
       "| 20120104 | 000021.SZ |  0.0081229305 |\n",
       "| 20120104 | 000022.SZ |  0.0155223815 |\n",
       "| 20120104 | 000023.SZ | -0.0222864263 |\n",
       "| 20120104 | 000024.SZ |  0.0081521702 |\n",
       "| 20120104 | 000025.SZ |  0.0127266383 |\n",
       "| 20120104 | 000026.SZ |  0.0198188369 |\n",
       "| 20120104 | 000027.SZ |  0.0083434271 |\n",
       "| 20120104 | 000028.SZ | -0.0256144184 |\n",
       "| 20120104 | 000029.SZ |  0.0014139289 |\n",
       "| 20120104 | 000030.SZ | -0.0301811631 |\n",
       "| 20120104 | 000031.SZ |  0.0066609422 |\n",
       "| 20120104 | 000032.SZ | -0.0236594240 |\n",
       "| 20120104 | 000033.SZ |  0.0004818203 |\n",
       "| ... | ... | ... |\n",
       "| 20120629 | 601880.SH |  0.0511385301 |\n",
       "| 20120629 | 601886.SH |  0.0101078713 |\n",
       "| 20120629 | 601888.SH |  0.0002183242 |\n",
       "| 20120629 | 601890.SH |  0.0002084706 |\n",
       "| 20120629 | 601898.SH | -0.0115238076 |\n",
       "| 20120629 | 601899.SH | -0.0036637825 |\n",
       "| 20120629 | 601901.SH |  0.0307040676 |\n",
       "| 20120629 | 601908.SH |  0.0149019406 |\n",
       "| 20120629 | 601918.SH |  0.0050387094 |\n",
       "| 20120629 | 601919.SH | -0.0080229606 |\n",
       "| 20120629 | 601928.SH |  0.0132215070 |\n",
       "| 20120629 | 601929.SH |  0.0834114262 |\n",
       "| 20120629 | 601933.SH | -0.0085340890 |\n",
       "| 20120629 | 601939.SH | -0.0095243682 |\n",
       "| 20120629 | 601958.SH |  0.0001353198 |\n",
       "| 20120629 | 601965.SH | -0.0079080401 |\n",
       "| 20120629 | 601988.SH | -0.0131598939 |\n",
       "| 20120629 | 601989.SH | -0.0186416897 |\n",
       "| 20120629 | 601991.SH | -0.0237732865 |\n",
       "| 20120629 | 601992.SH | -0.0076139087 |\n",
       "| 20120629 | 601996.SH | -0.0073289414 |\n",
       "| 20120629 | 601998.SH | -0.0014901864 |\n",
       "| 20120629 | 601999.SH | -0.0009366902 |\n",
       "| 20120629 | 603000.SH | -0.0026306246 |\n",
       "| 20120629 | 603001.SH | -0.0222618500 |\n",
       "| 20120629 | 603002.SH | -0.0016810188 |\n",
       "| 20120629 | 603123.SH | -0.0177166168 |\n",
       "| 20120629 | 603128.SH | -0.0138409149 |\n",
       "| 20120629 | 603333.SH | -0.0122741683 |\n",
       "| 20120629 | 603366.SH |  0.0044566122 |\n",
       "\n"
      ],
      "text/plain": [
       "       date     symbol    abnr_ret     \n",
       "1      20120104 000001.SZ -0.0077629463\n",
       "2      20120104 000002.SZ  0.0010772037\n",
       "3      20120104 000004.SZ -0.0024308541\n",
       "4      20120104 000005.SZ  0.0198188369\n",
       "5      20120104 000006.SZ  0.0100627393\n",
       "6      20120104 000007.SZ  0.0699708126\n",
       "7      20120104 000008.SZ -0.0303963711\n",
       "8      20120104 000009.SZ -0.0535756585\n",
       "9      20120104 000010.SZ  0.0198188369\n",
       "10     20120104 000011.SZ  0.0019906359\n",
       "11     20120104 000012.SZ -0.0287462845\n",
       "12     20120104 000014.SZ -0.0005893264\n",
       "13     20120104 000016.SZ  0.0166542799\n",
       "14     20120104 000017.SZ  0.0124928296\n",
       "15     20120104 000018.SZ -0.0019676555\n",
       "16     20120104 000019.SZ  0.0016841219\n",
       "17     20120104 000020.SZ -0.0010540284\n",
       "18     20120104 000021.SZ  0.0081229305\n",
       "19     20120104 000022.SZ  0.0155223815\n",
       "20     20120104 000023.SZ -0.0222864263\n",
       "21     20120104 000024.SZ  0.0081521702\n",
       "22     20120104 000025.SZ  0.0127266383\n",
       "23     20120104 000026.SZ  0.0198188369\n",
       "24     20120104 000027.SZ  0.0083434271\n",
       "25     20120104 000028.SZ -0.0256144184\n",
       "26     20120104 000029.SZ  0.0014139289\n",
       "27     20120104 000030.SZ -0.0301811631\n",
       "28     20120104 000031.SZ  0.0066609422\n",
       "29     20120104 000032.SZ -0.0236594240\n",
       "30     20120104 000033.SZ  0.0004818203\n",
       "...    ...      ...       ...          \n",
       "276871 20120629 601880.SH  0.0511385301\n",
       "276872 20120629 601886.SH  0.0101078713\n",
       "276873 20120629 601888.SH  0.0002183242\n",
       "276874 20120629 601890.SH  0.0002084706\n",
       "276875 20120629 601898.SH -0.0115238076\n",
       "276876 20120629 601899.SH -0.0036637825\n",
       "276877 20120629 601901.SH  0.0307040676\n",
       "276878 20120629 601908.SH  0.0149019406\n",
       "276879 20120629 601918.SH  0.0050387094\n",
       "276880 20120629 601919.SH -0.0080229606\n",
       "276881 20120629 601928.SH  0.0132215070\n",
       "276882 20120629 601929.SH  0.0834114262\n",
       "276883 20120629 601933.SH -0.0085340890\n",
       "276884 20120629 601939.SH -0.0095243682\n",
       "276885 20120629 601958.SH  0.0001353198\n",
       "276886 20120629 601965.SH -0.0079080401\n",
       "276887 20120629 601988.SH -0.0131598939\n",
       "276888 20120629 601989.SH -0.0186416897\n",
       "276889 20120629 601991.SH -0.0237732865\n",
       "276890 20120629 601992.SH -0.0076139087\n",
       "276891 20120629 601996.SH -0.0073289414\n",
       "276892 20120629 601998.SH -0.0014901864\n",
       "276893 20120629 601999.SH -0.0009366902\n",
       "276894 20120629 603000.SH -0.0026306246\n",
       "276895 20120629 603001.SH -0.0222618500\n",
       "276896 20120629 603002.SH -0.0016810188\n",
       "276897 20120629 603123.SH -0.0177166168\n",
       "276898 20120629 603128.SH -0.0138409149\n",
       "276899 20120629 603333.SH -0.0122741683\n",
       "276900 20120629 603366.SH  0.0044566122"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, symbol, weight =  capt/(sum(capt) - capt)),keyby = date\n",
    "    ][, .(mkt_ret = sum(weight*stkcd_ret), stkcd_ret, symbol), keyby = date\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ mkt_ret))[1], beta = coef(lm(stkcd_ret ~ mkt_ret))[2], mkt_ret, stkcd_ret, symbol, date)\n",
    "    ][, .(abnr_ret = stkcd_ret - alpha - beta * mkt_ret), keyby = .(date, symbol)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *32. 每天每个股票对行业的超额收益率是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 44,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 276900 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>symbol</th><th scope=col>abnr_ret</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>000001.SZ</td><td>-0.0193325437</td></tr>\n",
       "\t<tr><td>20120104</td><td>000002.SZ</td><td> 0.0009002525</td></tr>\n",
       "\t<tr><td>20120104</td><td>000004.SZ</td><td> 0.0070727953</td></tr>\n",
       "\t<tr><td>20120104</td><td>000005.SZ</td><td> 0.0196418857</td></tr>\n",
       "\t<tr><td>20120104</td><td>000006.SZ</td><td> 0.0098857881</td></tr>\n",
       "\t<tr><td>20120104</td><td>000007.SZ</td><td> 0.0681032179</td></tr>\n",
       "\t<tr><td>20120104</td><td>000008.SZ</td><td>-0.0279492664</td></tr>\n",
       "\t<tr><td>20120104</td><td>000009.SZ</td><td>-0.0412176610</td></tr>\n",
       "\t<tr><td>20120104</td><td>000010.SZ</td><td> 0.0278375982</td></tr>\n",
       "\t<tr><td>20120104</td><td>000011.SZ</td><td> 0.0018136847</td></tr>\n",
       "\t<tr><td>20120104</td><td>000012.SZ</td><td>-0.0264298352</td></tr>\n",
       "\t<tr><td>20120104</td><td>000014.SZ</td><td>-0.0007662776</td></tr>\n",
       "\t<tr><td>20120104</td><td>000016.SZ</td><td> 0.0091640127</td></tr>\n",
       "\t<tr><td>20120104</td><td>000017.SZ</td><td> 0.0192832549</td></tr>\n",
       "\t<tr><td>20120104</td><td>000018.SZ</td><td> 0.0048227698</td></tr>\n",
       "\t<tr><td>20120104</td><td>000019.SZ</td><td> 0.0185740196</td></tr>\n",
       "\t<tr><td>20120104</td><td>000020.SZ</td><td> 0.0086625081</td></tr>\n",
       "\t<tr><td>20120104</td><td>000021.SZ</td><td> 0.0178394669</td></tr>\n",
       "\t<tr><td>20120104</td><td>000022.SZ</td><td> 0.0077565211</td></tr>\n",
       "\t<tr><td>20120104</td><td>000023.SZ</td><td>-0.0199699770</td></tr>\n",
       "\t<tr><td>20120104</td><td>000024.SZ</td><td> 0.0079752190</td></tr>\n",
       "\t<tr><td>20120104</td><td>000025.SZ</td><td> 0.0098417712</td></tr>\n",
       "\t<tr><td>20120104</td><td>000026.SZ</td><td> 0.0266092622</td></tr>\n",
       "\t<tr><td>20120104</td><td>000027.SZ</td><td>-0.0001989730</td></tr>\n",
       "\t<tr><td>20120104</td><td>000028.SZ</td><td>-0.0161107690</td></tr>\n",
       "\t<tr><td>20120104</td><td>000029.SZ</td><td> 0.0012369777</td></tr>\n",
       "\t<tr><td>20120104</td><td>000030.SZ</td><td>-0.0214376943</td></tr>\n",
       "\t<tr><td>20120104</td><td>000031.SZ</td><td> 0.0064839910</td></tr>\n",
       "\t<tr><td>20120104</td><td>000032.SZ</td><td>-0.0139428875</td></tr>\n",
       "\t<tr><td>20120104</td><td>000033.SZ</td><td>-0.0013857744</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>601880.SH</td><td> 5.651288e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>601886.SH</td><td> 1.861129e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>601888.SH</td><td> 7.669955e-04</td></tr>\n",
       "\t<tr><td>20120629</td><td>601890.SH</td><td> 8.194514e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601898.SH</td><td>-1.212314e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>601899.SH</td><td>-9.494037e-04</td></tr>\n",
       "\t<tr><td>20120629</td><td>601901.SH</td><td> 9.093548e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601908.SH</td><td> 1.662713e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>601918.SH</td><td> 4.439374e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601919.SH</td><td> 5.178795e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601928.SH</td><td> 1.200065e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>601929.SH</td><td> 8.219057e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>601933.SH</td><td> 3.411729e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601939.SH</td><td>-5.864658e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601958.SH</td><td> 2.849699e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601965.SH</td><td>-3.450435e-05</td></tr>\n",
       "\t<tr><td>20120629</td><td>601988.SH</td><td>-9.500184e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601989.SH</td><td>-1.065565e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>601991.SH</td><td>-1.017434e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>601992.SH</td><td>-2.428085e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601996.SH</td><td>-1.401710e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601998.SH</td><td> 2.169524e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>601999.SH</td><td>-2.157543e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>603000.SH</td><td>-3.851478e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>603001.SH</td><td>-1.658164e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>603002.SH</td><td> 3.745881e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>603123.SH</td><td>-1.191440e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>603128.SH</td><td>-1.551386e-02</td></tr>\n",
       "\t<tr><td>20120629</td><td>603333.SH</td><td>-5.904168e-03</td></tr>\n",
       "\t<tr><td>20120629</td><td>603366.SH</td><td> 6.181804e-03</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 276900 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & symbol & abnr\\_ret\\\\\n",
       " <int> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & 000001.SZ & -0.0193325437\\\\\n",
       "\t 20120104 & 000002.SZ &  0.0009002525\\\\\n",
       "\t 20120104 & 000004.SZ &  0.0070727953\\\\\n",
       "\t 20120104 & 000005.SZ &  0.0196418857\\\\\n",
       "\t 20120104 & 000006.SZ &  0.0098857881\\\\\n",
       "\t 20120104 & 000007.SZ &  0.0681032179\\\\\n",
       "\t 20120104 & 000008.SZ & -0.0279492664\\\\\n",
       "\t 20120104 & 000009.SZ & -0.0412176610\\\\\n",
       "\t 20120104 & 000010.SZ &  0.0278375982\\\\\n",
       "\t 20120104 & 000011.SZ &  0.0018136847\\\\\n",
       "\t 20120104 & 000012.SZ & -0.0264298352\\\\\n",
       "\t 20120104 & 000014.SZ & -0.0007662776\\\\\n",
       "\t 20120104 & 000016.SZ &  0.0091640127\\\\\n",
       "\t 20120104 & 000017.SZ &  0.0192832549\\\\\n",
       "\t 20120104 & 000018.SZ &  0.0048227698\\\\\n",
       "\t 20120104 & 000019.SZ &  0.0185740196\\\\\n",
       "\t 20120104 & 000020.SZ &  0.0086625081\\\\\n",
       "\t 20120104 & 000021.SZ &  0.0178394669\\\\\n",
       "\t 20120104 & 000022.SZ &  0.0077565211\\\\\n",
       "\t 20120104 & 000023.SZ & -0.0199699770\\\\\n",
       "\t 20120104 & 000024.SZ &  0.0079752190\\\\\n",
       "\t 20120104 & 000025.SZ &  0.0098417712\\\\\n",
       "\t 20120104 & 000026.SZ &  0.0266092622\\\\\n",
       "\t 20120104 & 000027.SZ & -0.0001989730\\\\\n",
       "\t 20120104 & 000028.SZ & -0.0161107690\\\\\n",
       "\t 20120104 & 000029.SZ &  0.0012369777\\\\\n",
       "\t 20120104 & 000030.SZ & -0.0214376943\\\\\n",
       "\t 20120104 & 000031.SZ &  0.0064839910\\\\\n",
       "\t 20120104 & 000032.SZ & -0.0139428875\\\\\n",
       "\t 20120104 & 000033.SZ & -0.0013857744\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120629 & 601880.SH &  5.651288e-02\\\\\n",
       "\t 20120629 & 601886.SH &  1.861129e-02\\\\\n",
       "\t 20120629 & 601888.SH &  7.669955e-04\\\\\n",
       "\t 20120629 & 601890.SH &  8.194514e-03\\\\\n",
       "\t 20120629 & 601898.SH & -1.212314e-02\\\\\n",
       "\t 20120629 & 601899.SH & -9.494037e-04\\\\\n",
       "\t 20120629 & 601901.SH &  9.093548e-03\\\\\n",
       "\t 20120629 & 601908.SH &  1.662713e-02\\\\\n",
       "\t 20120629 & 601918.SH &  4.439374e-03\\\\\n",
       "\t 20120629 & 601919.SH &  5.178795e-03\\\\\n",
       "\t 20120629 & 601928.SH &  1.200065e-02\\\\\n",
       "\t 20120629 & 601929.SH &  8.219057e-02\\\\\n",
       "\t 20120629 & 601933.SH &  3.411729e-03\\\\\n",
       "\t 20120629 & 601939.SH & -5.864658e-03\\\\\n",
       "\t 20120629 & 601958.SH &  2.849699e-03\\\\\n",
       "\t 20120629 & 601965.SH & -3.450435e-05\\\\\n",
       "\t 20120629 & 601988.SH & -9.500184e-03\\\\\n",
       "\t 20120629 & 601989.SH & -1.065565e-02\\\\\n",
       "\t 20120629 & 601991.SH & -1.017434e-02\\\\\n",
       "\t 20120629 & 601992.SH & -2.428085e-03\\\\\n",
       "\t 20120629 & 601996.SH & -1.401710e-03\\\\\n",
       "\t 20120629 & 601998.SH &  2.169524e-03\\\\\n",
       "\t 20120629 & 601999.SH & -2.157543e-03\\\\\n",
       "\t 20120629 & 603000.SH & -3.851478e-03\\\\\n",
       "\t 20120629 & 603001.SH & -1.658164e-02\\\\\n",
       "\t 20120629 & 603002.SH &  3.745881e-03\\\\\n",
       "\t 20120629 & 603123.SH & -1.191440e-02\\\\\n",
       "\t 20120629 & 603128.SH & -1.551386e-02\\\\\n",
       "\t 20120629 & 603333.SH & -5.904168e-03\\\\\n",
       "\t 20120629 & 603366.SH &  6.181804e-03\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 276900 × 3\n",
       "\n",
       "| date &lt;int&gt; | symbol &lt;chr&gt; | abnr_ret &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | 000001.SZ | -0.0193325437 |\n",
       "| 20120104 | 000002.SZ |  0.0009002525 |\n",
       "| 20120104 | 000004.SZ |  0.0070727953 |\n",
       "| 20120104 | 000005.SZ |  0.0196418857 |\n",
       "| 20120104 | 000006.SZ |  0.0098857881 |\n",
       "| 20120104 | 000007.SZ |  0.0681032179 |\n",
       "| 20120104 | 000008.SZ | -0.0279492664 |\n",
       "| 20120104 | 000009.SZ | -0.0412176610 |\n",
       "| 20120104 | 000010.SZ |  0.0278375982 |\n",
       "| 20120104 | 000011.SZ |  0.0018136847 |\n",
       "| 20120104 | 000012.SZ | -0.0264298352 |\n",
       "| 20120104 | 000014.SZ | -0.0007662776 |\n",
       "| 20120104 | 000016.SZ |  0.0091640127 |\n",
       "| 20120104 | 000017.SZ |  0.0192832549 |\n",
       "| 20120104 | 000018.SZ |  0.0048227698 |\n",
       "| 20120104 | 000019.SZ |  0.0185740196 |\n",
       "| 20120104 | 000020.SZ |  0.0086625081 |\n",
       "| 20120104 | 000021.SZ |  0.0178394669 |\n",
       "| 20120104 | 000022.SZ |  0.0077565211 |\n",
       "| 20120104 | 000023.SZ | -0.0199699770 |\n",
       "| 20120104 | 000024.SZ |  0.0079752190 |\n",
       "| 20120104 | 000025.SZ |  0.0098417712 |\n",
       "| 20120104 | 000026.SZ |  0.0266092622 |\n",
       "| 20120104 | 000027.SZ | -0.0001989730 |\n",
       "| 20120104 | 000028.SZ | -0.0161107690 |\n",
       "| 20120104 | 000029.SZ |  0.0012369777 |\n",
       "| 20120104 | 000030.SZ | -0.0214376943 |\n",
       "| 20120104 | 000031.SZ |  0.0064839910 |\n",
       "| 20120104 | 000032.SZ | -0.0139428875 |\n",
       "| 20120104 | 000033.SZ | -0.0013857744 |\n",
       "| ... | ... | ... |\n",
       "| 20120629 | 601880.SH |  5.651288e-02 |\n",
       "| 20120629 | 601886.SH |  1.861129e-02 |\n",
       "| 20120629 | 601888.SH |  7.669955e-04 |\n",
       "| 20120629 | 601890.SH |  8.194514e-03 |\n",
       "| 20120629 | 601898.SH | -1.212314e-02 |\n",
       "| 20120629 | 601899.SH | -9.494037e-04 |\n",
       "| 20120629 | 601901.SH |  9.093548e-03 |\n",
       "| 20120629 | 601908.SH |  1.662713e-02 |\n",
       "| 20120629 | 601918.SH |  4.439374e-03 |\n",
       "| 20120629 | 601919.SH |  5.178795e-03 |\n",
       "| 20120629 | 601928.SH |  1.200065e-02 |\n",
       "| 20120629 | 601929.SH |  8.219057e-02 |\n",
       "| 20120629 | 601933.SH |  3.411729e-03 |\n",
       "| 20120629 | 601939.SH | -5.864658e-03 |\n",
       "| 20120629 | 601958.SH |  2.849699e-03 |\n",
       "| 20120629 | 601965.SH | -3.450435e-05 |\n",
       "| 20120629 | 601988.SH | -9.500184e-03 |\n",
       "| 20120629 | 601989.SH | -1.065565e-02 |\n",
       "| 20120629 | 601991.SH | -1.017434e-02 |\n",
       "| 20120629 | 601992.SH | -2.428085e-03 |\n",
       "| 20120629 | 601996.SH | -1.401710e-03 |\n",
       "| 20120629 | 601998.SH |  2.169524e-03 |\n",
       "| 20120629 | 601999.SH | -2.157543e-03 |\n",
       "| 20120629 | 603000.SH | -3.851478e-03 |\n",
       "| 20120629 | 603001.SH | -1.658164e-02 |\n",
       "| 20120629 | 603002.SH |  3.745881e-03 |\n",
       "| 20120629 | 603123.SH | -1.191440e-02 |\n",
       "| 20120629 | 603128.SH | -1.551386e-02 |\n",
       "| 20120629 | 603333.SH | -5.904168e-03 |\n",
       "| 20120629 | 603366.SH |  6.181804e-03 |\n",
       "\n"
      ],
      "text/plain": [
       "       date     symbol    abnr_ret     \n",
       "1      20120104 000001.SZ -0.0193325437\n",
       "2      20120104 000002.SZ  0.0009002525\n",
       "3      20120104 000004.SZ  0.0070727953\n",
       "4      20120104 000005.SZ  0.0196418857\n",
       "5      20120104 000006.SZ  0.0098857881\n",
       "6      20120104 000007.SZ  0.0681032179\n",
       "7      20120104 000008.SZ -0.0279492664\n",
       "8      20120104 000009.SZ -0.0412176610\n",
       "9      20120104 000010.SZ  0.0278375982\n",
       "10     20120104 000011.SZ  0.0018136847\n",
       "11     20120104 000012.SZ -0.0264298352\n",
       "12     20120104 000014.SZ -0.0007662776\n",
       "13     20120104 000016.SZ  0.0091640127\n",
       "14     20120104 000017.SZ  0.0192832549\n",
       "15     20120104 000018.SZ  0.0048227698\n",
       "16     20120104 000019.SZ  0.0185740196\n",
       "17     20120104 000020.SZ  0.0086625081\n",
       "18     20120104 000021.SZ  0.0178394669\n",
       "19     20120104 000022.SZ  0.0077565211\n",
       "20     20120104 000023.SZ -0.0199699770\n",
       "21     20120104 000024.SZ  0.0079752190\n",
       "22     20120104 000025.SZ  0.0098417712\n",
       "23     20120104 000026.SZ  0.0266092622\n",
       "24     20120104 000027.SZ -0.0001989730\n",
       "25     20120104 000028.SZ -0.0161107690\n",
       "26     20120104 000029.SZ  0.0012369777\n",
       "27     20120104 000030.SZ -0.0214376943\n",
       "28     20120104 000031.SZ  0.0064839910\n",
       "29     20120104 000032.SZ -0.0139428875\n",
       "30     20120104 000033.SZ -0.0013857744\n",
       "...    ...      ...       ...          \n",
       "276871 20120629 601880.SH  5.651288e-02\n",
       "276872 20120629 601886.SH  1.861129e-02\n",
       "276873 20120629 601888.SH  7.669955e-04\n",
       "276874 20120629 601890.SH  8.194514e-03\n",
       "276875 20120629 601898.SH -1.212314e-02\n",
       "276876 20120629 601899.SH -9.494037e-04\n",
       "276877 20120629 601901.SH  9.093548e-03\n",
       "276878 20120629 601908.SH  1.662713e-02\n",
       "276879 20120629 601918.SH  4.439374e-03\n",
       "276880 20120629 601919.SH  5.178795e-03\n",
       "276881 20120629 601928.SH  1.200065e-02\n",
       "276882 20120629 601929.SH  8.219057e-02\n",
       "276883 20120629 601933.SH  3.411729e-03\n",
       "276884 20120629 601939.SH -5.864658e-03\n",
       "276885 20120629 601958.SH  2.849699e-03\n",
       "276886 20120629 601965.SH -3.450435e-05\n",
       "276887 20120629 601988.SH -9.500184e-03\n",
       "276888 20120629 601989.SH -1.065565e-02\n",
       "276889 20120629 601991.SH -1.017434e-02\n",
       "276890 20120629 601992.SH -2.428085e-03\n",
       "276891 20120629 601996.SH -1.401710e-03\n",
       "276892 20120629 601998.SH  2.169524e-03\n",
       "276893 20120629 601999.SH -2.157543e-03\n",
       "276894 20120629 603000.SH -3.851478e-03\n",
       "276895 20120629 603001.SH -1.658164e-02\n",
       "276896 20120629 603002.SH  3.745881e-03\n",
       "276897 20120629 603123.SH -1.191440e-02\n",
       "276898 20120629 603128.SH -1.551386e-02\n",
       "276899 20120629 603333.SH -5.904168e-03\n",
       "276900 20120629 603366.SH  6.181804e-03"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, symbol, weight = capt/sum(capt)), keyby = .(industry,date)\n",
    "    ][, .(ind_ret = sum(weight*stkcd_ret), stkcd_ret, symbol), keyby = .(industry, date)\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ ind_ret))[1], beta = coef(lm(stkcd_ret ~ ind_ret))[2], ind_ret, stkcd_ret, symbol, date), keyby = .(industry)\n",
    "    ][, .(abnr_ret = stkcd_ret - alpha - beta * ind_ret), keyby = .(date, symbol)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *33. 每天每个股票对行业去除自身的超额收益率是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 45,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 276900 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>symbol</th><th scope=col>abnr_ret</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>000001.SZ</td><td>-0.0196847604</td></tr>\n",
       "\t<tr><td>20120104</td><td>000002.SZ</td><td> 0.0006789611</td></tr>\n",
       "\t<tr><td>20120104</td><td>000004.SZ</td><td> 0.0071187283</td></tr>\n",
       "\t<tr><td>20120104</td><td>000005.SZ</td><td> 0.0194205943</td></tr>\n",
       "\t<tr><td>20120104</td><td>000006.SZ</td><td> 0.0096644967</td></tr>\n",
       "\t<tr><td>20120104</td><td>000007.SZ</td><td> 0.0679612938</td></tr>\n",
       "\t<tr><td>20120104</td><td>000008.SZ</td><td>-0.0286016284</td></tr>\n",
       "\t<tr><td>20120104</td><td>000009.SZ</td><td>-0.0411302307</td></tr>\n",
       "\t<tr><td>20120104</td><td>000010.SZ</td><td> 0.0277827474</td></tr>\n",
       "\t<tr><td>20120104</td><td>000011.SZ</td><td> 0.0015923933</td></tr>\n",
       "\t<tr><td>20120104</td><td>000012.SZ</td><td>-0.0268167568</td></tr>\n",
       "\t<tr><td>20120104</td><td>000014.SZ</td><td>-0.0009875690</td></tr>\n",
       "\t<tr><td>20120104</td><td>000016.SZ</td><td> 0.0081320457</td></tr>\n",
       "\t<tr><td>20120104</td><td>000017.SZ</td><td> 0.0196893522</td></tr>\n",
       "\t<tr><td>20120104</td><td>000018.SZ</td><td> 0.0052288672</td></tr>\n",
       "\t<tr><td>20120104</td><td>000019.SZ</td><td> 0.0179447159</td></tr>\n",
       "\t<tr><td>20120104</td><td>000020.SZ</td><td> 0.0089755039</td></tr>\n",
       "\t<tr><td>20120104</td><td>000021.SZ</td><td> 0.0181524627</td></tr>\n",
       "\t<tr><td>20120104</td><td>000022.SZ</td><td> 0.0083569373</td></tr>\n",
       "\t<tr><td>20120104</td><td>000023.SZ</td><td>-0.0203568985</td></tr>\n",
       "\t<tr><td>20120104</td><td>000024.SZ</td><td> 0.0077539276</td></tr>\n",
       "\t<tr><td>20120104</td><td>000025.SZ</td><td> 0.0092789336</td></tr>\n",
       "\t<tr><td>20120104</td><td>000026.SZ</td><td> 0.0270153596</td></tr>\n",
       "\t<tr><td>20120104</td><td>000027.SZ</td><td>-0.0005761629</td></tr>\n",
       "\t<tr><td>20120104</td><td>000028.SZ</td><td>-0.0160648360</td></tr>\n",
       "\t<tr><td>20120104</td><td>000029.SZ</td><td> 0.0010156863</td></tr>\n",
       "\t<tr><td>20120104</td><td>000030.SZ</td><td>-0.0214431817</td></tr>\n",
       "\t<tr><td>20120104</td><td>000031.SZ</td><td> 0.0062626995</td></tr>\n",
       "\t<tr><td>20120104</td><td>000032.SZ</td><td>-0.0136298917</td></tr>\n",
       "\t<tr><td>20120104</td><td>000033.SZ</td><td>-0.0015276985</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120629</td><td>601880.SH</td><td> 0.0572329820</td></tr>\n",
       "\t<tr><td>20120629</td><td>601886.SH</td><td> 0.0185121206</td></tr>\n",
       "\t<tr><td>20120629</td><td>601888.SH</td><td> 0.0009643195</td></tr>\n",
       "\t<tr><td>20120629</td><td>601890.SH</td><td> 0.0082132767</td></tr>\n",
       "\t<tr><td>20120629</td><td>601898.SH</td><td>-0.0116906597</td></tr>\n",
       "\t<tr><td>20120629</td><td>601899.SH</td><td>-0.0009383523</td></tr>\n",
       "\t<tr><td>20120629</td><td>601901.SH</td><td> 0.0098424646</td></tr>\n",
       "\t<tr><td>20120629</td><td>601908.SH</td><td> 0.0167636571</td></tr>\n",
       "\t<tr><td>20120629</td><td>601918.SH</td><td> 0.0048718573</td></tr>\n",
       "\t<tr><td>20120629</td><td>601919.SH</td><td> 0.0046550504</td></tr>\n",
       "\t<tr><td>20120629</td><td>601928.SH</td><td> 0.0123097446</td></tr>\n",
       "\t<tr><td>20120629</td><td>601929.SH</td><td> 0.0824996639</td></tr>\n",
       "\t<tr><td>20120629</td><td>601933.SH</td><td> 0.0040139573</td></tr>\n",
       "\t<tr><td>20120629</td><td>601939.SH</td><td>-0.0052107981</td></tr>\n",
       "\t<tr><td>20120629</td><td>601958.SH</td><td> 0.0028607500</td></tr>\n",
       "\t<tr><td>20120629</td><td>601965.SH</td><td>-0.0001452526</td></tr>\n",
       "\t<tr><td>20120629</td><td>601988.SH</td><td>-0.0088463238</td></tr>\n",
       "\t<tr><td>20120629</td><td>601989.SH</td><td>-0.0106368836</td></tr>\n",
       "\t<tr><td>20120629</td><td>601991.SH</td><td>-0.0099391694</td></tr>\n",
       "\t<tr><td>20120629</td><td>601992.SH</td><td>-0.0023819674</td></tr>\n",
       "\t<tr><td>20120629</td><td>601996.SH</td><td>-0.0014381715</td></tr>\n",
       "\t<tr><td>20120629</td><td>601998.SH</td><td> 0.0028233837</td></tr>\n",
       "\t<tr><td>20120629</td><td>601999.SH</td><td>-0.0018484526</td></tr>\n",
       "\t<tr><td>20120629</td><td>603000.SH</td><td>-0.0035423870</td></tr>\n",
       "\t<tr><td>20120629</td><td>603001.SH</td><td>-0.0165947883</td></tr>\n",
       "\t<tr><td>20120629</td><td>603002.SH</td><td> 0.0037459538</td></tr>\n",
       "\t<tr><td>20120629</td><td>603123.SH</td><td>-0.0118338171</td></tr>\n",
       "\t<tr><td>20120629</td><td>603128.SH</td><td>-0.0160168439</td></tr>\n",
       "\t<tr><td>20120629</td><td>603333.SH</td><td>-0.0056460293</td></tr>\n",
       "\t<tr><td>20120629</td><td>603366.SH</td><td> 0.0063183287</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 276900 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & symbol & abnr\\_ret\\\\\n",
       " <int> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & 000001.SZ & -0.0196847604\\\\\n",
       "\t 20120104 & 000002.SZ &  0.0006789611\\\\\n",
       "\t 20120104 & 000004.SZ &  0.0071187283\\\\\n",
       "\t 20120104 & 000005.SZ &  0.0194205943\\\\\n",
       "\t 20120104 & 000006.SZ &  0.0096644967\\\\\n",
       "\t 20120104 & 000007.SZ &  0.0679612938\\\\\n",
       "\t 20120104 & 000008.SZ & -0.0286016284\\\\\n",
       "\t 20120104 & 000009.SZ & -0.0411302307\\\\\n",
       "\t 20120104 & 000010.SZ &  0.0277827474\\\\\n",
       "\t 20120104 & 000011.SZ &  0.0015923933\\\\\n",
       "\t 20120104 & 000012.SZ & -0.0268167568\\\\\n",
       "\t 20120104 & 000014.SZ & -0.0009875690\\\\\n",
       "\t 20120104 & 000016.SZ &  0.0081320457\\\\\n",
       "\t 20120104 & 000017.SZ &  0.0196893522\\\\\n",
       "\t 20120104 & 000018.SZ &  0.0052288672\\\\\n",
       "\t 20120104 & 000019.SZ &  0.0179447159\\\\\n",
       "\t 20120104 & 000020.SZ &  0.0089755039\\\\\n",
       "\t 20120104 & 000021.SZ &  0.0181524627\\\\\n",
       "\t 20120104 & 000022.SZ &  0.0083569373\\\\\n",
       "\t 20120104 & 000023.SZ & -0.0203568985\\\\\n",
       "\t 20120104 & 000024.SZ &  0.0077539276\\\\\n",
       "\t 20120104 & 000025.SZ &  0.0092789336\\\\\n",
       "\t 20120104 & 000026.SZ &  0.0270153596\\\\\n",
       "\t 20120104 & 000027.SZ & -0.0005761629\\\\\n",
       "\t 20120104 & 000028.SZ & -0.0160648360\\\\\n",
       "\t 20120104 & 000029.SZ &  0.0010156863\\\\\n",
       "\t 20120104 & 000030.SZ & -0.0214431817\\\\\n",
       "\t 20120104 & 000031.SZ &  0.0062626995\\\\\n",
       "\t 20120104 & 000032.SZ & -0.0136298917\\\\\n",
       "\t 20120104 & 000033.SZ & -0.0015276985\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120629 & 601880.SH &  0.0572329820\\\\\n",
       "\t 20120629 & 601886.SH &  0.0185121206\\\\\n",
       "\t 20120629 & 601888.SH &  0.0009643195\\\\\n",
       "\t 20120629 & 601890.SH &  0.0082132767\\\\\n",
       "\t 20120629 & 601898.SH & -0.0116906597\\\\\n",
       "\t 20120629 & 601899.SH & -0.0009383523\\\\\n",
       "\t 20120629 & 601901.SH &  0.0098424646\\\\\n",
       "\t 20120629 & 601908.SH &  0.0167636571\\\\\n",
       "\t 20120629 & 601918.SH &  0.0048718573\\\\\n",
       "\t 20120629 & 601919.SH &  0.0046550504\\\\\n",
       "\t 20120629 & 601928.SH &  0.0123097446\\\\\n",
       "\t 20120629 & 601929.SH &  0.0824996639\\\\\n",
       "\t 20120629 & 601933.SH &  0.0040139573\\\\\n",
       "\t 20120629 & 601939.SH & -0.0052107981\\\\\n",
       "\t 20120629 & 601958.SH &  0.0028607500\\\\\n",
       "\t 20120629 & 601965.SH & -0.0001452526\\\\\n",
       "\t 20120629 & 601988.SH & -0.0088463238\\\\\n",
       "\t 20120629 & 601989.SH & -0.0106368836\\\\\n",
       "\t 20120629 & 601991.SH & -0.0099391694\\\\\n",
       "\t 20120629 & 601992.SH & -0.0023819674\\\\\n",
       "\t 20120629 & 601996.SH & -0.0014381715\\\\\n",
       "\t 20120629 & 601998.SH &  0.0028233837\\\\\n",
       "\t 20120629 & 601999.SH & -0.0018484526\\\\\n",
       "\t 20120629 & 603000.SH & -0.0035423870\\\\\n",
       "\t 20120629 & 603001.SH & -0.0165947883\\\\\n",
       "\t 20120629 & 603002.SH &  0.0037459538\\\\\n",
       "\t 20120629 & 603123.SH & -0.0118338171\\\\\n",
       "\t 20120629 & 603128.SH & -0.0160168439\\\\\n",
       "\t 20120629 & 603333.SH & -0.0056460293\\\\\n",
       "\t 20120629 & 603366.SH &  0.0063183287\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 276900 × 3\n",
       "\n",
       "| date &lt;int&gt; | symbol &lt;chr&gt; | abnr_ret &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| 20120104 | 000001.SZ | -0.0196847604 |\n",
       "| 20120104 | 000002.SZ |  0.0006789611 |\n",
       "| 20120104 | 000004.SZ |  0.0071187283 |\n",
       "| 20120104 | 000005.SZ |  0.0194205943 |\n",
       "| 20120104 | 000006.SZ |  0.0096644967 |\n",
       "| 20120104 | 000007.SZ |  0.0679612938 |\n",
       "| 20120104 | 000008.SZ | -0.0286016284 |\n",
       "| 20120104 | 000009.SZ | -0.0411302307 |\n",
       "| 20120104 | 000010.SZ |  0.0277827474 |\n",
       "| 20120104 | 000011.SZ |  0.0015923933 |\n",
       "| 20120104 | 000012.SZ | -0.0268167568 |\n",
       "| 20120104 | 000014.SZ | -0.0009875690 |\n",
       "| 20120104 | 000016.SZ |  0.0081320457 |\n",
       "| 20120104 | 000017.SZ |  0.0196893522 |\n",
       "| 20120104 | 000018.SZ |  0.0052288672 |\n",
       "| 20120104 | 000019.SZ |  0.0179447159 |\n",
       "| 20120104 | 000020.SZ |  0.0089755039 |\n",
       "| 20120104 | 000021.SZ |  0.0181524627 |\n",
       "| 20120104 | 000022.SZ |  0.0083569373 |\n",
       "| 20120104 | 000023.SZ | -0.0203568985 |\n",
       "| 20120104 | 000024.SZ |  0.0077539276 |\n",
       "| 20120104 | 000025.SZ |  0.0092789336 |\n",
       "| 20120104 | 000026.SZ |  0.0270153596 |\n",
       "| 20120104 | 000027.SZ | -0.0005761629 |\n",
       "| 20120104 | 000028.SZ | -0.0160648360 |\n",
       "| 20120104 | 000029.SZ |  0.0010156863 |\n",
       "| 20120104 | 000030.SZ | -0.0214431817 |\n",
       "| 20120104 | 000031.SZ |  0.0062626995 |\n",
       "| 20120104 | 000032.SZ | -0.0136298917 |\n",
       "| 20120104 | 000033.SZ | -0.0015276985 |\n",
       "| ... | ... | ... |\n",
       "| 20120629 | 601880.SH |  0.0572329820 |\n",
       "| 20120629 | 601886.SH |  0.0185121206 |\n",
       "| 20120629 | 601888.SH |  0.0009643195 |\n",
       "| 20120629 | 601890.SH |  0.0082132767 |\n",
       "| 20120629 | 601898.SH | -0.0116906597 |\n",
       "| 20120629 | 601899.SH | -0.0009383523 |\n",
       "| 20120629 | 601901.SH |  0.0098424646 |\n",
       "| 20120629 | 601908.SH |  0.0167636571 |\n",
       "| 20120629 | 601918.SH |  0.0048718573 |\n",
       "| 20120629 | 601919.SH |  0.0046550504 |\n",
       "| 20120629 | 601928.SH |  0.0123097446 |\n",
       "| 20120629 | 601929.SH |  0.0824996639 |\n",
       "| 20120629 | 601933.SH |  0.0040139573 |\n",
       "| 20120629 | 601939.SH | -0.0052107981 |\n",
       "| 20120629 | 601958.SH |  0.0028607500 |\n",
       "| 20120629 | 601965.SH | -0.0001452526 |\n",
       "| 20120629 | 601988.SH | -0.0088463238 |\n",
       "| 20120629 | 601989.SH | -0.0106368836 |\n",
       "| 20120629 | 601991.SH | -0.0099391694 |\n",
       "| 20120629 | 601992.SH | -0.0023819674 |\n",
       "| 20120629 | 601996.SH | -0.0014381715 |\n",
       "| 20120629 | 601998.SH |  0.0028233837 |\n",
       "| 20120629 | 601999.SH | -0.0018484526 |\n",
       "| 20120629 | 603000.SH | -0.0035423870 |\n",
       "| 20120629 | 603001.SH | -0.0165947883 |\n",
       "| 20120629 | 603002.SH |  0.0037459538 |\n",
       "| 20120629 | 603123.SH | -0.0118338171 |\n",
       "| 20120629 | 603128.SH | -0.0160168439 |\n",
       "| 20120629 | 603333.SH | -0.0056460293 |\n",
       "| 20120629 | 603366.SH |  0.0063183287 |\n",
       "\n"
      ],
      "text/plain": [
       "       date     symbol    abnr_ret     \n",
       "1      20120104 000001.SZ -0.0196847604\n",
       "2      20120104 000002.SZ  0.0006789611\n",
       "3      20120104 000004.SZ  0.0071187283\n",
       "4      20120104 000005.SZ  0.0194205943\n",
       "5      20120104 000006.SZ  0.0096644967\n",
       "6      20120104 000007.SZ  0.0679612938\n",
       "7      20120104 000008.SZ -0.0286016284\n",
       "8      20120104 000009.SZ -0.0411302307\n",
       "9      20120104 000010.SZ  0.0277827474\n",
       "10     20120104 000011.SZ  0.0015923933\n",
       "11     20120104 000012.SZ -0.0268167568\n",
       "12     20120104 000014.SZ -0.0009875690\n",
       "13     20120104 000016.SZ  0.0081320457\n",
       "14     20120104 000017.SZ  0.0196893522\n",
       "15     20120104 000018.SZ  0.0052288672\n",
       "16     20120104 000019.SZ  0.0179447159\n",
       "17     20120104 000020.SZ  0.0089755039\n",
       "18     20120104 000021.SZ  0.0181524627\n",
       "19     20120104 000022.SZ  0.0083569373\n",
       "20     20120104 000023.SZ -0.0203568985\n",
       "21     20120104 000024.SZ  0.0077539276\n",
       "22     20120104 000025.SZ  0.0092789336\n",
       "23     20120104 000026.SZ  0.0270153596\n",
       "24     20120104 000027.SZ -0.0005761629\n",
       "25     20120104 000028.SZ -0.0160648360\n",
       "26     20120104 000029.SZ  0.0010156863\n",
       "27     20120104 000030.SZ -0.0214431817\n",
       "28     20120104 000031.SZ  0.0062626995\n",
       "29     20120104 000032.SZ -0.0136298917\n",
       "30     20120104 000033.SZ -0.0015276985\n",
       "...    ...      ...       ...          \n",
       "276871 20120629 601880.SH  0.0572329820\n",
       "276872 20120629 601886.SH  0.0185121206\n",
       "276873 20120629 601888.SH  0.0009643195\n",
       "276874 20120629 601890.SH  0.0082132767\n",
       "276875 20120629 601898.SH -0.0116906597\n",
       "276876 20120629 601899.SH -0.0009383523\n",
       "276877 20120629 601901.SH  0.0098424646\n",
       "276878 20120629 601908.SH  0.0167636571\n",
       "276879 20120629 601918.SH  0.0048718573\n",
       "276880 20120629 601919.SH  0.0046550504\n",
       "276881 20120629 601928.SH  0.0123097446\n",
       "276882 20120629 601929.SH  0.0824996639\n",
       "276883 20120629 601933.SH  0.0040139573\n",
       "276884 20120629 601939.SH -0.0052107981\n",
       "276885 20120629 601958.SH  0.0028607500\n",
       "276886 20120629 601965.SH -0.0001452526\n",
       "276887 20120629 601988.SH -0.0088463238\n",
       "276888 20120629 601989.SH -0.0106368836\n",
       "276889 20120629 601991.SH -0.0099391694\n",
       "276890 20120629 601992.SH -0.0023819674\n",
       "276891 20120629 601996.SH -0.0014381715\n",
       "276892 20120629 601998.SH  0.0028233837\n",
       "276893 20120629 601999.SH -0.0018484526\n",
       "276894 20120629 603000.SH -0.0035423870\n",
       "276895 20120629 603001.SH -0.0165947883\n",
       "276896 20120629 603002.SH  0.0037459538\n",
       "276897 20120629 603123.SH -0.0118338171\n",
       "276898 20120629 603128.SH -0.0160168439\n",
       "276899 20120629 603333.SH -0.0056460293\n",
       "276900 20120629 603366.SH  0.0063183287"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, symbol, weight = capt/(sum(capt) - capt)), keyby = .(industry,date)\n",
    "    ][, .(ind_ret = sum(weight*stkcd_ret), stkcd_ret, symbol), keyby = .(industry, date)\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ ind_ret))[1], beta = coef(lm(stkcd_ret ~ ind_ret))[2], ind_ret, stkcd_ret, symbol, date), keyby = .(industry)\n",
    "    ][, .(abnr_ret = stkcd_ret - alpha - beta * ind_ret), keyby = .(date, symbol)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *34. 每个股票每天对市场的超额收益率与对行业的超额收益率的相关系数如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 46,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A matrix: 2 × 2 of type dbl</caption>\n",
       "<thead>\n",
       "\t<tr><th></th><th scope=col>abnr_mkt_ret</th><th scope=col>abnr_ind_ret</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><th scope=row>abnr_mkt_ret</th><td>1.000000</td><td>0.946769</td></tr>\n",
       "\t<tr><th scope=row>abnr_ind_ret</th><td>0.946769</td><td>1.000000</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A matrix: 2 × 2 of type dbl\n",
       "\\begin{tabular}{r|ll}\n",
       "  & abnr\\_mkt\\_ret & abnr\\_ind\\_ret\\\\\n",
       "\\hline\n",
       "\tabnr\\_mkt\\_ret & 1.000000 & 0.946769\\\\\n",
       "\tabnr\\_ind\\_ret & 0.946769 & 1.000000\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A matrix: 2 × 2 of type dbl\n",
       "\n",
       "| <!--/--> | abnr_mkt_ret | abnr_ind_ret |\n",
       "|---|---|---|\n",
       "| abnr_mkt_ret | 1.000000 | 0.946769 |\n",
       "| abnr_ind_ret | 0.946769 | 1.000000 |\n",
       "\n"
      ],
      "text/plain": [
       "             abnr_mkt_ret abnr_ind_ret\n",
       "abnr_mkt_ret 1.000000     0.946769    \n",
       "abnr_ind_ret 0.946769     1.000000    "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "mkt <- data[, .(stkcd_ret = close/pre_close - 1, weight = capt/sum(capt), symbol), keyby = date\n",
    "    ][, .(mkt_ret = sum(weight/100*stkcd_ret), stkcd_ret, symbol), keyby = date\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ mkt_ret))[1], beta = coef(lm(stkcd_ret ~ mkt_ret))[2], mkt_ret, stkcd_ret, symbol, date)\n",
    "    ][, .(abnr_mkt_ret = stkcd_ret - alpha - beta * mkt_ret), keyby = .(date, symbol)]\n",
    "ind <- data[, .(stkcd_ret = close/pre_close - 1, symbol, weight = capt/sum(capt)), keyby = .(industry,date)\n",
    "    ][, .(ind_ret = sum(weight/100*stkcd_ret), stkcd_ret, symbol), keyby = .(industry, date)\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ ind_ret))[1], beta = coef(lm(stkcd_ret ~ ind_ret))[2], ind_ret, stkcd_ret, symbol, date), keyby = .(industry)\n",
    "    ][, .(abnr_ind_ret = stkcd_ret - alpha - beta * ind_ret), keyby = .(date, symbol)]\n",
    "cor(mkt[ind, on = .(date, symbol)][, 3:4])\n",
    "rm(mkt, ind)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *35. 每天有哪些行业的平均收益率超过市场平均收益率？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 47,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 1849 × 4</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>ind_ret</th><th scope=col>mkt_ret</th><th scope=col>industry</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>-0.0084033878</td><td>-0.015816484</td><td>AERODEF </td></tr>\n",
       "\t<tr><td>20120104</td><td>-0.0130576592</td><td>-0.015816484</td><td>AUTO    </td></tr>\n",
       "\t<tr><td>20120104</td><td>-0.0067372496</td><td>-0.015816484</td><td>BANKS   </td></tr>\n",
       "\t<tr><td>20120104</td><td>-0.0037138310</td><td>-0.015816484</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120104</td><td>-0.0113401442</td><td>-0.015816484</td><td>HOUSEDUR</td></tr>\n",
       "\t<tr><td>20120104</td><td>-0.0099071718</td><td>-0.015816484</td><td>RDRLTRAN</td></tr>\n",
       "\t<tr><td>20120104</td><td>-0.0092269648</td><td>-0.015816484</td><td>UTILITIE</td></tr>\n",
       "\t<tr><td>20120105</td><td>-0.0120803353</td><td>-0.014367639</td><td>AIRLINE </td></tr>\n",
       "\t<tr><td>20120105</td><td>-0.0085605288</td><td>-0.014367639</td><td>AUTO    </td></tr>\n",
       "\t<tr><td>20120105</td><td> 0.0150350080</td><td>-0.014367639</td><td>BANKS   </td></tr>\n",
       "\t<tr><td>20120105</td><td>-0.0129426638</td><td>-0.014367639</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120105</td><td>-0.0003189487</td><td>-0.014367639</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120105</td><td>-0.0020143546</td><td>-0.014367639</td><td>RDRLTRAN</td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0107404786</td><td> 0.006892555</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0102928408</td><td> 0.006892555</td><td>CHEM    </td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0119679270</td><td> 0.006892555</td><td>DVFININS</td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0089417318</td><td> 0.006892555</td><td>ELECEQP </td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0123954387</td><td> 0.006892555</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0083655711</td><td> 0.006892555</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0183139151</td><td> 0.006892555</td><td>INDCONG </td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0160152895</td><td> 0.006892555</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0100498275</td><td> 0.006892555</td><td>TRDDIST </td></tr>\n",
       "\t<tr><td>20120106</td><td> 0.0083220305</td><td> 0.006892555</td><td>UTILITIE</td></tr>\n",
       "\t<tr><td>20120109</td><td> 0.0382030567</td><td> 0.031126760</td><td>AIRLINE </td></tr>\n",
       "\t<tr><td>20120109</td><td> 0.0407960743</td><td> 0.031126760</td><td>AUTO    </td></tr>\n",
       "\t<tr><td>20120109</td><td> 0.0383716539</td><td> 0.031126760</td><td>BLDPROD </td></tr>\n",
       "\t<tr><td>20120109</td><td> 0.0477947842</td><td> 0.031126760</td><td>CHEM    </td></tr>\n",
       "\t<tr><td>20120109</td><td> 0.0321084997</td><td> 0.031126760</td><td>CNSTENG </td></tr>\n",
       "\t<tr><td>20120109</td><td> 0.0336308907</td><td> 0.031126760</td><td>COMSERV </td></tr>\n",
       "\t<tr><td>20120109</td><td> 0.0513309652</td><td> 0.031126760</td><td>CONMAT  </td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120627</td><td>-0.0003413623</td><td>-0.001815144</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120627</td><td> 0.0007534239</td><td>-0.001815144</td><td>FOODPROD</td></tr>\n",
       "\t<tr><td>20120627</td><td> 0.0071924693</td><td>-0.001815144</td><td>HEALTH  </td></tr>\n",
       "\t<tr><td>20120627</td><td> 0.0015367229</td><td>-0.001815144</td><td>PERSPRD </td></tr>\n",
       "\t<tr><td>20120627</td><td>-0.0013372407</td><td>-0.001815144</td><td>REALEST </td></tr>\n",
       "\t<tr><td>20120627</td><td>-0.0016403348</td><td>-0.001815144</td><td>RETAIL  </td></tr>\n",
       "\t<tr><td>20120627</td><td> 0.0031123204</td><td>-0.001815144</td><td>SOFTWARE</td></tr>\n",
       "\t<tr><td>20120627</td><td> 0.0006544063</td><td>-0.001815144</td><td>UTILITIE</td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0080202056</td><td>-0.009105539</td><td>AERODEF </td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0087637006</td><td>-0.009105539</td><td>AIRLINE </td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0049461781</td><td>-0.009105539</td><td>BANKS   </td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0077382318</td><td>-0.009105539</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0001602161</td><td>-0.009105539</td><td>DVFININS</td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0082788029</td><td>-0.009105539</td><td>ENERGY  </td></tr>\n",
       "\t<tr><td>20120628</td><td> 0.0034406867</td><td>-0.009105539</td><td>HEALTH  </td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0070650053</td><td>-0.009105539</td><td>HOUSEDUR</td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0056206958</td><td>-0.009105539</td><td>PERSPRD </td></tr>\n",
       "\t<tr><td>20120628</td><td>-0.0049268965</td><td>-0.009105539</td><td>UTILITIE</td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0133819384</td><td> 0.013166202</td><td>AERODEF </td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0187671632</td><td> 0.013166202</td><td>AIRLINE </td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0205435789</td><td> 0.013166202</td><td>BEV     </td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0168189754</td><td> 0.013166202</td><td>COMSERV </td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0163861015</td><td> 0.013166202</td><td>CONSSERV</td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0352819506</td><td> 0.013166202</td><td>DVFININS</td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0132946094</td><td> 0.013166202</td><td>HDWRSEMI</td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0183053934</td><td> 0.013166202</td><td>HEALTH  </td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0204364923</td><td> 0.013166202</td><td>INDCONG </td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0171325755</td><td> 0.013166202</td><td>MEDIA   </td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0144461885</td><td> 0.013166202</td><td>MTLMIN  </td></tr>\n",
       "\t<tr><td>20120629</td><td> 0.0163040092</td><td> 0.013166202</td><td>SOFTWARE</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 1849 × 4\n",
       "\\begin{tabular}{r|llll}\n",
       " date & ind\\_ret & mkt\\_ret & industry\\\\\n",
       " <int> & <dbl> & <dbl> & <chr>\\\\\n",
       "\\hline\n",
       "\t 20120104 & -0.0084033878 & -0.015816484 & AERODEF \\\\\n",
       "\t 20120104 & -0.0130576592 & -0.015816484 & AUTO    \\\\\n",
       "\t 20120104 & -0.0067372496 & -0.015816484 & BANKS   \\\\\n",
       "\t 20120104 & -0.0037138310 & -0.015816484 & ENERGY  \\\\\n",
       "\t 20120104 & -0.0113401442 & -0.015816484 & HOUSEDUR\\\\\n",
       "\t 20120104 & -0.0099071718 & -0.015816484 & RDRLTRAN\\\\\n",
       "\t 20120104 & -0.0092269648 & -0.015816484 & UTILITIE\\\\\n",
       "\t 20120105 & -0.0120803353 & -0.014367639 & AIRLINE \\\\\n",
       "\t 20120105 & -0.0085605288 & -0.014367639 & AUTO    \\\\\n",
       "\t 20120105 &  0.0150350080 & -0.014367639 & BANKS   \\\\\n",
       "\t 20120105 & -0.0129426638 & -0.014367639 & BEV     \\\\\n",
       "\t 20120105 & -0.0003189487 & -0.014367639 & ENERGY  \\\\\n",
       "\t 20120105 & -0.0020143546 & -0.014367639 & RDRLTRAN\\\\\n",
       "\t 20120106 &  0.0107404786 &  0.006892555 & BEV     \\\\\n",
       "\t 20120106 &  0.0102928408 &  0.006892555 & CHEM    \\\\\n",
       "\t 20120106 &  0.0119679270 &  0.006892555 & DVFININS\\\\\n",
       "\t 20120106 &  0.0089417318 &  0.006892555 & ELECEQP \\\\\n",
       "\t 20120106 &  0.0123954387 &  0.006892555 & ENERGY  \\\\\n",
       "\t 20120106 &  0.0083655711 &  0.006892555 & HDWRSEMI\\\\\n",
       "\t 20120106 &  0.0183139151 &  0.006892555 & INDCONG \\\\\n",
       "\t 20120106 &  0.0160152895 &  0.006892555 & MTLMIN  \\\\\n",
       "\t 20120106 &  0.0100498275 &  0.006892555 & TRDDIST \\\\\n",
       "\t 20120106 &  0.0083220305 &  0.006892555 & UTILITIE\\\\\n",
       "\t 20120109 &  0.0382030567 &  0.031126760 & AIRLINE \\\\\n",
       "\t 20120109 &  0.0407960743 &  0.031126760 & AUTO    \\\\\n",
       "\t 20120109 &  0.0383716539 &  0.031126760 & BLDPROD \\\\\n",
       "\t 20120109 &  0.0477947842 &  0.031126760 & CHEM    \\\\\n",
       "\t 20120109 &  0.0321084997 &  0.031126760 & CNSTENG \\\\\n",
       "\t 20120109 &  0.0336308907 &  0.031126760 & COMSERV \\\\\n",
       "\t 20120109 &  0.0513309652 &  0.031126760 & CONMAT  \\\\\n",
       "\t ... & ... & ... & ...\\\\\n",
       "\t 20120627 & -0.0003413623 & -0.001815144 & ENERGY  \\\\\n",
       "\t 20120627 &  0.0007534239 & -0.001815144 & FOODPROD\\\\\n",
       "\t 20120627 &  0.0071924693 & -0.001815144 & HEALTH  \\\\\n",
       "\t 20120627 &  0.0015367229 & -0.001815144 & PERSPRD \\\\\n",
       "\t 20120627 & -0.0013372407 & -0.001815144 & REALEST \\\\\n",
       "\t 20120627 & -0.0016403348 & -0.001815144 & RETAIL  \\\\\n",
       "\t 20120627 &  0.0031123204 & -0.001815144 & SOFTWARE\\\\\n",
       "\t 20120627 &  0.0006544063 & -0.001815144 & UTILITIE\\\\\n",
       "\t 20120628 & -0.0080202056 & -0.009105539 & AERODEF \\\\\n",
       "\t 20120628 & -0.0087637006 & -0.009105539 & AIRLINE \\\\\n",
       "\t 20120628 & -0.0049461781 & -0.009105539 & BANKS   \\\\\n",
       "\t 20120628 & -0.0077382318 & -0.009105539 & BEV     \\\\\n",
       "\t 20120628 & -0.0001602161 & -0.009105539 & DVFININS\\\\\n",
       "\t 20120628 & -0.0082788029 & -0.009105539 & ENERGY  \\\\\n",
       "\t 20120628 &  0.0034406867 & -0.009105539 & HEALTH  \\\\\n",
       "\t 20120628 & -0.0070650053 & -0.009105539 & HOUSEDUR\\\\\n",
       "\t 20120628 & -0.0056206958 & -0.009105539 & PERSPRD \\\\\n",
       "\t 20120628 & -0.0049268965 & -0.009105539 & UTILITIE\\\\\n",
       "\t 20120629 &  0.0133819384 &  0.013166202 & AERODEF \\\\\n",
       "\t 20120629 &  0.0187671632 &  0.013166202 & AIRLINE \\\\\n",
       "\t 20120629 &  0.0205435789 &  0.013166202 & BEV     \\\\\n",
       "\t 20120629 &  0.0168189754 &  0.013166202 & COMSERV \\\\\n",
       "\t 20120629 &  0.0163861015 &  0.013166202 & CONSSERV\\\\\n",
       "\t 20120629 &  0.0352819506 &  0.013166202 & DVFININS\\\\\n",
       "\t 20120629 &  0.0132946094 &  0.013166202 & HDWRSEMI\\\\\n",
       "\t 20120629 &  0.0183053934 &  0.013166202 & HEALTH  \\\\\n",
       "\t 20120629 &  0.0204364923 &  0.013166202 & INDCONG \\\\\n",
       "\t 20120629 &  0.0171325755 &  0.013166202 & MEDIA   \\\\\n",
       "\t 20120629 &  0.0144461885 &  0.013166202 & MTLMIN  \\\\\n",
       "\t 20120629 &  0.0163040092 &  0.013166202 & SOFTWARE\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 1849 × 4\n",
       "\n",
       "| date &lt;int&gt; | ind_ret &lt;dbl&gt; | mkt_ret &lt;dbl&gt; | industry &lt;chr&gt; |\n",
       "|---|---|---|---|\n",
       "| 20120104 | -0.0084033878 | -0.015816484 | AERODEF  |\n",
       "| 20120104 | -0.0130576592 | -0.015816484 | AUTO     |\n",
       "| 20120104 | -0.0067372496 | -0.015816484 | BANKS    |\n",
       "| 20120104 | -0.0037138310 | -0.015816484 | ENERGY   |\n",
       "| 20120104 | -0.0113401442 | -0.015816484 | HOUSEDUR |\n",
       "| 20120104 | -0.0099071718 | -0.015816484 | RDRLTRAN |\n",
       "| 20120104 | -0.0092269648 | -0.015816484 | UTILITIE |\n",
       "| 20120105 | -0.0120803353 | -0.014367639 | AIRLINE  |\n",
       "| 20120105 | -0.0085605288 | -0.014367639 | AUTO     |\n",
       "| 20120105 |  0.0150350080 | -0.014367639 | BANKS    |\n",
       "| 20120105 | -0.0129426638 | -0.014367639 | BEV      |\n",
       "| 20120105 | -0.0003189487 | -0.014367639 | ENERGY   |\n",
       "| 20120105 | -0.0020143546 | -0.014367639 | RDRLTRAN |\n",
       "| 20120106 |  0.0107404786 |  0.006892555 | BEV      |\n",
       "| 20120106 |  0.0102928408 |  0.006892555 | CHEM     |\n",
       "| 20120106 |  0.0119679270 |  0.006892555 | DVFININS |\n",
       "| 20120106 |  0.0089417318 |  0.006892555 | ELECEQP  |\n",
       "| 20120106 |  0.0123954387 |  0.006892555 | ENERGY   |\n",
       "| 20120106 |  0.0083655711 |  0.006892555 | HDWRSEMI |\n",
       "| 20120106 |  0.0183139151 |  0.006892555 | INDCONG  |\n",
       "| 20120106 |  0.0160152895 |  0.006892555 | MTLMIN   |\n",
       "| 20120106 |  0.0100498275 |  0.006892555 | TRDDIST  |\n",
       "| 20120106 |  0.0083220305 |  0.006892555 | UTILITIE |\n",
       "| 20120109 |  0.0382030567 |  0.031126760 | AIRLINE  |\n",
       "| 20120109 |  0.0407960743 |  0.031126760 | AUTO     |\n",
       "| 20120109 |  0.0383716539 |  0.031126760 | BLDPROD  |\n",
       "| 20120109 |  0.0477947842 |  0.031126760 | CHEM     |\n",
       "| 20120109 |  0.0321084997 |  0.031126760 | CNSTENG  |\n",
       "| 20120109 |  0.0336308907 |  0.031126760 | COMSERV  |\n",
       "| 20120109 |  0.0513309652 |  0.031126760 | CONMAT   |\n",
       "| ... | ... | ... | ... |\n",
       "| 20120627 | -0.0003413623 | -0.001815144 | ENERGY   |\n",
       "| 20120627 |  0.0007534239 | -0.001815144 | FOODPROD |\n",
       "| 20120627 |  0.0071924693 | -0.001815144 | HEALTH   |\n",
       "| 20120627 |  0.0015367229 | -0.001815144 | PERSPRD  |\n",
       "| 20120627 | -0.0013372407 | -0.001815144 | REALEST  |\n",
       "| 20120627 | -0.0016403348 | -0.001815144 | RETAIL   |\n",
       "| 20120627 |  0.0031123204 | -0.001815144 | SOFTWARE |\n",
       "| 20120627 |  0.0006544063 | -0.001815144 | UTILITIE |\n",
       "| 20120628 | -0.0080202056 | -0.009105539 | AERODEF  |\n",
       "| 20120628 | -0.0087637006 | -0.009105539 | AIRLINE  |\n",
       "| 20120628 | -0.0049461781 | -0.009105539 | BANKS    |\n",
       "| 20120628 | -0.0077382318 | -0.009105539 | BEV      |\n",
       "| 20120628 | -0.0001602161 | -0.009105539 | DVFININS |\n",
       "| 20120628 | -0.0082788029 | -0.009105539 | ENERGY   |\n",
       "| 20120628 |  0.0034406867 | -0.009105539 | HEALTH   |\n",
       "| 20120628 | -0.0070650053 | -0.009105539 | HOUSEDUR |\n",
       "| 20120628 | -0.0056206958 | -0.009105539 | PERSPRD  |\n",
       "| 20120628 | -0.0049268965 | -0.009105539 | UTILITIE |\n",
       "| 20120629 |  0.0133819384 |  0.013166202 | AERODEF  |\n",
       "| 20120629 |  0.0187671632 |  0.013166202 | AIRLINE  |\n",
       "| 20120629 |  0.0205435789 |  0.013166202 | BEV      |\n",
       "| 20120629 |  0.0168189754 |  0.013166202 | COMSERV  |\n",
       "| 20120629 |  0.0163861015 |  0.013166202 | CONSSERV |\n",
       "| 20120629 |  0.0352819506 |  0.013166202 | DVFININS |\n",
       "| 20120629 |  0.0132946094 |  0.013166202 | HDWRSEMI |\n",
       "| 20120629 |  0.0183053934 |  0.013166202 | HEALTH   |\n",
       "| 20120629 |  0.0204364923 |  0.013166202 | INDCONG  |\n",
       "| 20120629 |  0.0171325755 |  0.013166202 | MEDIA    |\n",
       "| 20120629 |  0.0144461885 |  0.013166202 | MTLMIN   |\n",
       "| 20120629 |  0.0163040092 |  0.013166202 | SOFTWARE |\n",
       "\n"
      ],
      "text/plain": [
       "     date     ind_ret       mkt_ret      industry\n",
       "1    20120104 -0.0084033878 -0.015816484 AERODEF \n",
       "2    20120104 -0.0130576592 -0.015816484 AUTO    \n",
       "3    20120104 -0.0067372496 -0.015816484 BANKS   \n",
       "4    20120104 -0.0037138310 -0.015816484 ENERGY  \n",
       "5    20120104 -0.0113401442 -0.015816484 HOUSEDUR\n",
       "6    20120104 -0.0099071718 -0.015816484 RDRLTRAN\n",
       "7    20120104 -0.0092269648 -0.015816484 UTILITIE\n",
       "8    20120105 -0.0120803353 -0.014367639 AIRLINE \n",
       "9    20120105 -0.0085605288 -0.014367639 AUTO    \n",
       "10   20120105  0.0150350080 -0.014367639 BANKS   \n",
       "11   20120105 -0.0129426638 -0.014367639 BEV     \n",
       "12   20120105 -0.0003189487 -0.014367639 ENERGY  \n",
       "13   20120105 -0.0020143546 -0.014367639 RDRLTRAN\n",
       "14   20120106  0.0107404786  0.006892555 BEV     \n",
       "15   20120106  0.0102928408  0.006892555 CHEM    \n",
       "16   20120106  0.0119679270  0.006892555 DVFININS\n",
       "17   20120106  0.0089417318  0.006892555 ELECEQP \n",
       "18   20120106  0.0123954387  0.006892555 ENERGY  \n",
       "19   20120106  0.0083655711  0.006892555 HDWRSEMI\n",
       "20   20120106  0.0183139151  0.006892555 INDCONG \n",
       "21   20120106  0.0160152895  0.006892555 MTLMIN  \n",
       "22   20120106  0.0100498275  0.006892555 TRDDIST \n",
       "23   20120106  0.0083220305  0.006892555 UTILITIE\n",
       "24   20120109  0.0382030567  0.031126760 AIRLINE \n",
       "25   20120109  0.0407960743  0.031126760 AUTO    \n",
       "26   20120109  0.0383716539  0.031126760 BLDPROD \n",
       "27   20120109  0.0477947842  0.031126760 CHEM    \n",
       "28   20120109  0.0321084997  0.031126760 CNSTENG \n",
       "29   20120109  0.0336308907  0.031126760 COMSERV \n",
       "30   20120109  0.0513309652  0.031126760 CONMAT  \n",
       "...  ...      ...           ...          ...     \n",
       "1820 20120627 -0.0003413623 -0.001815144 ENERGY  \n",
       "1821 20120627  0.0007534239 -0.001815144 FOODPROD\n",
       "1822 20120627  0.0071924693 -0.001815144 HEALTH  \n",
       "1823 20120627  0.0015367229 -0.001815144 PERSPRD \n",
       "1824 20120627 -0.0013372407 -0.001815144 REALEST \n",
       "1825 20120627 -0.0016403348 -0.001815144 RETAIL  \n",
       "1826 20120627  0.0031123204 -0.001815144 SOFTWARE\n",
       "1827 20120627  0.0006544063 -0.001815144 UTILITIE\n",
       "1828 20120628 -0.0080202056 -0.009105539 AERODEF \n",
       "1829 20120628 -0.0087637006 -0.009105539 AIRLINE \n",
       "1830 20120628 -0.0049461781 -0.009105539 BANKS   \n",
       "1831 20120628 -0.0077382318 -0.009105539 BEV     \n",
       "1832 20120628 -0.0001602161 -0.009105539 DVFININS\n",
       "1833 20120628 -0.0082788029 -0.009105539 ENERGY  \n",
       "1834 20120628  0.0034406867 -0.009105539 HEALTH  \n",
       "1835 20120628 -0.0070650053 -0.009105539 HOUSEDUR\n",
       "1836 20120628 -0.0056206958 -0.009105539 PERSPRD \n",
       "1837 20120628 -0.0049268965 -0.009105539 UTILITIE\n",
       "1838 20120629  0.0133819384  0.013166202 AERODEF \n",
       "1839 20120629  0.0187671632  0.013166202 AIRLINE \n",
       "1840 20120629  0.0205435789  0.013166202 BEV     \n",
       "1841 20120629  0.0168189754  0.013166202 COMSERV \n",
       "1842 20120629  0.0163861015  0.013166202 CONSSERV\n",
       "1843 20120629  0.0352819506  0.013166202 DVFININS\n",
       "1844 20120629  0.0132946094  0.013166202 HDWRSEMI\n",
       "1845 20120629  0.0183053934  0.013166202 HEALTH  \n",
       "1846 20120629  0.0204364923  0.013166202 INDCONG \n",
       "1847 20120629  0.0171325755  0.013166202 MEDIA   \n",
       "1848 20120629  0.0144461885  0.013166202 MTLMIN  \n",
       "1849 20120629  0.0163040092  0.013166202 SOFTWARE"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, symbol, ind_weight = capt/sum(capt), capt), keyby = .(industry,date)\n",
    "    ][, .(ind_ret = sum(ind_weight*stkcd_ret), stkcd_ret, symbol, capt), keyby = .(industry, date)\n",
    "    ][, .(ind_ret, mkt_weight = capt/sum(capt), stkcd_ret, industry), keyby = date\n",
    "    ][, .(ind_ret, mkt_ret = sum(mkt_weight*stkcd_ret), industry), keyby = date\n",
    "    ][ind_ret > mkt_ret, unique(.SD)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *36. 每天每个行业对市场的超额收益率是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 48,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3744 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>abnr_ret</th><th scope=col>date</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>AERODEF</td><td> 0.0098993621</td><td>20120104</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0087391716</td><td>20120105</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0282474476</td><td>20120106</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0062830802</td><td>20120109</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0053427162</td><td>20120110</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0033921876</td><td>20120111</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0051834662</td><td>20120112</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0276084669</td><td>20120113</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0160809883</td><td>20120116</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0035080100</td><td>20120117</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0003116901</td><td>20120118</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0146797387</td><td>20120119</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0038367651</td><td>20120120</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0163642334</td><td>20120130</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0014338757</td><td>20120131</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0043329017</td><td>20120201</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0061198737</td><td>20120202</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0210484545</td><td>20120203</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0078022924</td><td>20120206</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0278675821</td><td>20120207</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0062681024</td><td>20120208</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0029203585</td><td>20120209</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0003290820</td><td>20120210</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0133784567</td><td>20120213</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0006599407</td><td>20120214</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0012860649</td><td>20120215</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0007679714</td><td>20120216</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0013723123</td><td>20120217</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0098276831</td><td>20120220</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0024366726</td><td>20120221</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0133447335</td><td>20120518</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0051178842</td><td>20120521</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0091109000</td><td>20120522</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0008456875</td><td>20120523</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0050900376</td><td>20120524</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0019575692</td><td>20120525</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0069252312</td><td>20120528</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0048092568</td><td>20120529</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0015919825</td><td>20120530</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0042503340</td><td>20120531</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0022515733</td><td>20120601</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0119210706</td><td>20120604</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0168381274</td><td>20120605</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0026995190</td><td>20120606</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0056047032</td><td>20120607</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0079146446</td><td>20120608</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0043474882</td><td>20120611</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0025051896</td><td>20120612</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0184629005</td><td>20120613</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0077178697</td><td>20120614</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0037937256</td><td>20120615</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0017444923</td><td>20120618</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0009126751</td><td>20120619</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0052631125</td><td>20120620</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0130087832</td><td>20120621</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0192953654</td><td>20120625</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0081706397</td><td>20120626</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0026765246</td><td>20120627</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0055724273</td><td>20120628</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0127053575</td><td>20120629</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3744 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " industry & abnr\\_ret & date\\\\\n",
       " <chr> & <dbl> & <int>\\\\\n",
       "\\hline\n",
       "\t AERODEF &  0.0098993621 & 20120104\\\\\n",
       "\t AERODEF & -0.0087391716 & 20120105\\\\\n",
       "\t AERODEF & -0.0282474476 & 20120106\\\\\n",
       "\t AERODEF & -0.0062830802 & 20120109\\\\\n",
       "\t AERODEF &  0.0053427162 & 20120110\\\\\n",
       "\t AERODEF &  0.0033921876 & 20120111\\\\\n",
       "\t AERODEF &  0.0051834662 & 20120112\\\\\n",
       "\t AERODEF & -0.0276084669 & 20120113\\\\\n",
       "\t AERODEF & -0.0160809883 & 20120116\\\\\n",
       "\t AERODEF &  0.0035080100 & 20120117\\\\\n",
       "\t AERODEF &  0.0003116901 & 20120118\\\\\n",
       "\t AERODEF & -0.0146797387 & 20120119\\\\\n",
       "\t AERODEF & -0.0038367651 & 20120120\\\\\n",
       "\t AERODEF &  0.0163642334 & 20120130\\\\\n",
       "\t AERODEF & -0.0014338757 & 20120131\\\\\n",
       "\t AERODEF & -0.0043329017 & 20120201\\\\\n",
       "\t AERODEF & -0.0061198737 & 20120202\\\\\n",
       "\t AERODEF &  0.0210484545 & 20120203\\\\\n",
       "\t AERODEF & -0.0078022924 & 20120206\\\\\n",
       "\t AERODEF &  0.0278675821 & 20120207\\\\\n",
       "\t AERODEF & -0.0062681024 & 20120208\\\\\n",
       "\t AERODEF & -0.0029203585 & 20120209\\\\\n",
       "\t AERODEF &  0.0003290820 & 20120210\\\\\n",
       "\t AERODEF &  0.0133784567 & 20120213\\\\\n",
       "\t AERODEF & -0.0006599407 & 20120214\\\\\n",
       "\t AERODEF & -0.0012860649 & 20120215\\\\\n",
       "\t AERODEF & -0.0007679714 & 20120216\\\\\n",
       "\t AERODEF &  0.0013723123 & 20120217\\\\\n",
       "\t AERODEF &  0.0098276831 & 20120220\\\\\n",
       "\t AERODEF &  0.0024366726 & 20120221\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t UTILITIE &  0.0133447335 & 20120518\\\\\n",
       "\t UTILITIE & -0.0051178842 & 20120521\\\\\n",
       "\t UTILITIE & -0.0091109000 & 20120522\\\\\n",
       "\t UTILITIE &  0.0008456875 & 20120523\\\\\n",
       "\t UTILITIE & -0.0050900376 & 20120524\\\\\n",
       "\t UTILITIE &  0.0019575692 & 20120525\\\\\n",
       "\t UTILITIE & -0.0069252312 & 20120528\\\\\n",
       "\t UTILITIE & -0.0048092568 & 20120529\\\\\n",
       "\t UTILITIE &  0.0015919825 & 20120530\\\\\n",
       "\t UTILITIE &  0.0042503340 & 20120531\\\\\n",
       "\t UTILITIE &  0.0022515733 & 20120601\\\\\n",
       "\t UTILITIE &  0.0119210706 & 20120604\\\\\n",
       "\t UTILITIE &  0.0168381274 & 20120605\\\\\n",
       "\t UTILITIE &  0.0026995190 & 20120606\\\\\n",
       "\t UTILITIE &  0.0056047032 & 20120607\\\\\n",
       "\t UTILITIE &  0.0079146446 & 20120608\\\\\n",
       "\t UTILITIE & -0.0043474882 & 20120611\\\\\n",
       "\t UTILITIE &  0.0025051896 & 20120612\\\\\n",
       "\t UTILITIE &  0.0184629005 & 20120613\\\\\n",
       "\t UTILITIE &  0.0077178697 & 20120614\\\\\n",
       "\t UTILITIE &  0.0037937256 & 20120615\\\\\n",
       "\t UTILITIE & -0.0017444923 & 20120618\\\\\n",
       "\t UTILITIE & -0.0009126751 & 20120619\\\\\n",
       "\t UTILITIE & -0.0052631125 & 20120620\\\\\n",
       "\t UTILITIE &  0.0130087832 & 20120621\\\\\n",
       "\t UTILITIE &  0.0192953654 & 20120625\\\\\n",
       "\t UTILITIE & -0.0081706397 & 20120626\\\\\n",
       "\t UTILITIE &  0.0026765246 & 20120627\\\\\n",
       "\t UTILITIE &  0.0055724273 & 20120628\\\\\n",
       "\t UTILITIE & -0.0127053575 & 20120629\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3744 × 3\n",
       "\n",
       "| industry &lt;chr&gt; | abnr_ret &lt;dbl&gt; | date &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| AERODEF |  0.0098993621 | 20120104 |\n",
       "| AERODEF | -0.0087391716 | 20120105 |\n",
       "| AERODEF | -0.0282474476 | 20120106 |\n",
       "| AERODEF | -0.0062830802 | 20120109 |\n",
       "| AERODEF |  0.0053427162 | 20120110 |\n",
       "| AERODEF |  0.0033921876 | 20120111 |\n",
       "| AERODEF |  0.0051834662 | 20120112 |\n",
       "| AERODEF | -0.0276084669 | 20120113 |\n",
       "| AERODEF | -0.0160809883 | 20120116 |\n",
       "| AERODEF |  0.0035080100 | 20120117 |\n",
       "| AERODEF |  0.0003116901 | 20120118 |\n",
       "| AERODEF | -0.0146797387 | 20120119 |\n",
       "| AERODEF | -0.0038367651 | 20120120 |\n",
       "| AERODEF |  0.0163642334 | 20120130 |\n",
       "| AERODEF | -0.0014338757 | 20120131 |\n",
       "| AERODEF | -0.0043329017 | 20120201 |\n",
       "| AERODEF | -0.0061198737 | 20120202 |\n",
       "| AERODEF |  0.0210484545 | 20120203 |\n",
       "| AERODEF | -0.0078022924 | 20120206 |\n",
       "| AERODEF |  0.0278675821 | 20120207 |\n",
       "| AERODEF | -0.0062681024 | 20120208 |\n",
       "| AERODEF | -0.0029203585 | 20120209 |\n",
       "| AERODEF |  0.0003290820 | 20120210 |\n",
       "| AERODEF |  0.0133784567 | 20120213 |\n",
       "| AERODEF | -0.0006599407 | 20120214 |\n",
       "| AERODEF | -0.0012860649 | 20120215 |\n",
       "| AERODEF | -0.0007679714 | 20120216 |\n",
       "| AERODEF |  0.0013723123 | 20120217 |\n",
       "| AERODEF |  0.0098276831 | 20120220 |\n",
       "| AERODEF |  0.0024366726 | 20120221 |\n",
       "| ... | ... | ... |\n",
       "| UTILITIE |  0.0133447335 | 20120518 |\n",
       "| UTILITIE | -0.0051178842 | 20120521 |\n",
       "| UTILITIE | -0.0091109000 | 20120522 |\n",
       "| UTILITIE |  0.0008456875 | 20120523 |\n",
       "| UTILITIE | -0.0050900376 | 20120524 |\n",
       "| UTILITIE |  0.0019575692 | 20120525 |\n",
       "| UTILITIE | -0.0069252312 | 20120528 |\n",
       "| UTILITIE | -0.0048092568 | 20120529 |\n",
       "| UTILITIE |  0.0015919825 | 20120530 |\n",
       "| UTILITIE |  0.0042503340 | 20120531 |\n",
       "| UTILITIE |  0.0022515733 | 20120601 |\n",
       "| UTILITIE |  0.0119210706 | 20120604 |\n",
       "| UTILITIE |  0.0168381274 | 20120605 |\n",
       "| UTILITIE |  0.0026995190 | 20120606 |\n",
       "| UTILITIE |  0.0056047032 | 20120607 |\n",
       "| UTILITIE |  0.0079146446 | 20120608 |\n",
       "| UTILITIE | -0.0043474882 | 20120611 |\n",
       "| UTILITIE |  0.0025051896 | 20120612 |\n",
       "| UTILITIE |  0.0184629005 | 20120613 |\n",
       "| UTILITIE |  0.0077178697 | 20120614 |\n",
       "| UTILITIE |  0.0037937256 | 20120615 |\n",
       "| UTILITIE | -0.0017444923 | 20120618 |\n",
       "| UTILITIE | -0.0009126751 | 20120619 |\n",
       "| UTILITIE | -0.0052631125 | 20120620 |\n",
       "| UTILITIE |  0.0130087832 | 20120621 |\n",
       "| UTILITIE |  0.0192953654 | 20120625 |\n",
       "| UTILITIE | -0.0081706397 | 20120626 |\n",
       "| UTILITIE |  0.0026765246 | 20120627 |\n",
       "| UTILITIE |  0.0055724273 | 20120628 |\n",
       "| UTILITIE | -0.0127053575 | 20120629 |\n",
       "\n"
      ],
      "text/plain": [
       "     industry abnr_ret      date    \n",
       "1    AERODEF   0.0098993621 20120104\n",
       "2    AERODEF  -0.0087391716 20120105\n",
       "3    AERODEF  -0.0282474476 20120106\n",
       "4    AERODEF  -0.0062830802 20120109\n",
       "5    AERODEF   0.0053427162 20120110\n",
       "6    AERODEF   0.0033921876 20120111\n",
       "7    AERODEF   0.0051834662 20120112\n",
       "8    AERODEF  -0.0276084669 20120113\n",
       "9    AERODEF  -0.0160809883 20120116\n",
       "10   AERODEF   0.0035080100 20120117\n",
       "11   AERODEF   0.0003116901 20120118\n",
       "12   AERODEF  -0.0146797387 20120119\n",
       "13   AERODEF  -0.0038367651 20120120\n",
       "14   AERODEF   0.0163642334 20120130\n",
       "15   AERODEF  -0.0014338757 20120131\n",
       "16   AERODEF  -0.0043329017 20120201\n",
       "17   AERODEF  -0.0061198737 20120202\n",
       "18   AERODEF   0.0210484545 20120203\n",
       "19   AERODEF  -0.0078022924 20120206\n",
       "20   AERODEF   0.0278675821 20120207\n",
       "21   AERODEF  -0.0062681024 20120208\n",
       "22   AERODEF  -0.0029203585 20120209\n",
       "23   AERODEF   0.0003290820 20120210\n",
       "24   AERODEF   0.0133784567 20120213\n",
       "25   AERODEF  -0.0006599407 20120214\n",
       "26   AERODEF  -0.0012860649 20120215\n",
       "27   AERODEF  -0.0007679714 20120216\n",
       "28   AERODEF   0.0013723123 20120217\n",
       "29   AERODEF   0.0098276831 20120220\n",
       "30   AERODEF   0.0024366726 20120221\n",
       "...  ...      ...           ...     \n",
       "3715 UTILITIE  0.0133447335 20120518\n",
       "3716 UTILITIE -0.0051178842 20120521\n",
       "3717 UTILITIE -0.0091109000 20120522\n",
       "3718 UTILITIE  0.0008456875 20120523\n",
       "3719 UTILITIE -0.0050900376 20120524\n",
       "3720 UTILITIE  0.0019575692 20120525\n",
       "3721 UTILITIE -0.0069252312 20120528\n",
       "3722 UTILITIE -0.0048092568 20120529\n",
       "3723 UTILITIE  0.0015919825 20120530\n",
       "3724 UTILITIE  0.0042503340 20120531\n",
       "3725 UTILITIE  0.0022515733 20120601\n",
       "3726 UTILITIE  0.0119210706 20120604\n",
       "3727 UTILITIE  0.0168381274 20120605\n",
       "3728 UTILITIE  0.0026995190 20120606\n",
       "3729 UTILITIE  0.0056047032 20120607\n",
       "3730 UTILITIE  0.0079146446 20120608\n",
       "3731 UTILITIE -0.0043474882 20120611\n",
       "3732 UTILITIE  0.0025051896 20120612\n",
       "3733 UTILITIE  0.0184629005 20120613\n",
       "3734 UTILITIE  0.0077178697 20120614\n",
       "3735 UTILITIE  0.0037937256 20120615\n",
       "3736 UTILITIE -0.0017444923 20120618\n",
       "3737 UTILITIE -0.0009126751 20120619\n",
       "3738 UTILITIE -0.0052631125 20120620\n",
       "3739 UTILITIE  0.0130087832 20120621\n",
       "3740 UTILITIE  0.0192953654 20120625\n",
       "3741 UTILITIE -0.0081706397 20120626\n",
       "3742 UTILITIE  0.0026765246 20120627\n",
       "3743 UTILITIE  0.0055724273 20120628\n",
       "3744 UTILITIE -0.0127053575 20120629"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, symbol, ind_weight = capt/sum(capt), capt), keyby = .(industry,date)\n",
    "    ][, .(ind_ret = sum(ind_weight*stkcd_ret), stkcd_ret, symbol, capt), keyby = .(industry, date)\n",
    "    ][, .(ind_ret, mkt_weight = capt/sum(capt), stkcd_ret, industry), keyby = date\n",
    "    ][, .(ind_ret, mkt_ret = sum(mkt_weight*stkcd_ret), industry), keyby = date\n",
    "    ][, unique(.SD)\n",
    "    ][, .(alpha = coef(lm(ind_ret ~ mkt_ret))[1], beta = coef(lm(ind_ret ~ mkt_ret))[2], ind_ret, mkt_ret, industry, date)\n",
    "    ][, .(abnr_ret = ind_ret - alpha - beta*mkt_ret, date), by = industry]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *37. 每天每个行业对去除本行业后的市场超额收益是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 49,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3744 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>abnr_ret</th><th scope=col>date</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>AERODEF</td><td> 0.0094213482</td><td>20120104</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0101032674</td><td>20120105</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0286978408</td><td>20120106</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0065539745</td><td>20120109</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0057905729</td><td>20120110</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0036557266</td><td>20120111</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0050883770</td><td>20120112</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0286276061</td><td>20120113</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0164406859</td><td>20120116</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0034710088</td><td>20120117</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0005008448</td><td>20120118</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0148661696</td><td>20120119</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0037719964</td><td>20120120</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0168892444</td><td>20120130</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0016973903</td><td>20120131</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0041785761</td><td>20120201</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0066021886</td><td>20120202</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0212184496</td><td>20120203</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0075877569</td><td>20120206</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0281435052</td><td>20120207</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0066781041</td><td>20120208</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0027341175</td><td>20120209</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0006476541</td><td>20120210</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0138440228</td><td>20120213</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0005814041</td><td>20120214</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0010385911</td><td>20120215</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>-0.0006250467</td><td>20120216</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0012849208</td><td>20120217</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0096320380</td><td>20120220</td></tr>\n",
       "\t<tr><td>AERODEF</td><td> 0.0025208245</td><td>20120221</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0134635310</td><td>20120518</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0053006714</td><td>20120521</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0089124822</td><td>20120522</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0009852673</td><td>20120523</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0052332309</td><td>20120524</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0017429943</td><td>20120525</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0067814240</td><td>20120528</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0047124177</td><td>20120529</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0017643930</td><td>20120530</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0045782706</td><td>20120531</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0022065428</td><td>20120601</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0118892300</td><td>20120604</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0166860877</td><td>20120605</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0026276274</td><td>20120606</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0056100324</td><td>20120607</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0081377511</td><td>20120608</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0042011474</td><td>20120611</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0026370412</td><td>20120612</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0188658718</td><td>20120613</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0079050359</td><td>20120614</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0033689685</td><td>20120615</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0015654723</td><td>20120618</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0010267218</td><td>20120619</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0055216989</td><td>20120620</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0131127224</td><td>20120621</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0189027077</td><td>20120625</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0081592958</td><td>20120626</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0026302707</td><td>20120627</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td> 0.0054506414</td><td>20120628</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>-0.0127666762</td><td>20120629</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3744 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " industry & abnr\\_ret & date\\\\\n",
       " <chr> & <dbl> & <int>\\\\\n",
       "\\hline\n",
       "\t AERODEF &  0.0094213482 & 20120104\\\\\n",
       "\t AERODEF & -0.0101032674 & 20120105\\\\\n",
       "\t AERODEF & -0.0286978408 & 20120106\\\\\n",
       "\t AERODEF & -0.0065539745 & 20120109\\\\\n",
       "\t AERODEF &  0.0057905729 & 20120110\\\\\n",
       "\t AERODEF &  0.0036557266 & 20120111\\\\\n",
       "\t AERODEF &  0.0050883770 & 20120112\\\\\n",
       "\t AERODEF & -0.0286276061 & 20120113\\\\\n",
       "\t AERODEF & -0.0164406859 & 20120116\\\\\n",
       "\t AERODEF &  0.0034710088 & 20120117\\\\\n",
       "\t AERODEF &  0.0005008448 & 20120118\\\\\n",
       "\t AERODEF & -0.0148661696 & 20120119\\\\\n",
       "\t AERODEF & -0.0037719964 & 20120120\\\\\n",
       "\t AERODEF &  0.0168892444 & 20120130\\\\\n",
       "\t AERODEF & -0.0016973903 & 20120131\\\\\n",
       "\t AERODEF & -0.0041785761 & 20120201\\\\\n",
       "\t AERODEF & -0.0066021886 & 20120202\\\\\n",
       "\t AERODEF &  0.0212184496 & 20120203\\\\\n",
       "\t AERODEF & -0.0075877569 & 20120206\\\\\n",
       "\t AERODEF &  0.0281435052 & 20120207\\\\\n",
       "\t AERODEF & -0.0066781041 & 20120208\\\\\n",
       "\t AERODEF & -0.0027341175 & 20120209\\\\\n",
       "\t AERODEF &  0.0006476541 & 20120210\\\\\n",
       "\t AERODEF &  0.0138440228 & 20120213\\\\\n",
       "\t AERODEF & -0.0005814041 & 20120214\\\\\n",
       "\t AERODEF & -0.0010385911 & 20120215\\\\\n",
       "\t AERODEF & -0.0006250467 & 20120216\\\\\n",
       "\t AERODEF &  0.0012849208 & 20120217\\\\\n",
       "\t AERODEF &  0.0096320380 & 20120220\\\\\n",
       "\t AERODEF &  0.0025208245 & 20120221\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t UTILITIE &  0.0134635310 & 20120518\\\\\n",
       "\t UTILITIE & -0.0053006714 & 20120521\\\\\n",
       "\t UTILITIE & -0.0089124822 & 20120522\\\\\n",
       "\t UTILITIE &  0.0009852673 & 20120523\\\\\n",
       "\t UTILITIE & -0.0052332309 & 20120524\\\\\n",
       "\t UTILITIE &  0.0017429943 & 20120525\\\\\n",
       "\t UTILITIE & -0.0067814240 & 20120528\\\\\n",
       "\t UTILITIE & -0.0047124177 & 20120529\\\\\n",
       "\t UTILITIE &  0.0017643930 & 20120530\\\\\n",
       "\t UTILITIE &  0.0045782706 & 20120531\\\\\n",
       "\t UTILITIE &  0.0022065428 & 20120601\\\\\n",
       "\t UTILITIE &  0.0118892300 & 20120604\\\\\n",
       "\t UTILITIE &  0.0166860877 & 20120605\\\\\n",
       "\t UTILITIE &  0.0026276274 & 20120606\\\\\n",
       "\t UTILITIE &  0.0056100324 & 20120607\\\\\n",
       "\t UTILITIE &  0.0081377511 & 20120608\\\\\n",
       "\t UTILITIE & -0.0042011474 & 20120611\\\\\n",
       "\t UTILITIE &  0.0026370412 & 20120612\\\\\n",
       "\t UTILITIE &  0.0188658718 & 20120613\\\\\n",
       "\t UTILITIE &  0.0079050359 & 20120614\\\\\n",
       "\t UTILITIE &  0.0033689685 & 20120615\\\\\n",
       "\t UTILITIE & -0.0015654723 & 20120618\\\\\n",
       "\t UTILITIE & -0.0010267218 & 20120619\\\\\n",
       "\t UTILITIE & -0.0055216989 & 20120620\\\\\n",
       "\t UTILITIE &  0.0131127224 & 20120621\\\\\n",
       "\t UTILITIE &  0.0189027077 & 20120625\\\\\n",
       "\t UTILITIE & -0.0081592958 & 20120626\\\\\n",
       "\t UTILITIE &  0.0026302707 & 20120627\\\\\n",
       "\t UTILITIE &  0.0054506414 & 20120628\\\\\n",
       "\t UTILITIE & -0.0127666762 & 20120629\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3744 × 3\n",
       "\n",
       "| industry &lt;chr&gt; | abnr_ret &lt;dbl&gt; | date &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| AERODEF |  0.0094213482 | 20120104 |\n",
       "| AERODEF | -0.0101032674 | 20120105 |\n",
       "| AERODEF | -0.0286978408 | 20120106 |\n",
       "| AERODEF | -0.0065539745 | 20120109 |\n",
       "| AERODEF |  0.0057905729 | 20120110 |\n",
       "| AERODEF |  0.0036557266 | 20120111 |\n",
       "| AERODEF |  0.0050883770 | 20120112 |\n",
       "| AERODEF | -0.0286276061 | 20120113 |\n",
       "| AERODEF | -0.0164406859 | 20120116 |\n",
       "| AERODEF |  0.0034710088 | 20120117 |\n",
       "| AERODEF |  0.0005008448 | 20120118 |\n",
       "| AERODEF | -0.0148661696 | 20120119 |\n",
       "| AERODEF | -0.0037719964 | 20120120 |\n",
       "| AERODEF |  0.0168892444 | 20120130 |\n",
       "| AERODEF | -0.0016973903 | 20120131 |\n",
       "| AERODEF | -0.0041785761 | 20120201 |\n",
       "| AERODEF | -0.0066021886 | 20120202 |\n",
       "| AERODEF |  0.0212184496 | 20120203 |\n",
       "| AERODEF | -0.0075877569 | 20120206 |\n",
       "| AERODEF |  0.0281435052 | 20120207 |\n",
       "| AERODEF | -0.0066781041 | 20120208 |\n",
       "| AERODEF | -0.0027341175 | 20120209 |\n",
       "| AERODEF |  0.0006476541 | 20120210 |\n",
       "| AERODEF |  0.0138440228 | 20120213 |\n",
       "| AERODEF | -0.0005814041 | 20120214 |\n",
       "| AERODEF | -0.0010385911 | 20120215 |\n",
       "| AERODEF | -0.0006250467 | 20120216 |\n",
       "| AERODEF |  0.0012849208 | 20120217 |\n",
       "| AERODEF |  0.0096320380 | 20120220 |\n",
       "| AERODEF |  0.0025208245 | 20120221 |\n",
       "| ... | ... | ... |\n",
       "| UTILITIE |  0.0134635310 | 20120518 |\n",
       "| UTILITIE | -0.0053006714 | 20120521 |\n",
       "| UTILITIE | -0.0089124822 | 20120522 |\n",
       "| UTILITIE |  0.0009852673 | 20120523 |\n",
       "| UTILITIE | -0.0052332309 | 20120524 |\n",
       "| UTILITIE |  0.0017429943 | 20120525 |\n",
       "| UTILITIE | -0.0067814240 | 20120528 |\n",
       "| UTILITIE | -0.0047124177 | 20120529 |\n",
       "| UTILITIE |  0.0017643930 | 20120530 |\n",
       "| UTILITIE |  0.0045782706 | 20120531 |\n",
       "| UTILITIE |  0.0022065428 | 20120601 |\n",
       "| UTILITIE |  0.0118892300 | 20120604 |\n",
       "| UTILITIE |  0.0166860877 | 20120605 |\n",
       "| UTILITIE |  0.0026276274 | 20120606 |\n",
       "| UTILITIE |  0.0056100324 | 20120607 |\n",
       "| UTILITIE |  0.0081377511 | 20120608 |\n",
       "| UTILITIE | -0.0042011474 | 20120611 |\n",
       "| UTILITIE |  0.0026370412 | 20120612 |\n",
       "| UTILITIE |  0.0188658718 | 20120613 |\n",
       "| UTILITIE |  0.0079050359 | 20120614 |\n",
       "| UTILITIE |  0.0033689685 | 20120615 |\n",
       "| UTILITIE | -0.0015654723 | 20120618 |\n",
       "| UTILITIE | -0.0010267218 | 20120619 |\n",
       "| UTILITIE | -0.0055216989 | 20120620 |\n",
       "| UTILITIE |  0.0131127224 | 20120621 |\n",
       "| UTILITIE |  0.0189027077 | 20120625 |\n",
       "| UTILITIE | -0.0081592958 | 20120626 |\n",
       "| UTILITIE |  0.0026302707 | 20120627 |\n",
       "| UTILITIE |  0.0054506414 | 20120628 |\n",
       "| UTILITIE | -0.0127666762 | 20120629 |\n",
       "\n"
      ],
      "text/plain": [
       "     industry abnr_ret      date    \n",
       "1    AERODEF   0.0094213482 20120104\n",
       "2    AERODEF  -0.0101032674 20120105\n",
       "3    AERODEF  -0.0286978408 20120106\n",
       "4    AERODEF  -0.0065539745 20120109\n",
       "5    AERODEF   0.0057905729 20120110\n",
       "6    AERODEF   0.0036557266 20120111\n",
       "7    AERODEF   0.0050883770 20120112\n",
       "8    AERODEF  -0.0286276061 20120113\n",
       "9    AERODEF  -0.0164406859 20120116\n",
       "10   AERODEF   0.0034710088 20120117\n",
       "11   AERODEF   0.0005008448 20120118\n",
       "12   AERODEF  -0.0148661696 20120119\n",
       "13   AERODEF  -0.0037719964 20120120\n",
       "14   AERODEF   0.0168892444 20120130\n",
       "15   AERODEF  -0.0016973903 20120131\n",
       "16   AERODEF  -0.0041785761 20120201\n",
       "17   AERODEF  -0.0066021886 20120202\n",
       "18   AERODEF   0.0212184496 20120203\n",
       "19   AERODEF  -0.0075877569 20120206\n",
       "20   AERODEF   0.0281435052 20120207\n",
       "21   AERODEF  -0.0066781041 20120208\n",
       "22   AERODEF  -0.0027341175 20120209\n",
       "23   AERODEF   0.0006476541 20120210\n",
       "24   AERODEF   0.0138440228 20120213\n",
       "25   AERODEF  -0.0005814041 20120214\n",
       "26   AERODEF  -0.0010385911 20120215\n",
       "27   AERODEF  -0.0006250467 20120216\n",
       "28   AERODEF   0.0012849208 20120217\n",
       "29   AERODEF   0.0096320380 20120220\n",
       "30   AERODEF   0.0025208245 20120221\n",
       "...  ...      ...           ...     \n",
       "3715 UTILITIE  0.0134635310 20120518\n",
       "3716 UTILITIE -0.0053006714 20120521\n",
       "3717 UTILITIE -0.0089124822 20120522\n",
       "3718 UTILITIE  0.0009852673 20120523\n",
       "3719 UTILITIE -0.0052332309 20120524\n",
       "3720 UTILITIE  0.0017429943 20120525\n",
       "3721 UTILITIE -0.0067814240 20120528\n",
       "3722 UTILITIE -0.0047124177 20120529\n",
       "3723 UTILITIE  0.0017643930 20120530\n",
       "3724 UTILITIE  0.0045782706 20120531\n",
       "3725 UTILITIE  0.0022065428 20120601\n",
       "3726 UTILITIE  0.0118892300 20120604\n",
       "3727 UTILITIE  0.0166860877 20120605\n",
       "3728 UTILITIE  0.0026276274 20120606\n",
       "3729 UTILITIE  0.0056100324 20120607\n",
       "3730 UTILITIE  0.0081377511 20120608\n",
       "3731 UTILITIE -0.0042011474 20120611\n",
       "3732 UTILITIE  0.0026370412 20120612\n",
       "3733 UTILITIE  0.0188658718 20120613\n",
       "3734 UTILITIE  0.0079050359 20120614\n",
       "3735 UTILITIE  0.0033689685 20120615\n",
       "3736 UTILITIE -0.0015654723 20120618\n",
       "3737 UTILITIE -0.0010267218 20120619\n",
       "3738 UTILITIE -0.0055216989 20120620\n",
       "3739 UTILITIE  0.0131127224 20120621\n",
       "3740 UTILITIE  0.0189027077 20120625\n",
       "3741 UTILITIE -0.0081592958 20120626\n",
       "3742 UTILITIE  0.0026302707 20120627\n",
       "3743 UTILITIE  0.0054506414 20120628\n",
       "3744 UTILITIE -0.0127666762 20120629"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, symbol, ind_weight = capt/sum(capt), capt), keyby = .(industry,date)\n",
    "    ][, .(ind_ret = sum(ind_weight*stkcd_ret), stkcd_ret, symbol, capt), keyby = .(industry, date)\n",
    "    ][, .(ind_capt = sum(capt), ind_ret), keyby = .(industry, date)\n",
    "    ][, unique(.SD)\n",
    "    ][, .(ind_mkt_weight = ind_capt/(sum(ind_capt)-ind_capt), ind_ret, industry), keyby = date\n",
    "    ][, .(mkt_ret = sum(ind_mkt_weight * ind_ret), ind_ret, industry), by = date\n",
    "    ][, .(alpha = coef(lm(ind_ret ~ mkt_ret))[1], beta = coef(lm(ind_ret ~ mkt_ret))[2], ind_ret, mkt_ret, industry, date)\n",
    "    ][, .(abnr_ret = ind_ret - alpha - beta*mkt_ret, date), by = industry]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *38. 每天分别有多少股票是最近连续3个交易日上涨、下跌的？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 50,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 227 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>tag</th><th scope=col>stkcd_amount</th></tr>\n",
       "\t<tr><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120109</td><td>r3day_dn</td><td>  17</td></tr>\n",
       "\t<tr><td>20120109</td><td>r3day_up</td><td>  16</td></tr>\n",
       "\t<tr><td>20120110</td><td>r3day_dn</td><td>   1</td></tr>\n",
       "\t<tr><td>20120110</td><td>r3day_up</td><td>  71</td></tr>\n",
       "\t<tr><td>20120111</td><td>r3day_dn</td><td>   6</td></tr>\n",
       "\t<tr><td>20120111</td><td>r3day_up</td><td>1401</td></tr>\n",
       "\t<tr><td>20120112</td><td>r3day_dn</td><td>1126</td></tr>\n",
       "\t<tr><td>20120112</td><td>r3day_up</td><td> 932</td></tr>\n",
       "\t<tr><td>20120113</td><td>r3day_dn</td><td> 641</td></tr>\n",
       "\t<tr><td>20120113</td><td>r3day_up</td><td> 272</td></tr>\n",
       "\t<tr><td>20120116</td><td>r3day_dn</td><td> 243</td></tr>\n",
       "\t<tr><td>20120116</td><td>r3day_up</td><td>  32</td></tr>\n",
       "\t<tr><td>20120117</td><td>r3day_dn</td><td>  49</td></tr>\n",
       "\t<tr><td>20120117</td><td>r3day_up</td><td>   4</td></tr>\n",
       "\t<tr><td>20120118</td><td>r3day_up</td><td>   7</td></tr>\n",
       "\t<tr><td>20120119</td><td>r3day_dn</td><td>  92</td></tr>\n",
       "\t<tr><td>20120119</td><td>r3day_up</td><td>   7</td></tr>\n",
       "\t<tr><td>20120120</td><td>r3day_dn</td><td>  53</td></tr>\n",
       "\t<tr><td>20120120</td><td>r3day_up</td><td> 145</td></tr>\n",
       "\t<tr><td>20120130</td><td>r3day_dn</td><td>  49</td></tr>\n",
       "\t<tr><td>20120130</td><td>r3day_up</td><td> 101</td></tr>\n",
       "\t<tr><td>20120131</td><td>r3day_dn</td><td> 981</td></tr>\n",
       "\t<tr><td>20120131</td><td>r3day_up</td><td> 419</td></tr>\n",
       "\t<tr><td>20120201</td><td>r3day_dn</td><td> 298</td></tr>\n",
       "\t<tr><td>20120201</td><td>r3day_up</td><td> 288</td></tr>\n",
       "\t<tr><td>20120202</td><td>r3day_dn</td><td> 219</td></tr>\n",
       "\t<tr><td>20120202</td><td>r3day_up</td><td> 112</td></tr>\n",
       "\t<tr><td>20120203</td><td>r3day_dn</td><td>  19</td></tr>\n",
       "\t<tr><td>20120203</td><td>r3day_up</td><td> 249</td></tr>\n",
       "\t<tr><td>20120206</td><td>r3day_dn</td><td>  56</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120608</td><td>r3day_dn</td><td>197</td></tr>\n",
       "\t<tr><td>20120608</td><td>r3day_up</td><td> 88</td></tr>\n",
       "\t<tr><td>20120611</td><td>r3day_dn</td><td>120</td></tr>\n",
       "\t<tr><td>20120611</td><td>r3day_up</td><td> 96</td></tr>\n",
       "\t<tr><td>20120612</td><td>r3day_dn</td><td> 36</td></tr>\n",
       "\t<tr><td>20120612</td><td>r3day_up</td><td>247</td></tr>\n",
       "\t<tr><td>20120613</td><td>r3day_dn</td><td>534</td></tr>\n",
       "\t<tr><td>20120613</td><td>r3day_up</td><td>226</td></tr>\n",
       "\t<tr><td>20120614</td><td>r3day_dn</td><td> 47</td></tr>\n",
       "\t<tr><td>20120614</td><td>r3day_up</td><td>536</td></tr>\n",
       "\t<tr><td>20120615</td><td>r3day_dn</td><td>460</td></tr>\n",
       "\t<tr><td>20120615</td><td>r3day_up</td><td>136</td></tr>\n",
       "\t<tr><td>20120618</td><td>r3day_dn</td><td>297</td></tr>\n",
       "\t<tr><td>20120618</td><td>r3day_up</td><td>240</td></tr>\n",
       "\t<tr><td>20120619</td><td>r3day_dn</td><td> 76</td></tr>\n",
       "\t<tr><td>20120619</td><td>r3day_up</td><td>166</td></tr>\n",
       "\t<tr><td>20120620</td><td>r3day_dn</td><td>633</td></tr>\n",
       "\t<tr><td>20120620</td><td>r3day_up</td><td>232</td></tr>\n",
       "\t<tr><td>20120621</td><td>r3day_dn</td><td>280</td></tr>\n",
       "\t<tr><td>20120621</td><td>r3day_up</td><td>196</td></tr>\n",
       "\t<tr><td>20120625</td><td>r3day_dn</td><td>185</td></tr>\n",
       "\t<tr><td>20120625</td><td>r3day_up</td><td> 38</td></tr>\n",
       "\t<tr><td>20120626</td><td>r3day_dn</td><td>116</td></tr>\n",
       "\t<tr><td>20120626</td><td>r3day_up</td><td> 26</td></tr>\n",
       "\t<tr><td>20120627</td><td>r3day_dn</td><td> 46</td></tr>\n",
       "\t<tr><td>20120627</td><td>r3day_up</td><td> 30</td></tr>\n",
       "\t<tr><td>20120628</td><td>r3day_dn</td><td> 48</td></tr>\n",
       "\t<tr><td>20120628</td><td>r3day_up</td><td> 48</td></tr>\n",
       "\t<tr><td>20120629</td><td>r3day_dn</td><td>260</td></tr>\n",
       "\t<tr><td>20120629</td><td>r3day_up</td><td> 92</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 227 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date & tag & stkcd\\_amount\\\\\n",
       " <dbl> & <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120109 & r3day\\_dn &   17\\\\\n",
       "\t 20120109 & r3day\\_up &   16\\\\\n",
       "\t 20120110 & r3day\\_dn &    1\\\\\n",
       "\t 20120110 & r3day\\_up &   71\\\\\n",
       "\t 20120111 & r3day\\_dn &    6\\\\\n",
       "\t 20120111 & r3day\\_up & 1401\\\\\n",
       "\t 20120112 & r3day\\_dn & 1126\\\\\n",
       "\t 20120112 & r3day\\_up &  932\\\\\n",
       "\t 20120113 & r3day\\_dn &  641\\\\\n",
       "\t 20120113 & r3day\\_up &  272\\\\\n",
       "\t 20120116 & r3day\\_dn &  243\\\\\n",
       "\t 20120116 & r3day\\_up &   32\\\\\n",
       "\t 20120117 & r3day\\_dn &   49\\\\\n",
       "\t 20120117 & r3day\\_up &    4\\\\\n",
       "\t 20120118 & r3day\\_up &    7\\\\\n",
       "\t 20120119 & r3day\\_dn &   92\\\\\n",
       "\t 20120119 & r3day\\_up &    7\\\\\n",
       "\t 20120120 & r3day\\_dn &   53\\\\\n",
       "\t 20120120 & r3day\\_up &  145\\\\\n",
       "\t 20120130 & r3day\\_dn &   49\\\\\n",
       "\t 20120130 & r3day\\_up &  101\\\\\n",
       "\t 20120131 & r3day\\_dn &  981\\\\\n",
       "\t 20120131 & r3day\\_up &  419\\\\\n",
       "\t 20120201 & r3day\\_dn &  298\\\\\n",
       "\t 20120201 & r3day\\_up &  288\\\\\n",
       "\t 20120202 & r3day\\_dn &  219\\\\\n",
       "\t 20120202 & r3day\\_up &  112\\\\\n",
       "\t 20120203 & r3day\\_dn &   19\\\\\n",
       "\t 20120203 & r3day\\_up &  249\\\\\n",
       "\t 20120206 & r3day\\_dn &   56\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t 20120608 & r3day\\_dn & 197\\\\\n",
       "\t 20120608 & r3day\\_up &  88\\\\\n",
       "\t 20120611 & r3day\\_dn & 120\\\\\n",
       "\t 20120611 & r3day\\_up &  96\\\\\n",
       "\t 20120612 & r3day\\_dn &  36\\\\\n",
       "\t 20120612 & r3day\\_up & 247\\\\\n",
       "\t 20120613 & r3day\\_dn & 534\\\\\n",
       "\t 20120613 & r3day\\_up & 226\\\\\n",
       "\t 20120614 & r3day\\_dn &  47\\\\\n",
       "\t 20120614 & r3day\\_up & 536\\\\\n",
       "\t 20120615 & r3day\\_dn & 460\\\\\n",
       "\t 20120615 & r3day\\_up & 136\\\\\n",
       "\t 20120618 & r3day\\_dn & 297\\\\\n",
       "\t 20120618 & r3day\\_up & 240\\\\\n",
       "\t 20120619 & r3day\\_dn &  76\\\\\n",
       "\t 20120619 & r3day\\_up & 166\\\\\n",
       "\t 20120620 & r3day\\_dn & 633\\\\\n",
       "\t 20120620 & r3day\\_up & 232\\\\\n",
       "\t 20120621 & r3day\\_dn & 280\\\\\n",
       "\t 20120621 & r3day\\_up & 196\\\\\n",
       "\t 20120625 & r3day\\_dn & 185\\\\\n",
       "\t 20120625 & r3day\\_up &  38\\\\\n",
       "\t 20120626 & r3day\\_dn & 116\\\\\n",
       "\t 20120626 & r3day\\_up &  26\\\\\n",
       "\t 20120627 & r3day\\_dn &  46\\\\\n",
       "\t 20120627 & r3day\\_up &  30\\\\\n",
       "\t 20120628 & r3day\\_dn &  48\\\\\n",
       "\t 20120628 & r3day\\_up &  48\\\\\n",
       "\t 20120629 & r3day\\_dn & 260\\\\\n",
       "\t 20120629 & r3day\\_up &  92\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 227 × 3\n",
       "\n",
       "| date &lt;dbl&gt; | tag &lt;chr&gt; | stkcd_amount &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| 20120109 | r3day_dn |   17 |\n",
       "| 20120109 | r3day_up |   16 |\n",
       "| 20120110 | r3day_dn |    1 |\n",
       "| 20120110 | r3day_up |   71 |\n",
       "| 20120111 | r3day_dn |    6 |\n",
       "| 20120111 | r3day_up | 1401 |\n",
       "| 20120112 | r3day_dn | 1126 |\n",
       "| 20120112 | r3day_up |  932 |\n",
       "| 20120113 | r3day_dn |  641 |\n",
       "| 20120113 | r3day_up |  272 |\n",
       "| 20120116 | r3day_dn |  243 |\n",
       "| 20120116 | r3day_up |   32 |\n",
       "| 20120117 | r3day_dn |   49 |\n",
       "| 20120117 | r3day_up |    4 |\n",
       "| 20120118 | r3day_up |    7 |\n",
       "| 20120119 | r3day_dn |   92 |\n",
       "| 20120119 | r3day_up |    7 |\n",
       "| 20120120 | r3day_dn |   53 |\n",
       "| 20120120 | r3day_up |  145 |\n",
       "| 20120130 | r3day_dn |   49 |\n",
       "| 20120130 | r3day_up |  101 |\n",
       "| 20120131 | r3day_dn |  981 |\n",
       "| 20120131 | r3day_up |  419 |\n",
       "| 20120201 | r3day_dn |  298 |\n",
       "| 20120201 | r3day_up |  288 |\n",
       "| 20120202 | r3day_dn |  219 |\n",
       "| 20120202 | r3day_up |  112 |\n",
       "| 20120203 | r3day_dn |   19 |\n",
       "| 20120203 | r3day_up |  249 |\n",
       "| 20120206 | r3day_dn |   56 |\n",
       "| ... | ... | ... |\n",
       "| 20120608 | r3day_dn | 197 |\n",
       "| 20120608 | r3day_up |  88 |\n",
       "| 20120611 | r3day_dn | 120 |\n",
       "| 20120611 | r3day_up |  96 |\n",
       "| 20120612 | r3day_dn |  36 |\n",
       "| 20120612 | r3day_up | 247 |\n",
       "| 20120613 | r3day_dn | 534 |\n",
       "| 20120613 | r3day_up | 226 |\n",
       "| 20120614 | r3day_dn |  47 |\n",
       "| 20120614 | r3day_up | 536 |\n",
       "| 20120615 | r3day_dn | 460 |\n",
       "| 20120615 | r3day_up | 136 |\n",
       "| 20120618 | r3day_dn | 297 |\n",
       "| 20120618 | r3day_up | 240 |\n",
       "| 20120619 | r3day_dn |  76 |\n",
       "| 20120619 | r3day_up | 166 |\n",
       "| 20120620 | r3day_dn | 633 |\n",
       "| 20120620 | r3day_up | 232 |\n",
       "| 20120621 | r3day_dn | 280 |\n",
       "| 20120621 | r3day_up | 196 |\n",
       "| 20120625 | r3day_dn | 185 |\n",
       "| 20120625 | r3day_up |  38 |\n",
       "| 20120626 | r3day_dn | 116 |\n",
       "| 20120626 | r3day_up |  26 |\n",
       "| 20120627 | r3day_dn |  46 |\n",
       "| 20120627 | r3day_up |  30 |\n",
       "| 20120628 | r3day_dn |  48 |\n",
       "| 20120628 | r3day_up |  48 |\n",
       "| 20120629 | r3day_dn | 260 |\n",
       "| 20120629 | r3day_up |  92 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     tag      stkcd_amount\n",
       "1   20120109 r3day_dn   17        \n",
       "2   20120109 r3day_up   16        \n",
       "3   20120110 r3day_dn    1        \n",
       "4   20120110 r3day_up   71        \n",
       "5   20120111 r3day_dn    6        \n",
       "6   20120111 r3day_up 1401        \n",
       "7   20120112 r3day_dn 1126        \n",
       "8   20120112 r3day_up  932        \n",
       "9   20120113 r3day_dn  641        \n",
       "10  20120113 r3day_up  272        \n",
       "11  20120116 r3day_dn  243        \n",
       "12  20120116 r3day_up   32        \n",
       "13  20120117 r3day_dn   49        \n",
       "14  20120117 r3day_up    4        \n",
       "15  20120118 r3day_up    7        \n",
       "16  20120119 r3day_dn   92        \n",
       "17  20120119 r3day_up    7        \n",
       "18  20120120 r3day_dn   53        \n",
       "19  20120120 r3day_up  145        \n",
       "20  20120130 r3day_dn   49        \n",
       "21  20120130 r3day_up  101        \n",
       "22  20120131 r3day_dn  981        \n",
       "23  20120131 r3day_up  419        \n",
       "24  20120201 r3day_dn  298        \n",
       "25  20120201 r3day_up  288        \n",
       "26  20120202 r3day_dn  219        \n",
       "27  20120202 r3day_up  112        \n",
       "28  20120203 r3day_dn   19        \n",
       "29  20120203 r3day_up  249        \n",
       "30  20120206 r3day_dn   56        \n",
       "... ...      ...      ...         \n",
       "198 20120608 r3day_dn 197         \n",
       "199 20120608 r3day_up  88         \n",
       "200 20120611 r3day_dn 120         \n",
       "201 20120611 r3day_up  96         \n",
       "202 20120612 r3day_dn  36         \n",
       "203 20120612 r3day_up 247         \n",
       "204 20120613 r3day_dn 534         \n",
       "205 20120613 r3day_up 226         \n",
       "206 20120614 r3day_dn  47         \n",
       "207 20120614 r3day_up 536         \n",
       "208 20120615 r3day_dn 460         \n",
       "209 20120615 r3day_up 136         \n",
       "210 20120618 r3day_dn 297         \n",
       "211 20120618 r3day_up 240         \n",
       "212 20120619 r3day_dn  76         \n",
       "213 20120619 r3day_up 166         \n",
       "214 20120620 r3day_dn 633         \n",
       "215 20120620 r3day_up 232         \n",
       "216 20120621 r3day_dn 280         \n",
       "217 20120621 r3day_up 196         \n",
       "218 20120625 r3day_dn 185         \n",
       "219 20120625 r3day_up  38         \n",
       "220 20120626 r3day_dn 116         \n",
       "221 20120626 r3day_up  26         \n",
       "222 20120627 r3day_dn  46         \n",
       "223 20120627 r3day_up  30         \n",
       "224 20120628 r3day_dn  48         \n",
       "225 20120628 r3day_up  48         \n",
       "226 20120629 r3day_dn 260         \n",
       "227 20120629 r3day_up  92         "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1), keyby = .(symbol, date)\n",
    "    ][, {\n",
    "        l <- list()\n",
    "        b1 <- stkcd_ret > 0\n",
    "        b2 <- stkcd_ret < 0\n",
    "        for (t in 4:.N) {\n",
    "            l[[t]] <- as.list(c(r3day_up = mean(c(b1[t-1], b1[t-2], b1[t-3])), r3day_dn = mean(c(b2[t-1], b1[t-2], b1[t-3])), date = date[t]))\n",
    "        }\n",
    "        rbindlist(l)\n",
    "    }    \n",
    "    , keyby = .(symbol)\n",
    "    ][!is.na(date), .(stkcd_amount = uniqueN(symbol)), keyby = .(date, tag = ifelse(r3day_up == 1, \"r3day_up\", ifelse(r3day_dn == 1, \"r3day_dn\", \"others\")))\n",
    "    ][tag == \"r3day_dn\"|tag == \"r3day_up\"]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *39. 每天分别有多少股票是最近连续3个交易日收益率超过当天市场平均收益率？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 51,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 114 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>stkcd_amount</th></tr>\n",
       "\t<tr><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120109</td><td> 81</td></tr>\n",
       "\t<tr><td>20120110</td><td> 95</td></tr>\n",
       "\t<tr><td>20120111</td><td>785</td></tr>\n",
       "\t<tr><td>20120112</td><td>905</td></tr>\n",
       "\t<tr><td>20120113</td><td>392</td></tr>\n",
       "\t<tr><td>20120116</td><td>153</td></tr>\n",
       "\t<tr><td>20120117</td><td>145</td></tr>\n",
       "\t<tr><td>20120118</td><td> 50</td></tr>\n",
       "\t<tr><td>20120119</td><td>169</td></tr>\n",
       "\t<tr><td>20120120</td><td>238</td></tr>\n",
       "\t<tr><td>20120130</td><td>116</td></tr>\n",
       "\t<tr><td>20120131</td><td>312</td></tr>\n",
       "\t<tr><td>20120201</td><td>354</td></tr>\n",
       "\t<tr><td>20120202</td><td>340</td></tr>\n",
       "\t<tr><td>20120203</td><td>130</td></tr>\n",
       "\t<tr><td>20120206</td><td>337</td></tr>\n",
       "\t<tr><td>20120207</td><td>417</td></tr>\n",
       "\t<tr><td>20120208</td><td>320</td></tr>\n",
       "\t<tr><td>20120209</td><td>154</td></tr>\n",
       "\t<tr><td>20120210</td><td>117</td></tr>\n",
       "\t<tr><td>20120213</td><td>351</td></tr>\n",
       "\t<tr><td>20120214</td><td>523</td></tr>\n",
       "\t<tr><td>20120215</td><td>399</td></tr>\n",
       "\t<tr><td>20120216</td><td>506</td></tr>\n",
       "\t<tr><td>20120217</td><td>366</td></tr>\n",
       "\t<tr><td>20120220</td><td>199</td></tr>\n",
       "\t<tr><td>20120221</td><td> 97</td></tr>\n",
       "\t<tr><td>20120222</td><td>117</td></tr>\n",
       "\t<tr><td>20120223</td><td>310</td></tr>\n",
       "\t<tr><td>20120224</td><td>300</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120518</td><td>191</td></tr>\n",
       "\t<tr><td>20120521</td><td>265</td></tr>\n",
       "\t<tr><td>20120522</td><td>141</td></tr>\n",
       "\t<tr><td>20120523</td><td>114</td></tr>\n",
       "\t<tr><td>20120524</td><td>190</td></tr>\n",
       "\t<tr><td>20120525</td><td>211</td></tr>\n",
       "\t<tr><td>20120528</td><td>234</td></tr>\n",
       "\t<tr><td>20120529</td><td>175</td></tr>\n",
       "\t<tr><td>20120530</td><td>137</td></tr>\n",
       "\t<tr><td>20120531</td><td>249</td></tr>\n",
       "\t<tr><td>20120601</td><td>549</td></tr>\n",
       "\t<tr><td>20120604</td><td>282</td></tr>\n",
       "\t<tr><td>20120605</td><td>224</td></tr>\n",
       "\t<tr><td>20120606</td><td>153</td></tr>\n",
       "\t<tr><td>20120607</td><td>137</td></tr>\n",
       "\t<tr><td>20120608</td><td>167</td></tr>\n",
       "\t<tr><td>20120611</td><td>325</td></tr>\n",
       "\t<tr><td>20120612</td><td>373</td></tr>\n",
       "\t<tr><td>20120613</td><td>371</td></tr>\n",
       "\t<tr><td>20120614</td><td>308</td></tr>\n",
       "\t<tr><td>20120615</td><td>197</td></tr>\n",
       "\t<tr><td>20120618</td><td>203</td></tr>\n",
       "\t<tr><td>20120619</td><td>194</td></tr>\n",
       "\t<tr><td>20120620</td><td>229</td></tr>\n",
       "\t<tr><td>20120621</td><td>314</td></tr>\n",
       "\t<tr><td>20120625</td><td>281</td></tr>\n",
       "\t<tr><td>20120626</td><td>251</td></tr>\n",
       "\t<tr><td>20120627</td><td>258</td></tr>\n",
       "\t<tr><td>20120628</td><td>242</td></tr>\n",
       "\t<tr><td>20120629</td><td>277</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 114 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date & stkcd\\_amount\\\\\n",
       " <dbl> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120109 &  81\\\\\n",
       "\t 20120110 &  95\\\\\n",
       "\t 20120111 & 785\\\\\n",
       "\t 20120112 & 905\\\\\n",
       "\t 20120113 & 392\\\\\n",
       "\t 20120116 & 153\\\\\n",
       "\t 20120117 & 145\\\\\n",
       "\t 20120118 &  50\\\\\n",
       "\t 20120119 & 169\\\\\n",
       "\t 20120120 & 238\\\\\n",
       "\t 20120130 & 116\\\\\n",
       "\t 20120131 & 312\\\\\n",
       "\t 20120201 & 354\\\\\n",
       "\t 20120202 & 340\\\\\n",
       "\t 20120203 & 130\\\\\n",
       "\t 20120206 & 337\\\\\n",
       "\t 20120207 & 417\\\\\n",
       "\t 20120208 & 320\\\\\n",
       "\t 20120209 & 154\\\\\n",
       "\t 20120210 & 117\\\\\n",
       "\t 20120213 & 351\\\\\n",
       "\t 20120214 & 523\\\\\n",
       "\t 20120215 & 399\\\\\n",
       "\t 20120216 & 506\\\\\n",
       "\t 20120217 & 366\\\\\n",
       "\t 20120220 & 199\\\\\n",
       "\t 20120221 &  97\\\\\n",
       "\t 20120222 & 117\\\\\n",
       "\t 20120223 & 310\\\\\n",
       "\t 20120224 & 300\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 20120518 & 191\\\\\n",
       "\t 20120521 & 265\\\\\n",
       "\t 20120522 & 141\\\\\n",
       "\t 20120523 & 114\\\\\n",
       "\t 20120524 & 190\\\\\n",
       "\t 20120525 & 211\\\\\n",
       "\t 20120528 & 234\\\\\n",
       "\t 20120529 & 175\\\\\n",
       "\t 20120530 & 137\\\\\n",
       "\t 20120531 & 249\\\\\n",
       "\t 20120601 & 549\\\\\n",
       "\t 20120604 & 282\\\\\n",
       "\t 20120605 & 224\\\\\n",
       "\t 20120606 & 153\\\\\n",
       "\t 20120607 & 137\\\\\n",
       "\t 20120608 & 167\\\\\n",
       "\t 20120611 & 325\\\\\n",
       "\t 20120612 & 373\\\\\n",
       "\t 20120613 & 371\\\\\n",
       "\t 20120614 & 308\\\\\n",
       "\t 20120615 & 197\\\\\n",
       "\t 20120618 & 203\\\\\n",
       "\t 20120619 & 194\\\\\n",
       "\t 20120620 & 229\\\\\n",
       "\t 20120621 & 314\\\\\n",
       "\t 20120625 & 281\\\\\n",
       "\t 20120626 & 251\\\\\n",
       "\t 20120627 & 258\\\\\n",
       "\t 20120628 & 242\\\\\n",
       "\t 20120629 & 277\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 114 × 2\n",
       "\n",
       "| date &lt;dbl&gt; | stkcd_amount &lt;int&gt; |\n",
       "|---|---|\n",
       "| 20120109 |  81 |\n",
       "| 20120110 |  95 |\n",
       "| 20120111 | 785 |\n",
       "| 20120112 | 905 |\n",
       "| 20120113 | 392 |\n",
       "| 20120116 | 153 |\n",
       "| 20120117 | 145 |\n",
       "| 20120118 |  50 |\n",
       "| 20120119 | 169 |\n",
       "| 20120120 | 238 |\n",
       "| 20120130 | 116 |\n",
       "| 20120131 | 312 |\n",
       "| 20120201 | 354 |\n",
       "| 20120202 | 340 |\n",
       "| 20120203 | 130 |\n",
       "| 20120206 | 337 |\n",
       "| 20120207 | 417 |\n",
       "| 20120208 | 320 |\n",
       "| 20120209 | 154 |\n",
       "| 20120210 | 117 |\n",
       "| 20120213 | 351 |\n",
       "| 20120214 | 523 |\n",
       "| 20120215 | 399 |\n",
       "| 20120216 | 506 |\n",
       "| 20120217 | 366 |\n",
       "| 20120220 | 199 |\n",
       "| 20120221 |  97 |\n",
       "| 20120222 | 117 |\n",
       "| 20120223 | 310 |\n",
       "| 20120224 | 300 |\n",
       "| ... | ... |\n",
       "| 20120518 | 191 |\n",
       "| 20120521 | 265 |\n",
       "| 20120522 | 141 |\n",
       "| 20120523 | 114 |\n",
       "| 20120524 | 190 |\n",
       "| 20120525 | 211 |\n",
       "| 20120528 | 234 |\n",
       "| 20120529 | 175 |\n",
       "| 20120530 | 137 |\n",
       "| 20120531 | 249 |\n",
       "| 20120601 | 549 |\n",
       "| 20120604 | 282 |\n",
       "| 20120605 | 224 |\n",
       "| 20120606 | 153 |\n",
       "| 20120607 | 137 |\n",
       "| 20120608 | 167 |\n",
       "| 20120611 | 325 |\n",
       "| 20120612 | 373 |\n",
       "| 20120613 | 371 |\n",
       "| 20120614 | 308 |\n",
       "| 20120615 | 197 |\n",
       "| 20120618 | 203 |\n",
       "| 20120619 | 194 |\n",
       "| 20120620 | 229 |\n",
       "| 20120621 | 314 |\n",
       "| 20120625 | 281 |\n",
       "| 20120626 | 251 |\n",
       "| 20120627 | 258 |\n",
       "| 20120628 | 242 |\n",
       "| 20120629 | 277 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     stkcd_amount\n",
       "1   20120109  81         \n",
       "2   20120110  95         \n",
       "3   20120111 785         \n",
       "4   20120112 905         \n",
       "5   20120113 392         \n",
       "6   20120116 153         \n",
       "7   20120117 145         \n",
       "8   20120118  50         \n",
       "9   20120119 169         \n",
       "10  20120120 238         \n",
       "11  20120130 116         \n",
       "12  20120131 312         \n",
       "13  20120201 354         \n",
       "14  20120202 340         \n",
       "15  20120203 130         \n",
       "16  20120206 337         \n",
       "17  20120207 417         \n",
       "18  20120208 320         \n",
       "19  20120209 154         \n",
       "20  20120210 117         \n",
       "21  20120213 351         \n",
       "22  20120214 523         \n",
       "23  20120215 399         \n",
       "24  20120216 506         \n",
       "25  20120217 366         \n",
       "26  20120220 199         \n",
       "27  20120221  97         \n",
       "28  20120222 117         \n",
       "29  20120223 310         \n",
       "30  20120224 300         \n",
       "... ...      ...         \n",
       "85  20120518 191         \n",
       "86  20120521 265         \n",
       "87  20120522 141         \n",
       "88  20120523 114         \n",
       "89  20120524 190         \n",
       "90  20120525 211         \n",
       "91  20120528 234         \n",
       "92  20120529 175         \n",
       "93  20120530 137         \n",
       "94  20120531 249         \n",
       "95  20120601 549         \n",
       "96  20120604 282         \n",
       "97  20120605 224         \n",
       "98  20120606 153         \n",
       "99  20120607 137         \n",
       "100 20120608 167         \n",
       "101 20120611 325         \n",
       "102 20120612 373         \n",
       "103 20120613 371         \n",
       "104 20120614 308         \n",
       "105 20120615 197         \n",
       "106 20120618 203         \n",
       "107 20120619 194         \n",
       "108 20120620 229         \n",
       "109 20120621 314         \n",
       "110 20120625 281         \n",
       "111 20120626 251         \n",
       "112 20120627 258         \n",
       "113 20120628 242         \n",
       "114 20120629 277         "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, mkt_weight = capt/sum(capt), symbol), keyby = .(date)\n",
    "    ][, .(mkt_ret = sum(stkcd_ret * mkt_weight), symbol, stkcd_ret), keyby = .(date)\n",
    "    ][, .(r3day_ret = ifelse(stkcd_ret > mkt_ret, 1, 0)), keyby = .(symbol, date)\n",
    "    ][, {\n",
    "        l <- list()\n",
    "        for (t in 4:.N) {\n",
    "            l[[t]] <- as.list(c(r3day_ret = mean(c(r3day_ret[t-1], r3day_ret[t-2], r3day_ret[t-3])), date = date[t]))\n",
    "        }\n",
    "        rbindlist(l)\n",
    "    }, keyby = symbol\n",
    "    ][r3day_ret == 1 & !is.na(date), .(stkcd_amount = uniqueN(symbol)), keyby = date]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *40. 每天分别有多少股票是最新5个交易日中至少有4个交易日的收益率超过当天市场平均收益率？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 53,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 112 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>stkcd_amount</th></tr>\n",
       "\t<tr><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120111</td><td> 14</td></tr>\n",
       "\t<tr><td>20120112</td><td> 22</td></tr>\n",
       "\t<tr><td>20120113</td><td>184</td></tr>\n",
       "\t<tr><td>20120116</td><td> 48</td></tr>\n",
       "\t<tr><td>20120117</td><td> 18</td></tr>\n",
       "\t<tr><td>20120118</td><td> 13</td></tr>\n",
       "\t<tr><td>20120119</td><td>  8</td></tr>\n",
       "\t<tr><td>20120120</td><td> 12</td></tr>\n",
       "\t<tr><td>20120130</td><td> 35</td></tr>\n",
       "\t<tr><td>20120131</td><td> 36</td></tr>\n",
       "\t<tr><td>20120201</td><td> 18</td></tr>\n",
       "\t<tr><td>20120202</td><td> 64</td></tr>\n",
       "\t<tr><td>20120203</td><td> 51</td></tr>\n",
       "\t<tr><td>20120206</td><td> 51</td></tr>\n",
       "\t<tr><td>20120207</td><td> 48</td></tr>\n",
       "\t<tr><td>20120208</td><td> 70</td></tr>\n",
       "\t<tr><td>20120209</td><td> 47</td></tr>\n",
       "\t<tr><td>20120210</td><td> 53</td></tr>\n",
       "\t<tr><td>20120213</td><td> 27</td></tr>\n",
       "\t<tr><td>20120214</td><td> 35</td></tr>\n",
       "\t<tr><td>20120215</td><td>112</td></tr>\n",
       "\t<tr><td>20120216</td><td>159</td></tr>\n",
       "\t<tr><td>20120217</td><td>129</td></tr>\n",
       "\t<tr><td>20120220</td><td> 80</td></tr>\n",
       "\t<tr><td>20120221</td><td> 30</td></tr>\n",
       "\t<tr><td>20120222</td><td> 29</td></tr>\n",
       "\t<tr><td>20120223</td><td> 31</td></tr>\n",
       "\t<tr><td>20120224</td><td> 20</td></tr>\n",
       "\t<tr><td>20120227</td><td> 36</td></tr>\n",
       "\t<tr><td>20120228</td><td> 28</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120518</td><td> 40</td></tr>\n",
       "\t<tr><td>20120521</td><td> 50</td></tr>\n",
       "\t<tr><td>20120522</td><td> 21</td></tr>\n",
       "\t<tr><td>20120523</td><td> 12</td></tr>\n",
       "\t<tr><td>20120524</td><td> 17</td></tr>\n",
       "\t<tr><td>20120525</td><td> 19</td></tr>\n",
       "\t<tr><td>20120528</td><td> 33</td></tr>\n",
       "\t<tr><td>20120529</td><td> 48</td></tr>\n",
       "\t<tr><td>20120530</td><td> 25</td></tr>\n",
       "\t<tr><td>20120531</td><td> 31</td></tr>\n",
       "\t<tr><td>20120601</td><td> 33</td></tr>\n",
       "\t<tr><td>20120604</td><td> 46</td></tr>\n",
       "\t<tr><td>20120605</td><td> 75</td></tr>\n",
       "\t<tr><td>20120606</td><td> 59</td></tr>\n",
       "\t<tr><td>20120607</td><td> 51</td></tr>\n",
       "\t<tr><td>20120608</td><td> 31</td></tr>\n",
       "\t<tr><td>20120611</td><td> 37</td></tr>\n",
       "\t<tr><td>20120612</td><td> 41</td></tr>\n",
       "\t<tr><td>20120613</td><td> 75</td></tr>\n",
       "\t<tr><td>20120614</td><td> 76</td></tr>\n",
       "\t<tr><td>20120615</td><td> 59</td></tr>\n",
       "\t<tr><td>20120618</td><td> 50</td></tr>\n",
       "\t<tr><td>20120619</td><td> 39</td></tr>\n",
       "\t<tr><td>20120620</td><td> 48</td></tr>\n",
       "\t<tr><td>20120621</td><td> 32</td></tr>\n",
       "\t<tr><td>20120625</td><td> 50</td></tr>\n",
       "\t<tr><td>20120626</td><td> 54</td></tr>\n",
       "\t<tr><td>20120627</td><td>120</td></tr>\n",
       "\t<tr><td>20120628</td><td>101</td></tr>\n",
       "\t<tr><td>20120629</td><td>122</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 112 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date & stkcd\\_amount\\\\\n",
       " <dbl> & <int>\\\\\n",
       "\\hline\n",
       "\t 20120111 &  14\\\\\n",
       "\t 20120112 &  22\\\\\n",
       "\t 20120113 & 184\\\\\n",
       "\t 20120116 &  48\\\\\n",
       "\t 20120117 &  18\\\\\n",
       "\t 20120118 &  13\\\\\n",
       "\t 20120119 &   8\\\\\n",
       "\t 20120120 &  12\\\\\n",
       "\t 20120130 &  35\\\\\n",
       "\t 20120131 &  36\\\\\n",
       "\t 20120201 &  18\\\\\n",
       "\t 20120202 &  64\\\\\n",
       "\t 20120203 &  51\\\\\n",
       "\t 20120206 &  51\\\\\n",
       "\t 20120207 &  48\\\\\n",
       "\t 20120208 &  70\\\\\n",
       "\t 20120209 &  47\\\\\n",
       "\t 20120210 &  53\\\\\n",
       "\t 20120213 &  27\\\\\n",
       "\t 20120214 &  35\\\\\n",
       "\t 20120215 & 112\\\\\n",
       "\t 20120216 & 159\\\\\n",
       "\t 20120217 & 129\\\\\n",
       "\t 20120220 &  80\\\\\n",
       "\t 20120221 &  30\\\\\n",
       "\t 20120222 &  29\\\\\n",
       "\t 20120223 &  31\\\\\n",
       "\t 20120224 &  20\\\\\n",
       "\t 20120227 &  36\\\\\n",
       "\t 20120228 &  28\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 20120518 &  40\\\\\n",
       "\t 20120521 &  50\\\\\n",
       "\t 20120522 &  21\\\\\n",
       "\t 20120523 &  12\\\\\n",
       "\t 20120524 &  17\\\\\n",
       "\t 20120525 &  19\\\\\n",
       "\t 20120528 &  33\\\\\n",
       "\t 20120529 &  48\\\\\n",
       "\t 20120530 &  25\\\\\n",
       "\t 20120531 &  31\\\\\n",
       "\t 20120601 &  33\\\\\n",
       "\t 20120604 &  46\\\\\n",
       "\t 20120605 &  75\\\\\n",
       "\t 20120606 &  59\\\\\n",
       "\t 20120607 &  51\\\\\n",
       "\t 20120608 &  31\\\\\n",
       "\t 20120611 &  37\\\\\n",
       "\t 20120612 &  41\\\\\n",
       "\t 20120613 &  75\\\\\n",
       "\t 20120614 &  76\\\\\n",
       "\t 20120615 &  59\\\\\n",
       "\t 20120618 &  50\\\\\n",
       "\t 20120619 &  39\\\\\n",
       "\t 20120620 &  48\\\\\n",
       "\t 20120621 &  32\\\\\n",
       "\t 20120625 &  50\\\\\n",
       "\t 20120626 &  54\\\\\n",
       "\t 20120627 & 120\\\\\n",
       "\t 20120628 & 101\\\\\n",
       "\t 20120629 & 122\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 112 × 2\n",
       "\n",
       "| date &lt;dbl&gt; | stkcd_amount &lt;int&gt; |\n",
       "|---|---|\n",
       "| 20120111 |  14 |\n",
       "| 20120112 |  22 |\n",
       "| 20120113 | 184 |\n",
       "| 20120116 |  48 |\n",
       "| 20120117 |  18 |\n",
       "| 20120118 |  13 |\n",
       "| 20120119 |   8 |\n",
       "| 20120120 |  12 |\n",
       "| 20120130 |  35 |\n",
       "| 20120131 |  36 |\n",
       "| 20120201 |  18 |\n",
       "| 20120202 |  64 |\n",
       "| 20120203 |  51 |\n",
       "| 20120206 |  51 |\n",
       "| 20120207 |  48 |\n",
       "| 20120208 |  70 |\n",
       "| 20120209 |  47 |\n",
       "| 20120210 |  53 |\n",
       "| 20120213 |  27 |\n",
       "| 20120214 |  35 |\n",
       "| 20120215 | 112 |\n",
       "| 20120216 | 159 |\n",
       "| 20120217 | 129 |\n",
       "| 20120220 |  80 |\n",
       "| 20120221 |  30 |\n",
       "| 20120222 |  29 |\n",
       "| 20120223 |  31 |\n",
       "| 20120224 |  20 |\n",
       "| 20120227 |  36 |\n",
       "| 20120228 |  28 |\n",
       "| ... | ... |\n",
       "| 20120518 |  40 |\n",
       "| 20120521 |  50 |\n",
       "| 20120522 |  21 |\n",
       "| 20120523 |  12 |\n",
       "| 20120524 |  17 |\n",
       "| 20120525 |  19 |\n",
       "| 20120528 |  33 |\n",
       "| 20120529 |  48 |\n",
       "| 20120530 |  25 |\n",
       "| 20120531 |  31 |\n",
       "| 20120601 |  33 |\n",
       "| 20120604 |  46 |\n",
       "| 20120605 |  75 |\n",
       "| 20120606 |  59 |\n",
       "| 20120607 |  51 |\n",
       "| 20120608 |  31 |\n",
       "| 20120611 |  37 |\n",
       "| 20120612 |  41 |\n",
       "| 20120613 |  75 |\n",
       "| 20120614 |  76 |\n",
       "| 20120615 |  59 |\n",
       "| 20120618 |  50 |\n",
       "| 20120619 |  39 |\n",
       "| 20120620 |  48 |\n",
       "| 20120621 |  32 |\n",
       "| 20120625 |  50 |\n",
       "| 20120626 |  54 |\n",
       "| 20120627 | 120 |\n",
       "| 20120628 | 101 |\n",
       "| 20120629 | 122 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     stkcd_amount\n",
       "1   20120111  14         \n",
       "2   20120112  22         \n",
       "3   20120113 184         \n",
       "4   20120116  48         \n",
       "5   20120117  18         \n",
       "6   20120118  13         \n",
       "7   20120119   8         \n",
       "8   20120120  12         \n",
       "9   20120130  35         \n",
       "10  20120131  36         \n",
       "11  20120201  18         \n",
       "12  20120202  64         \n",
       "13  20120203  51         \n",
       "14  20120206  51         \n",
       "15  20120207  48         \n",
       "16  20120208  70         \n",
       "17  20120209  47         \n",
       "18  20120210  53         \n",
       "19  20120213  27         \n",
       "20  20120214  35         \n",
       "21  20120215 112         \n",
       "22  20120216 159         \n",
       "23  20120217 129         \n",
       "24  20120220  80         \n",
       "25  20120221  30         \n",
       "26  20120222  29         \n",
       "27  20120223  31         \n",
       "28  20120224  20         \n",
       "29  20120227  36         \n",
       "30  20120228  28         \n",
       "... ...      ...         \n",
       "83  20120518  40         \n",
       "84  20120521  50         \n",
       "85  20120522  21         \n",
       "86  20120523  12         \n",
       "87  20120524  17         \n",
       "88  20120525  19         \n",
       "89  20120528  33         \n",
       "90  20120529  48         \n",
       "91  20120530  25         \n",
       "92  20120531  31         \n",
       "93  20120601  33         \n",
       "94  20120604  46         \n",
       "95  20120605  75         \n",
       "96  20120606  59         \n",
       "97  20120607  51         \n",
       "98  20120608  31         \n",
       "99  20120611  37         \n",
       "100 20120612  41         \n",
       "101 20120613  75         \n",
       "102 20120614  76         \n",
       "103 20120615  59         \n",
       "104 20120618  50         \n",
       "105 20120619  39         \n",
       "106 20120620  48         \n",
       "107 20120621  32         \n",
       "108 20120625  50         \n",
       "109 20120626  54         \n",
       "110 20120627 120         \n",
       "111 20120628 101         \n",
       "112 20120629 122         "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, mkt_weight = capt/sum(capt), symbol), keyby = .(date)\n",
    "    ][, .(mkt_ret = sum(stkcd_ret * mkt_weight), symbol, stkcd_ret), keyby = .(date)\n",
    "    ][, .(r3day_ret = ifelse(stkcd_ret > mkt_ret, 1, 0)), keyby = .(symbol, date)\n",
    "    ][, {\n",
    "        l <- list()\n",
    "        for (t in 6:.N) {\n",
    "            l[[t]] <- as.list(c(r3day_ret = mean(c(r3day_ret[t-1], r3day_ret[t-2], r3day_ret[t-3], r3day_ret[t-4], r3day_ret[t-5])), date = date[t]))\n",
    "        }\n",
    "        rbindlist(l)\n",
    "    }, keyby = symbol\n",
    "    ][r3day_ret > 0.8 & !is.na(date), .(stkcd_amount = uniqueN(symbol)), keyby = date]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *41. 每个月中，个股月收益超过市场月收益1倍以上的股票有哪些？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 54,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 6009 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date_ym</th><th scope=col>symbol</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>201201</td><td>000009.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000012.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000017.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000018.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000030.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000034.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000039.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000040.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000043.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000059.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000060.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000100.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000157.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000159.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000408.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000416.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000418.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000425.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000426.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000502.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000504.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000505.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000506.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000510.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000519.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000528.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000531.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000537.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000550.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000552.SZ</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>201206</td><td>601677.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601688.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601700.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601718.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601766.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601777.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601788.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601798.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601799.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601808.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601818.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601857.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601872.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601877.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601880.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601886.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601888.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601899.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601901.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601919.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601928.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601929.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601933.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601939.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601988.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601991.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601996.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601998.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>603000.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>603001.SH</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 6009 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date\\_ym & symbol\\\\\n",
       " <chr> & <chr>\\\\\n",
       "\\hline\n",
       "\t 201201 & 000009.SZ\\\\\n",
       "\t 201201 & 000012.SZ\\\\\n",
       "\t 201201 & 000017.SZ\\\\\n",
       "\t 201201 & 000018.SZ\\\\\n",
       "\t 201201 & 000030.SZ\\\\\n",
       "\t 201201 & 000034.SZ\\\\\n",
       "\t 201201 & 000039.SZ\\\\\n",
       "\t 201201 & 000040.SZ\\\\\n",
       "\t 201201 & 000043.SZ\\\\\n",
       "\t 201201 & 000059.SZ\\\\\n",
       "\t 201201 & 000060.SZ\\\\\n",
       "\t 201201 & 000100.SZ\\\\\n",
       "\t 201201 & 000157.SZ\\\\\n",
       "\t 201201 & 000159.SZ\\\\\n",
       "\t 201201 & 000408.SZ\\\\\n",
       "\t 201201 & 000416.SZ\\\\\n",
       "\t 201201 & 000418.SZ\\\\\n",
       "\t 201201 & 000425.SZ\\\\\n",
       "\t 201201 & 000426.SZ\\\\\n",
       "\t 201201 & 000502.SZ\\\\\n",
       "\t 201201 & 000504.SZ\\\\\n",
       "\t 201201 & 000505.SZ\\\\\n",
       "\t 201201 & 000506.SZ\\\\\n",
       "\t 201201 & 000510.SZ\\\\\n",
       "\t 201201 & 000519.SZ\\\\\n",
       "\t 201201 & 000528.SZ\\\\\n",
       "\t 201201 & 000531.SZ\\\\\n",
       "\t 201201 & 000537.SZ\\\\\n",
       "\t 201201 & 000550.SZ\\\\\n",
       "\t 201201 & 000552.SZ\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 201206 & 601677.SH\\\\\n",
       "\t 201206 & 601688.SH\\\\\n",
       "\t 201206 & 601700.SH\\\\\n",
       "\t 201206 & 601718.SH\\\\\n",
       "\t 201206 & 601766.SH\\\\\n",
       "\t 201206 & 601777.SH\\\\\n",
       "\t 201206 & 601788.SH\\\\\n",
       "\t 201206 & 601798.SH\\\\\n",
       "\t 201206 & 601799.SH\\\\\n",
       "\t 201206 & 601808.SH\\\\\n",
       "\t 201206 & 601818.SH\\\\\n",
       "\t 201206 & 601857.SH\\\\\n",
       "\t 201206 & 601872.SH\\\\\n",
       "\t 201206 & 601877.SH\\\\\n",
       "\t 201206 & 601880.SH\\\\\n",
       "\t 201206 & 601886.SH\\\\\n",
       "\t 201206 & 601888.SH\\\\\n",
       "\t 201206 & 601899.SH\\\\\n",
       "\t 201206 & 601901.SH\\\\\n",
       "\t 201206 & 601919.SH\\\\\n",
       "\t 201206 & 601928.SH\\\\\n",
       "\t 201206 & 601929.SH\\\\\n",
       "\t 201206 & 601933.SH\\\\\n",
       "\t 201206 & 601939.SH\\\\\n",
       "\t 201206 & 601988.SH\\\\\n",
       "\t 201206 & 601991.SH\\\\\n",
       "\t 201206 & 601996.SH\\\\\n",
       "\t 201206 & 601998.SH\\\\\n",
       "\t 201206 & 603000.SH\\\\\n",
       "\t 201206 & 603001.SH\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 6009 × 2\n",
       "\n",
       "| date_ym &lt;chr&gt; | symbol &lt;chr&gt; |\n",
       "|---|---|\n",
       "| 201201 | 000009.SZ |\n",
       "| 201201 | 000012.SZ |\n",
       "| 201201 | 000017.SZ |\n",
       "| 201201 | 000018.SZ |\n",
       "| 201201 | 000030.SZ |\n",
       "| 201201 | 000034.SZ |\n",
       "| 201201 | 000039.SZ |\n",
       "| 201201 | 000040.SZ |\n",
       "| 201201 | 000043.SZ |\n",
       "| 201201 | 000059.SZ |\n",
       "| 201201 | 000060.SZ |\n",
       "| 201201 | 000100.SZ |\n",
       "| 201201 | 000157.SZ |\n",
       "| 201201 | 000159.SZ |\n",
       "| 201201 | 000408.SZ |\n",
       "| 201201 | 000416.SZ |\n",
       "| 201201 | 000418.SZ |\n",
       "| 201201 | 000425.SZ |\n",
       "| 201201 | 000426.SZ |\n",
       "| 201201 | 000502.SZ |\n",
       "| 201201 | 000504.SZ |\n",
       "| 201201 | 000505.SZ |\n",
       "| 201201 | 000506.SZ |\n",
       "| 201201 | 000510.SZ |\n",
       "| 201201 | 000519.SZ |\n",
       "| 201201 | 000528.SZ |\n",
       "| 201201 | 000531.SZ |\n",
       "| 201201 | 000537.SZ |\n",
       "| 201201 | 000550.SZ |\n",
       "| 201201 | 000552.SZ |\n",
       "| ... | ... |\n",
       "| 201206 | 601677.SH |\n",
       "| 201206 | 601688.SH |\n",
       "| 201206 | 601700.SH |\n",
       "| 201206 | 601718.SH |\n",
       "| 201206 | 601766.SH |\n",
       "| 201206 | 601777.SH |\n",
       "| 201206 | 601788.SH |\n",
       "| 201206 | 601798.SH |\n",
       "| 201206 | 601799.SH |\n",
       "| 201206 | 601808.SH |\n",
       "| 201206 | 601818.SH |\n",
       "| 201206 | 601857.SH |\n",
       "| 201206 | 601872.SH |\n",
       "| 201206 | 601877.SH |\n",
       "| 201206 | 601880.SH |\n",
       "| 201206 | 601886.SH |\n",
       "| 201206 | 601888.SH |\n",
       "| 201206 | 601899.SH |\n",
       "| 201206 | 601901.SH |\n",
       "| 201206 | 601919.SH |\n",
       "| 201206 | 601928.SH |\n",
       "| 201206 | 601929.SH |\n",
       "| 201206 | 601933.SH |\n",
       "| 201206 | 601939.SH |\n",
       "| 201206 | 601988.SH |\n",
       "| 201206 | 601991.SH |\n",
       "| 201206 | 601996.SH |\n",
       "| 201206 | 601998.SH |\n",
       "| 201206 | 603000.SH |\n",
       "| 201206 | 603001.SH |\n",
       "\n"
      ],
      "text/plain": [
       "     date_ym symbol   \n",
       "1    201201  000009.SZ\n",
       "2    201201  000012.SZ\n",
       "3    201201  000017.SZ\n",
       "4    201201  000018.SZ\n",
       "5    201201  000030.SZ\n",
       "6    201201  000034.SZ\n",
       "7    201201  000039.SZ\n",
       "8    201201  000040.SZ\n",
       "9    201201  000043.SZ\n",
       "10   201201  000059.SZ\n",
       "11   201201  000060.SZ\n",
       "12   201201  000100.SZ\n",
       "13   201201  000157.SZ\n",
       "14   201201  000159.SZ\n",
       "15   201201  000408.SZ\n",
       "16   201201  000416.SZ\n",
       "17   201201  000418.SZ\n",
       "18   201201  000425.SZ\n",
       "19   201201  000426.SZ\n",
       "20   201201  000502.SZ\n",
       "21   201201  000504.SZ\n",
       "22   201201  000505.SZ\n",
       "23   201201  000506.SZ\n",
       "24   201201  000510.SZ\n",
       "25   201201  000519.SZ\n",
       "26   201201  000528.SZ\n",
       "27   201201  000531.SZ\n",
       "28   201201  000537.SZ\n",
       "29   201201  000550.SZ\n",
       "30   201201  000552.SZ\n",
       "...  ...     ...      \n",
       "5980 201206  601677.SH\n",
       "5981 201206  601688.SH\n",
       "5982 201206  601700.SH\n",
       "5983 201206  601718.SH\n",
       "5984 201206  601766.SH\n",
       "5985 201206  601777.SH\n",
       "5986 201206  601788.SH\n",
       "5987 201206  601798.SH\n",
       "5988 201206  601799.SH\n",
       "5989 201206  601808.SH\n",
       "5990 201206  601818.SH\n",
       "5991 201206  601857.SH\n",
       "5992 201206  601872.SH\n",
       "5993 201206  601877.SH\n",
       "5994 201206  601880.SH\n",
       "5995 201206  601886.SH\n",
       "5996 201206  601888.SH\n",
       "5997 201206  601899.SH\n",
       "5998 201206  601901.SH\n",
       "5999 201206  601919.SH\n",
       "6000 201206  601928.SH\n",
       "6001 201206  601929.SH\n",
       "6002 201206  601933.SH\n",
       "6003 201206  601939.SH\n",
       "6004 201206  601988.SH\n",
       "6005 201206  601991.SH\n",
       "6006 201206  601996.SH\n",
       "6007 201206  601998.SH\n",
       "6008 201206  603000.SH\n",
       "6009 201206  603001.SH"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, mkt_weight = capt/sum(capt), symbol), keyby = .(date)\n",
    "    ][, .(mkt_ret = sum(mkt_weight * stkcd_ret), stkcd_ret, symbol, date_ym = str_sub(date, start = 1, end = 6)), keyby = .(date)\n",
    "    ][, .(stkcd_m_ret = mean(stkcd_ret), date, mkt_ret), keyby = .(symbol, date_ym)\n",
    "    ][, .(stkcd_m_ret, symbol, date, mkt_m_ret = mean(mkt_ret)), keyby = .(date_ym)\n",
    "    ][stkcd_m_ret > 2*mkt_m_ret, .(symbol = unique(symbol)), keyby = .(date_ym)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *42. 每个月中，个股月收益超过行业月收益1倍以上的股票有哪些？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 56,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 5821 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date_ym</th><th scope=col>symbol</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>201201</td><td>000001.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000006.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000007.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000009.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000012.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000017.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000018.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000020.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000021.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000022.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000029.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000030.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000033.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000034.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000036.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000037.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000039.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000040.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000042.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000043.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000045.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000059.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000060.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000069.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000089.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000096.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000100.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000155.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000157.SZ</td></tr>\n",
       "\t<tr><td>201201</td><td>000159.SZ</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>201206</td><td>601777.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601788.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601798.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601799.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601808.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601818.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601857.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601872.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601877.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601880.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601886.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601888.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601890.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601899.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601901.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601919.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601928.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601929.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601933.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601939.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601958.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601988.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601991.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601996.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>601998.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>603000.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>603001.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>603002.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>603123.SH</td></tr>\n",
       "\t<tr><td>201206</td><td>603366.SH</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 5821 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date\\_ym & symbol\\\\\n",
       " <chr> & <chr>\\\\\n",
       "\\hline\n",
       "\t 201201 & 000001.SZ\\\\\n",
       "\t 201201 & 000006.SZ\\\\\n",
       "\t 201201 & 000007.SZ\\\\\n",
       "\t 201201 & 000009.SZ\\\\\n",
       "\t 201201 & 000012.SZ\\\\\n",
       "\t 201201 & 000017.SZ\\\\\n",
       "\t 201201 & 000018.SZ\\\\\n",
       "\t 201201 & 000020.SZ\\\\\n",
       "\t 201201 & 000021.SZ\\\\\n",
       "\t 201201 & 000022.SZ\\\\\n",
       "\t 201201 & 000029.SZ\\\\\n",
       "\t 201201 & 000030.SZ\\\\\n",
       "\t 201201 & 000033.SZ\\\\\n",
       "\t 201201 & 000034.SZ\\\\\n",
       "\t 201201 & 000036.SZ\\\\\n",
       "\t 201201 & 000037.SZ\\\\\n",
       "\t 201201 & 000039.SZ\\\\\n",
       "\t 201201 & 000040.SZ\\\\\n",
       "\t 201201 & 000042.SZ\\\\\n",
       "\t 201201 & 000043.SZ\\\\\n",
       "\t 201201 & 000045.SZ\\\\\n",
       "\t 201201 & 000059.SZ\\\\\n",
       "\t 201201 & 000060.SZ\\\\\n",
       "\t 201201 & 000069.SZ\\\\\n",
       "\t 201201 & 000089.SZ\\\\\n",
       "\t 201201 & 000096.SZ\\\\\n",
       "\t 201201 & 000100.SZ\\\\\n",
       "\t 201201 & 000155.SZ\\\\\n",
       "\t 201201 & 000157.SZ\\\\\n",
       "\t 201201 & 000159.SZ\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 201206 & 601777.SH\\\\\n",
       "\t 201206 & 601788.SH\\\\\n",
       "\t 201206 & 601798.SH\\\\\n",
       "\t 201206 & 601799.SH\\\\\n",
       "\t 201206 & 601808.SH\\\\\n",
       "\t 201206 & 601818.SH\\\\\n",
       "\t 201206 & 601857.SH\\\\\n",
       "\t 201206 & 601872.SH\\\\\n",
       "\t 201206 & 601877.SH\\\\\n",
       "\t 201206 & 601880.SH\\\\\n",
       "\t 201206 & 601886.SH\\\\\n",
       "\t 201206 & 601888.SH\\\\\n",
       "\t 201206 & 601890.SH\\\\\n",
       "\t 201206 & 601899.SH\\\\\n",
       "\t 201206 & 601901.SH\\\\\n",
       "\t 201206 & 601919.SH\\\\\n",
       "\t 201206 & 601928.SH\\\\\n",
       "\t 201206 & 601929.SH\\\\\n",
       "\t 201206 & 601933.SH\\\\\n",
       "\t 201206 & 601939.SH\\\\\n",
       "\t 201206 & 601958.SH\\\\\n",
       "\t 201206 & 601988.SH\\\\\n",
       "\t 201206 & 601991.SH\\\\\n",
       "\t 201206 & 601996.SH\\\\\n",
       "\t 201206 & 601998.SH\\\\\n",
       "\t 201206 & 603000.SH\\\\\n",
       "\t 201206 & 603001.SH\\\\\n",
       "\t 201206 & 603002.SH\\\\\n",
       "\t 201206 & 603123.SH\\\\\n",
       "\t 201206 & 603366.SH\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 5821 × 2\n",
       "\n",
       "| date_ym &lt;chr&gt; | symbol &lt;chr&gt; |\n",
       "|---|---|\n",
       "| 201201 | 000001.SZ |\n",
       "| 201201 | 000006.SZ |\n",
       "| 201201 | 000007.SZ |\n",
       "| 201201 | 000009.SZ |\n",
       "| 201201 | 000012.SZ |\n",
       "| 201201 | 000017.SZ |\n",
       "| 201201 | 000018.SZ |\n",
       "| 201201 | 000020.SZ |\n",
       "| 201201 | 000021.SZ |\n",
       "| 201201 | 000022.SZ |\n",
       "| 201201 | 000029.SZ |\n",
       "| 201201 | 000030.SZ |\n",
       "| 201201 | 000033.SZ |\n",
       "| 201201 | 000034.SZ |\n",
       "| 201201 | 000036.SZ |\n",
       "| 201201 | 000037.SZ |\n",
       "| 201201 | 000039.SZ |\n",
       "| 201201 | 000040.SZ |\n",
       "| 201201 | 000042.SZ |\n",
       "| 201201 | 000043.SZ |\n",
       "| 201201 | 000045.SZ |\n",
       "| 201201 | 000059.SZ |\n",
       "| 201201 | 000060.SZ |\n",
       "| 201201 | 000069.SZ |\n",
       "| 201201 | 000089.SZ |\n",
       "| 201201 | 000096.SZ |\n",
       "| 201201 | 000100.SZ |\n",
       "| 201201 | 000155.SZ |\n",
       "| 201201 | 000157.SZ |\n",
       "| 201201 | 000159.SZ |\n",
       "| ... | ... |\n",
       "| 201206 | 601777.SH |\n",
       "| 201206 | 601788.SH |\n",
       "| 201206 | 601798.SH |\n",
       "| 201206 | 601799.SH |\n",
       "| 201206 | 601808.SH |\n",
       "| 201206 | 601818.SH |\n",
       "| 201206 | 601857.SH |\n",
       "| 201206 | 601872.SH |\n",
       "| 201206 | 601877.SH |\n",
       "| 201206 | 601880.SH |\n",
       "| 201206 | 601886.SH |\n",
       "| 201206 | 601888.SH |\n",
       "| 201206 | 601890.SH |\n",
       "| 201206 | 601899.SH |\n",
       "| 201206 | 601901.SH |\n",
       "| 201206 | 601919.SH |\n",
       "| 201206 | 601928.SH |\n",
       "| 201206 | 601929.SH |\n",
       "| 201206 | 601933.SH |\n",
       "| 201206 | 601939.SH |\n",
       "| 201206 | 601958.SH |\n",
       "| 201206 | 601988.SH |\n",
       "| 201206 | 601991.SH |\n",
       "| 201206 | 601996.SH |\n",
       "| 201206 | 601998.SH |\n",
       "| 201206 | 603000.SH |\n",
       "| 201206 | 603001.SH |\n",
       "| 201206 | 603002.SH |\n",
       "| 201206 | 603123.SH |\n",
       "| 201206 | 603366.SH |\n",
       "\n"
      ],
      "text/plain": [
       "     date_ym symbol   \n",
       "1    201201  000001.SZ\n",
       "2    201201  000006.SZ\n",
       "3    201201  000007.SZ\n",
       "4    201201  000009.SZ\n",
       "5    201201  000012.SZ\n",
       "6    201201  000017.SZ\n",
       "7    201201  000018.SZ\n",
       "8    201201  000020.SZ\n",
       "9    201201  000021.SZ\n",
       "10   201201  000022.SZ\n",
       "11   201201  000029.SZ\n",
       "12   201201  000030.SZ\n",
       "13   201201  000033.SZ\n",
       "14   201201  000034.SZ\n",
       "15   201201  000036.SZ\n",
       "16   201201  000037.SZ\n",
       "17   201201  000039.SZ\n",
       "18   201201  000040.SZ\n",
       "19   201201  000042.SZ\n",
       "20   201201  000043.SZ\n",
       "21   201201  000045.SZ\n",
       "22   201201  000059.SZ\n",
       "23   201201  000060.SZ\n",
       "24   201201  000069.SZ\n",
       "25   201201  000089.SZ\n",
       "26   201201  000096.SZ\n",
       "27   201201  000100.SZ\n",
       "28   201201  000155.SZ\n",
       "29   201201  000157.SZ\n",
       "30   201201  000159.SZ\n",
       "...  ...     ...      \n",
       "5792 201206  601777.SH\n",
       "5793 201206  601788.SH\n",
       "5794 201206  601798.SH\n",
       "5795 201206  601799.SH\n",
       "5796 201206  601808.SH\n",
       "5797 201206  601818.SH\n",
       "5798 201206  601857.SH\n",
       "5799 201206  601872.SH\n",
       "5800 201206  601877.SH\n",
       "5801 201206  601880.SH\n",
       "5802 201206  601886.SH\n",
       "5803 201206  601888.SH\n",
       "5804 201206  601890.SH\n",
       "5805 201206  601899.SH\n",
       "5806 201206  601901.SH\n",
       "5807 201206  601919.SH\n",
       "5808 201206  601928.SH\n",
       "5809 201206  601929.SH\n",
       "5810 201206  601933.SH\n",
       "5811 201206  601939.SH\n",
       "5812 201206  601958.SH\n",
       "5813 201206  601988.SH\n",
       "5814 201206  601991.SH\n",
       "5815 201206  601996.SH\n",
       "5816 201206  601998.SH\n",
       "5817 201206  603000.SH\n",
       "5818 201206  603001.SH\n",
       "5819 201206  603002.SH\n",
       "5820 201206  603123.SH\n",
       "5821 201206  603366.SH"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, ind_weight = capt/sum(capt), symbol), keyby = .(industry, date)\n",
    "    ][, .(ind_ret = sum(ind_weight * stkcd_ret), stkcd_ret, symbol, date_ym = str_sub(date, start = 1, end = 6)), keyby = .(industry, date)\n",
    "    ][, .(stkcd_m_ret = mean(stkcd_ret), date, ind_ret), keyby = .(symbol, date_ym)\n",
    "    ][, .(stkcd_m_ret, symbol, date, ind_m_ret = mean(ind_ret)), keyby = .(date_ym)\n",
    "    ][stkcd_m_ret > 2*ind_m_ret, .(symbol = unique(symbol)), keyby = .(date_ym)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *43. 每个股票的收益率对市场收益率的相关系数最高的10个股票是哪些？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 57,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\"Warning message in cor(stkcd_ret, mkt_ret):\n",
      "\"the standard deviation is zero\""
     ]
    },
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 10 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>symbol</th><th scope=col>cor_coef</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>300331.SZ</td><td>1.0000000</td></tr>\n",
       "\t<tr><td>600508.SH</td><td>0.9279554</td></tr>\n",
       "\t<tr><td>601101.SH</td><td>0.9097758</td></tr>\n",
       "\t<tr><td>000685.SZ</td><td>0.8979148</td></tr>\n",
       "\t<tr><td>601666.SH</td><td>0.8939529</td></tr>\n",
       "\t<tr><td>002082.SZ</td><td>0.8932496</td></tr>\n",
       "\t<tr><td>002212.SZ</td><td>0.8919200</td></tr>\n",
       "\t<tr><td>601001.SH</td><td>0.8918933</td></tr>\n",
       "\t<tr><td>000089.SZ</td><td>0.8914474</td></tr>\n",
       "\t<tr><td>601168.SH</td><td>0.8888058</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 10 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " symbol & cor\\_coef\\\\\n",
       " <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 300331.SZ & 1.0000000\\\\\n",
       "\t 600508.SH & 0.9279554\\\\\n",
       "\t 601101.SH & 0.9097758\\\\\n",
       "\t 000685.SZ & 0.8979148\\\\\n",
       "\t 601666.SH & 0.8939529\\\\\n",
       "\t 002082.SZ & 0.8932496\\\\\n",
       "\t 002212.SZ & 0.8919200\\\\\n",
       "\t 601001.SH & 0.8918933\\\\\n",
       "\t 000089.SZ & 0.8914474\\\\\n",
       "\t 601168.SH & 0.8888058\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 10 × 2\n",
       "\n",
       "| symbol &lt;chr&gt; | cor_coef &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| 300331.SZ | 1.0000000 |\n",
       "| 600508.SH | 0.9279554 |\n",
       "| 601101.SH | 0.9097758 |\n",
       "| 000685.SZ | 0.8979148 |\n",
       "| 601666.SH | 0.8939529 |\n",
       "| 002082.SZ | 0.8932496 |\n",
       "| 002212.SZ | 0.8919200 |\n",
       "| 601001.SH | 0.8918933 |\n",
       "| 000089.SZ | 0.8914474 |\n",
       "| 601168.SH | 0.8888058 |\n",
       "\n"
      ],
      "text/plain": [
       "   symbol    cor_coef \n",
       "1  300331.SZ 1.0000000\n",
       "2  600508.SH 0.9279554\n",
       "3  601101.SH 0.9097758\n",
       "4  000685.SZ 0.8979148\n",
       "5  601666.SH 0.8939529\n",
       "6  002082.SZ 0.8932496\n",
       "7  002212.SZ 0.8919200\n",
       "8  601001.SH 0.8918933\n",
       "9  000089.SZ 0.8914474\n",
       "10 601168.SH 0.8888058"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, mkt_weight = capt/sum(capt), symbol), keyby = .(date)\n",
    "    ][, .(stkcd_ret, mkt_ret = sum(mkt_weight * stkcd_ret), symbol), keyby = .(date)\n",
    "    ][, .(cor_coef = cor(stkcd_ret, mkt_ret)), keyby = symbol\n",
    "    ][order(-cor_coef), .SD[1:10]]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *44. 每个行业日收益率的历史波动率是多少？（用日收益率计算标准差）*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 58,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 32 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>ind_vol</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>AERODEF </td><td>0.017499519</td></tr>\n",
       "\t<tr><td>AIRLINE </td><td>0.017127041</td></tr>\n",
       "\t<tr><td>AUTO    </td><td>0.015096513</td></tr>\n",
       "\t<tr><td>BANKS   </td><td>0.008105859</td></tr>\n",
       "\t<tr><td>BEV     </td><td>0.016407569</td></tr>\n",
       "\t<tr><td>BLDPROD </td><td>0.016608454</td></tr>\n",
       "\t<tr><td>CHEM    </td><td>0.017265568</td></tr>\n",
       "\t<tr><td>CNSTENG </td><td>0.015309948</td></tr>\n",
       "\t<tr><td>COMSERV </td><td>0.017256929</td></tr>\n",
       "\t<tr><td>CONMAT  </td><td>0.021499559</td></tr>\n",
       "\t<tr><td>CONSSERV</td><td>0.014880445</td></tr>\n",
       "\t<tr><td>DVFININS</td><td>0.018947275</td></tr>\n",
       "\t<tr><td>ELECEQP </td><td>0.016272932</td></tr>\n",
       "\t<tr><td>ENERGY  </td><td>0.010657638</td></tr>\n",
       "\t<tr><td>FOODPROD</td><td>0.015784999</td></tr>\n",
       "\t<tr><td>HDWRSEMI</td><td>0.015933517</td></tr>\n",
       "\t<tr><td>HEALTH  </td><td>0.015500388</td></tr>\n",
       "\t<tr><td>HOUSEDUR</td><td>0.015174520</td></tr>\n",
       "\t<tr><td>INDCONG </td><td>0.019694102</td></tr>\n",
       "\t<tr><td>LEISLUX </td><td>0.015416494</td></tr>\n",
       "\t<tr><td>MACH    </td><td>0.016835870</td></tr>\n",
       "\t<tr><td>MARINE  </td><td>0.018242449</td></tr>\n",
       "\t<tr><td>MATERIAL</td><td>0.015679706</td></tr>\n",
       "\t<tr><td>MEDIA   </td><td>0.018031674</td></tr>\n",
       "\t<tr><td>MTLMIN  </td><td>0.017471696</td></tr>\n",
       "\t<tr><td>PERSPRD </td><td>0.015276960</td></tr>\n",
       "\t<tr><td>RDRLTRAN</td><td>0.009676438</td></tr>\n",
       "\t<tr><td>REALEST </td><td>0.017360888</td></tr>\n",
       "\t<tr><td>RETAIL  </td><td>0.015780145</td></tr>\n",
       "\t<tr><td>SOFTWARE</td><td>0.018210055</td></tr>\n",
       "\t<tr><td>TRDDIST </td><td>0.017189914</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0.011773004</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 32 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " industry & ind\\_vol\\\\\n",
       " <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t AERODEF  & 0.017499519\\\\\n",
       "\t AIRLINE  & 0.017127041\\\\\n",
       "\t AUTO     & 0.015096513\\\\\n",
       "\t BANKS    & 0.008105859\\\\\n",
       "\t BEV      & 0.016407569\\\\\n",
       "\t BLDPROD  & 0.016608454\\\\\n",
       "\t CHEM     & 0.017265568\\\\\n",
       "\t CNSTENG  & 0.015309948\\\\\n",
       "\t COMSERV  & 0.017256929\\\\\n",
       "\t CONMAT   & 0.021499559\\\\\n",
       "\t CONSSERV & 0.014880445\\\\\n",
       "\t DVFININS & 0.018947275\\\\\n",
       "\t ELECEQP  & 0.016272932\\\\\n",
       "\t ENERGY   & 0.010657638\\\\\n",
       "\t FOODPROD & 0.015784999\\\\\n",
       "\t HDWRSEMI & 0.015933517\\\\\n",
       "\t HEALTH   & 0.015500388\\\\\n",
       "\t HOUSEDUR & 0.015174520\\\\\n",
       "\t INDCONG  & 0.019694102\\\\\n",
       "\t LEISLUX  & 0.015416494\\\\\n",
       "\t MACH     & 0.016835870\\\\\n",
       "\t MARINE   & 0.018242449\\\\\n",
       "\t MATERIAL & 0.015679706\\\\\n",
       "\t MEDIA    & 0.018031674\\\\\n",
       "\t MTLMIN   & 0.017471696\\\\\n",
       "\t PERSPRD  & 0.015276960\\\\\n",
       "\t RDRLTRAN & 0.009676438\\\\\n",
       "\t REALEST  & 0.017360888\\\\\n",
       "\t RETAIL   & 0.015780145\\\\\n",
       "\t SOFTWARE & 0.018210055\\\\\n",
       "\t TRDDIST  & 0.017189914\\\\\n",
       "\t UTILITIE & 0.011773004\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 32 × 2\n",
       "\n",
       "| industry &lt;chr&gt; | ind_vol &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| AERODEF  | 0.017499519 |\n",
       "| AIRLINE  | 0.017127041 |\n",
       "| AUTO     | 0.015096513 |\n",
       "| BANKS    | 0.008105859 |\n",
       "| BEV      | 0.016407569 |\n",
       "| BLDPROD  | 0.016608454 |\n",
       "| CHEM     | 0.017265568 |\n",
       "| CNSTENG  | 0.015309948 |\n",
       "| COMSERV  | 0.017256929 |\n",
       "| CONMAT   | 0.021499559 |\n",
       "| CONSSERV | 0.014880445 |\n",
       "| DVFININS | 0.018947275 |\n",
       "| ELECEQP  | 0.016272932 |\n",
       "| ENERGY   | 0.010657638 |\n",
       "| FOODPROD | 0.015784999 |\n",
       "| HDWRSEMI | 0.015933517 |\n",
       "| HEALTH   | 0.015500388 |\n",
       "| HOUSEDUR | 0.015174520 |\n",
       "| INDCONG  | 0.019694102 |\n",
       "| LEISLUX  | 0.015416494 |\n",
       "| MACH     | 0.016835870 |\n",
       "| MARINE   | 0.018242449 |\n",
       "| MATERIAL | 0.015679706 |\n",
       "| MEDIA    | 0.018031674 |\n",
       "| MTLMIN   | 0.017471696 |\n",
       "| PERSPRD  | 0.015276960 |\n",
       "| RDRLTRAN | 0.009676438 |\n",
       "| REALEST  | 0.017360888 |\n",
       "| RETAIL   | 0.015780145 |\n",
       "| SOFTWARE | 0.018210055 |\n",
       "| TRDDIST  | 0.017189914 |\n",
       "| UTILITIE | 0.011773004 |\n",
       "\n"
      ],
      "text/plain": [
       "   industry ind_vol    \n",
       "1  AERODEF  0.017499519\n",
       "2  AIRLINE  0.017127041\n",
       "3  AUTO     0.015096513\n",
       "4  BANKS    0.008105859\n",
       "5  BEV      0.016407569\n",
       "6  BLDPROD  0.016608454\n",
       "7  CHEM     0.017265568\n",
       "8  CNSTENG  0.015309948\n",
       "9  COMSERV  0.017256929\n",
       "10 CONMAT   0.021499559\n",
       "11 CONSSERV 0.014880445\n",
       "12 DVFININS 0.018947275\n",
       "13 ELECEQP  0.016272932\n",
       "14 ENERGY   0.010657638\n",
       "15 FOODPROD 0.015784999\n",
       "16 HDWRSEMI 0.015933517\n",
       "17 HEALTH   0.015500388\n",
       "18 HOUSEDUR 0.015174520\n",
       "19 INDCONG  0.019694102\n",
       "20 LEISLUX  0.015416494\n",
       "21 MACH     0.016835870\n",
       "22 MARINE   0.018242449\n",
       "23 MATERIAL 0.015679706\n",
       "24 MEDIA    0.018031674\n",
       "25 MTLMIN   0.017471696\n",
       "26 PERSPRD  0.015276960\n",
       "27 RDRLTRAN 0.009676438\n",
       "28 REALEST  0.017360888\n",
       "29 RETAIL   0.015780145\n",
       "30 SOFTWARE 0.018210055\n",
       "31 TRDDIST  0.017189914\n",
       "32 UTILITIE 0.011773004"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, ind_weight = capt/sum(capt), symbol), keyby = .(industry, date)\n",
    "    ][, .(ind_ret = sum(stkcd_ret * ind_weight)), keyby = .(industry, date)\n",
    "    ][, .(ind_vol = sd(ind_ret)), keyby = .(industry)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *45. 各个行业的日收益率的相关系数矩阵如何？哪两个行业相关性最高、最低？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 59,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A matrix: 2 × 2 of type int</caption>\n",
       "<thead>\n",
       "\t<tr><th></th><th scope=col>row</th><th scope=col>col</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><th scope=row>HDWRSEMI</th><td>16</td><td>13</td></tr>\n",
       "\t<tr><th scope=row>ELECEQP</th><td>13</td><td>16</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A matrix: 2 × 2 of type int\n",
       "\\begin{tabular}{r|ll}\n",
       "  & row & col\\\\\n",
       "\\hline\n",
       "\tHDWRSEMI & 16 & 13\\\\\n",
       "\tELECEQP & 13 & 16\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A matrix: 2 × 2 of type int\n",
       "\n",
       "| <!--/--> | row | col |\n",
       "|---|---|---|\n",
       "| HDWRSEMI | 16 | 13 |\n",
       "| ELECEQP | 13 | 16 |\n",
       "\n"
      ],
      "text/plain": [
       "         row col\n",
       "HDWRSEMI 16  13 \n",
       "ELECEQP  13  16 "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    },
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A matrix: 2 × 2 of type int</caption>\n",
       "<thead>\n",
       "\t<tr><th></th><th scope=col>row</th><th scope=col>col</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><th scope=row>BEV</th><td>5</td><td>4</td></tr>\n",
       "\t<tr><th scope=row>BANKS</th><td>4</td><td>5</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A matrix: 2 × 2 of type int\n",
       "\\begin{tabular}{r|ll}\n",
       "  & row & col\\\\\n",
       "\\hline\n",
       "\tBEV & 5 & 4\\\\\n",
       "\tBANKS & 4 & 5\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A matrix: 2 × 2 of type int\n",
       "\n",
       "| <!--/--> | row | col |\n",
       "|---|---|---|\n",
       "| BEV | 5 | 4 |\n",
       "| BANKS | 4 | 5 |\n",
       "\n"
      ],
      "text/plain": [
       "      row col\n",
       "BEV   5   4  \n",
       "BANKS 4   5  "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "cor.coef <- data[, .(stkcd_ret = close/pre_close - 1, ind_weight = capt/sum(capt), symbol, capt), keyby = .(industry, date)\n",
    "    ][, .(ind_ret = sum(stkcd_ret * ind_weight)), keyby = .(industry, date)\n",
    "    ][,  dcast(.SD, date ~ industry, value.var = \"ind_ret\")\n",
    "    ][, cor(.SD[, -1])]\n",
    "which(max(cor.coef[cor.coef != 1]) == cor.coef, arr.ind = TRUE)\n",
    "which(min(cor.coef) == cor.coef, arr.ind = TRUE)\n",
    "rm(cor.coef)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *46. 各个行业的收益率对市场收益率的相关系数由高到低排列如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 60,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 32 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>cor_coef</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>TRDDIST </td><td>0.9519013</td></tr>\n",
       "\t<tr><td>MACH    </td><td>0.9511527</td></tr>\n",
       "\t<tr><td>CHEM    </td><td>0.9455305</td></tr>\n",
       "\t<tr><td>ELECEQP </td><td>0.9451663</td></tr>\n",
       "\t<tr><td>CNSTENG </td><td>0.9446049</td></tr>\n",
       "\t<tr><td>LEISLUX </td><td>0.9349492</td></tr>\n",
       "\t<tr><td>HDWRSEMI</td><td>0.9285804</td></tr>\n",
       "\t<tr><td>ENERGY  </td><td>0.9156957</td></tr>\n",
       "\t<tr><td>AUTO    </td><td>0.9156441</td></tr>\n",
       "\t<tr><td>RETAIL  </td><td>0.9143200</td></tr>\n",
       "\t<tr><td>MTLMIN  </td><td>0.9135430</td></tr>\n",
       "\t<tr><td>RDRLTRAN</td><td>0.9128735</td></tr>\n",
       "\t<tr><td>CONSSERV</td><td>0.9110748</td></tr>\n",
       "\t<tr><td>FOODPROD</td><td>0.8960934</td></tr>\n",
       "\t<tr><td>PERSPRD </td><td>0.8906650</td></tr>\n",
       "\t<tr><td>DVFININS</td><td>0.8863372</td></tr>\n",
       "\t<tr><td>BLDPROD </td><td>0.8859437</td></tr>\n",
       "\t<tr><td>CONMAT  </td><td>0.8818781</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0.8782033</td></tr>\n",
       "\t<tr><td>HOUSEDUR</td><td>0.8779418</td></tr>\n",
       "\t<tr><td>COMSERV </td><td>0.8776912</td></tr>\n",
       "\t<tr><td>INDCONG </td><td>0.8773895</td></tr>\n",
       "\t<tr><td>AIRLINE </td><td>0.8719829</td></tr>\n",
       "\t<tr><td>MEDIA   </td><td>0.8685653</td></tr>\n",
       "\t<tr><td>SOFTWARE</td><td>0.8662672</td></tr>\n",
       "\t<tr><td>MARINE  </td><td>0.8593283</td></tr>\n",
       "\t<tr><td>MATERIAL</td><td>0.8568285</td></tr>\n",
       "\t<tr><td>REALEST </td><td>0.8480311</td></tr>\n",
       "\t<tr><td>HEALTH  </td><td>0.8270723</td></tr>\n",
       "\t<tr><td>AERODEF </td><td>0.7937509</td></tr>\n",
       "\t<tr><td>BANKS   </td><td>0.7389285</td></tr>\n",
       "\t<tr><td>BEV     </td><td>0.6570517</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 32 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " industry & cor\\_coef\\\\\n",
       " <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t TRDDIST  & 0.9519013\\\\\n",
       "\t MACH     & 0.9511527\\\\\n",
       "\t CHEM     & 0.9455305\\\\\n",
       "\t ELECEQP  & 0.9451663\\\\\n",
       "\t CNSTENG  & 0.9446049\\\\\n",
       "\t LEISLUX  & 0.9349492\\\\\n",
       "\t HDWRSEMI & 0.9285804\\\\\n",
       "\t ENERGY   & 0.9156957\\\\\n",
       "\t AUTO     & 0.9156441\\\\\n",
       "\t RETAIL   & 0.9143200\\\\\n",
       "\t MTLMIN   & 0.9135430\\\\\n",
       "\t RDRLTRAN & 0.9128735\\\\\n",
       "\t CONSSERV & 0.9110748\\\\\n",
       "\t FOODPROD & 0.8960934\\\\\n",
       "\t PERSPRD  & 0.8906650\\\\\n",
       "\t DVFININS & 0.8863372\\\\\n",
       "\t BLDPROD  & 0.8859437\\\\\n",
       "\t CONMAT   & 0.8818781\\\\\n",
       "\t UTILITIE & 0.8782033\\\\\n",
       "\t HOUSEDUR & 0.8779418\\\\\n",
       "\t COMSERV  & 0.8776912\\\\\n",
       "\t INDCONG  & 0.8773895\\\\\n",
       "\t AIRLINE  & 0.8719829\\\\\n",
       "\t MEDIA    & 0.8685653\\\\\n",
       "\t SOFTWARE & 0.8662672\\\\\n",
       "\t MARINE   & 0.8593283\\\\\n",
       "\t MATERIAL & 0.8568285\\\\\n",
       "\t REALEST  & 0.8480311\\\\\n",
       "\t HEALTH   & 0.8270723\\\\\n",
       "\t AERODEF  & 0.7937509\\\\\n",
       "\t BANKS    & 0.7389285\\\\\n",
       "\t BEV      & 0.6570517\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 32 × 2\n",
       "\n",
       "| industry &lt;chr&gt; | cor_coef &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| TRDDIST  | 0.9519013 |\n",
       "| MACH     | 0.9511527 |\n",
       "| CHEM     | 0.9455305 |\n",
       "| ELECEQP  | 0.9451663 |\n",
       "| CNSTENG  | 0.9446049 |\n",
       "| LEISLUX  | 0.9349492 |\n",
       "| HDWRSEMI | 0.9285804 |\n",
       "| ENERGY   | 0.9156957 |\n",
       "| AUTO     | 0.9156441 |\n",
       "| RETAIL   | 0.9143200 |\n",
       "| MTLMIN   | 0.9135430 |\n",
       "| RDRLTRAN | 0.9128735 |\n",
       "| CONSSERV | 0.9110748 |\n",
       "| FOODPROD | 0.8960934 |\n",
       "| PERSPRD  | 0.8906650 |\n",
       "| DVFININS | 0.8863372 |\n",
       "| BLDPROD  | 0.8859437 |\n",
       "| CONMAT   | 0.8818781 |\n",
       "| UTILITIE | 0.8782033 |\n",
       "| HOUSEDUR | 0.8779418 |\n",
       "| COMSERV  | 0.8776912 |\n",
       "| INDCONG  | 0.8773895 |\n",
       "| AIRLINE  | 0.8719829 |\n",
       "| MEDIA    | 0.8685653 |\n",
       "| SOFTWARE | 0.8662672 |\n",
       "| MARINE   | 0.8593283 |\n",
       "| MATERIAL | 0.8568285 |\n",
       "| REALEST  | 0.8480311 |\n",
       "| HEALTH   | 0.8270723 |\n",
       "| AERODEF  | 0.7937509 |\n",
       "| BANKS    | 0.7389285 |\n",
       "| BEV      | 0.6570517 |\n",
       "\n"
      ],
      "text/plain": [
       "   industry cor_coef \n",
       "1  TRDDIST  0.9519013\n",
       "2  MACH     0.9511527\n",
       "3  CHEM     0.9455305\n",
       "4  ELECEQP  0.9451663\n",
       "5  CNSTENG  0.9446049\n",
       "6  LEISLUX  0.9349492\n",
       "7  HDWRSEMI 0.9285804\n",
       "8  ENERGY   0.9156957\n",
       "9  AUTO     0.9156441\n",
       "10 RETAIL   0.9143200\n",
       "11 MTLMIN   0.9135430\n",
       "12 RDRLTRAN 0.9128735\n",
       "13 CONSSERV 0.9110748\n",
       "14 FOODPROD 0.8960934\n",
       "15 PERSPRD  0.8906650\n",
       "16 DVFININS 0.8863372\n",
       "17 BLDPROD  0.8859437\n",
       "18 CONMAT   0.8818781\n",
       "19 UTILITIE 0.8782033\n",
       "20 HOUSEDUR 0.8779418\n",
       "21 COMSERV  0.8776912\n",
       "22 INDCONG  0.8773895\n",
       "23 AIRLINE  0.8719829\n",
       "24 MEDIA    0.8685653\n",
       "25 SOFTWARE 0.8662672\n",
       "26 MARINE   0.8593283\n",
       "27 MATERIAL 0.8568285\n",
       "28 REALEST  0.8480311\n",
       "29 HEALTH   0.8270723\n",
       "30 AERODEF  0.7937509\n",
       "31 BANKS    0.7389285\n",
       "32 BEV      0.6570517"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, symbol, ind_weight = capt/sum(capt), capt), keyby = .(industry,date)\n",
    "    ][, .(ind_ret = sum(ind_weight*stkcd_ret), stkcd_ret, symbol, capt), keyby = .(industry, date)\n",
    "    ][, .(ind_ret, mkt_weight = capt/sum(capt), stkcd_ret, industry), keyby = date\n",
    "    ][, .(ind_ret, mkt_ret = sum(mkt_weight*stkcd_ret), industry), keyby = date\n",
    "    ][, unique(.SD)\n",
    "    ][, .(cor_coef = cor(ind_ret, mkt_ret)), keyby = .(industry)\n",
    "    ][order(-cor_coef)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *47. 每个月总成交额比上个月下降幅度最大的行业是哪个？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 61,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 4 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date_ym</th><th scope=col>industry</th><th scope=col>dn_m_range</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>201203</td><td>CONMAT </td><td> -21752549725</td></tr>\n",
       "\t<tr><td>201204</td><td>MTLMIN </td><td>-165775634730</td></tr>\n",
       "\t<tr><td>201205</td><td>REALEST</td><td>  -4528375663</td></tr>\n",
       "\t<tr><td>201206</td><td>MTLMIN </td><td>-123271994315</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 4 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " date\\_ym & industry & dn\\_m\\_range\\\\\n",
       " <chr> & <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 201203 & CONMAT  &  -21752549725\\\\\n",
       "\t 201204 & MTLMIN  & -165775634730\\\\\n",
       "\t 201205 & REALEST &   -4528375663\\\\\n",
       "\t 201206 & MTLMIN  & -123271994315\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 4 × 3\n",
       "\n",
       "| date_ym &lt;chr&gt; | industry &lt;chr&gt; | dn_m_range &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| 201203 | CONMAT  |  -21752549725 |\n",
       "| 201204 | MTLMIN  | -165775634730 |\n",
       "| 201205 | REALEST |   -4528375663 |\n",
       "| 201206 | MTLMIN  | -123271994315 |\n",
       "\n"
      ],
      "text/plain": [
       "  date_ym industry dn_m_range   \n",
       "1 201203  CONMAT    -21752549725\n",
       "2 201204  MTLMIN   -165775634730\n",
       "3 201205  REALEST    -4528375663\n",
       "4 201206  MTLMIN   -123271994315"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(date_ym = str_sub(date, start = 1, end = 6), amount), keyby = .(industry, date)\n",
    "    ][, .(ind_m_amount = sum(amount)), keyby = .(industry, date_ym)\n",
    "    ][, .(dn_m_range = {\n",
    "        a <- vector()\n",
    "        for (t in 2:.N) {\n",
    "            a[t] <- ind_m_amount[t] - ind_m_amount[t-1]\n",
    "        }\n",
    "        a \n",
    "    }, date_ym = date_ym), keyby = industry\n",
    "    ][!is.na(dn_m_range), .SD[min(dn_m_range) == dn_m_range & dn_m_range < 0], keyby = date_ym]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *48. 数据当中各个股票的最大回撤幅度是多少？（最大回撤是从一个高点到低点的降幅的最大值）*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 62,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 2425 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>symbol</th><th scope=col>max_rtrt</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>000001.SZ</td><td> 3.33</td></tr>\n",
       "\t<tr><td>000002.SZ</td><td> 2.43</td></tr>\n",
       "\t<tr><td>000004.SZ</td><td> 2.93</td></tr>\n",
       "\t<tr><td>000005.SZ</td><td> 1.74</td></tr>\n",
       "\t<tr><td>000006.SZ</td><td> 3.00</td></tr>\n",
       "\t<tr><td>000007.SZ</td><td>10.72</td></tr>\n",
       "\t<tr><td>000008.SZ</td><td> 5.98</td></tr>\n",
       "\t<tr><td>000009.SZ</td><td> 5.32</td></tr>\n",
       "\t<tr><td>000010.SZ</td><td> 4.95</td></tr>\n",
       "\t<tr><td>000011.SZ</td><td> 4.26</td></tr>\n",
       "\t<tr><td>000012.SZ</td><td> 3.59</td></tr>\n",
       "\t<tr><td>000014.SZ</td><td> 6.09</td></tr>\n",
       "\t<tr><td>000016.SZ</td><td> 1.37</td></tr>\n",
       "\t<tr><td>000017.SZ</td><td> 1.13</td></tr>\n",
       "\t<tr><td>000018.SZ</td><td> 3.16</td></tr>\n",
       "\t<tr><td>000019.SZ</td><td> 5.02</td></tr>\n",
       "\t<tr><td>000020.SZ</td><td> 3.88</td></tr>\n",
       "\t<tr><td>000021.SZ</td><td> 1.78</td></tr>\n",
       "\t<tr><td>000022.SZ</td><td> 2.34</td></tr>\n",
       "\t<tr><td>000023.SZ</td><td> 3.39</td></tr>\n",
       "\t<tr><td>000024.SZ</td><td> 9.40</td></tr>\n",
       "\t<tr><td>000025.SZ</td><td> 3.55</td></tr>\n",
       "\t<tr><td>000026.SZ</td><td> 3.57</td></tr>\n",
       "\t<tr><td>000027.SZ</td><td> 1.11</td></tr>\n",
       "\t<tr><td>000028.SZ</td><td>12.48</td></tr>\n",
       "\t<tr><td>000029.SZ</td><td> 1.66</td></tr>\n",
       "\t<tr><td>000030.SZ</td><td> 8.43</td></tr>\n",
       "\t<tr><td>000031.SZ</td><td> 1.61</td></tr>\n",
       "\t<tr><td>000032.SZ</td><td> 2.67</td></tr>\n",
       "\t<tr><td>000033.SZ</td><td> 2.37</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>601880.SH</td><td> 0.97</td></tr>\n",
       "\t<tr><td>601886.SH</td><td> 6.58</td></tr>\n",
       "\t<tr><td>601888.SH</td><td> 6.44</td></tr>\n",
       "\t<tr><td>601890.SH</td><td> 3.51</td></tr>\n",
       "\t<tr><td>601898.SH</td><td> 2.72</td></tr>\n",
       "\t<tr><td>601899.SH</td><td> 1.13</td></tr>\n",
       "\t<tr><td>601901.SH</td><td> 1.84</td></tr>\n",
       "\t<tr><td>601908.SH</td><td>20.99</td></tr>\n",
       "\t<tr><td>601918.SH</td><td> 4.95</td></tr>\n",
       "\t<tr><td>601919.SH</td><td> 1.76</td></tr>\n",
       "\t<tr><td>601928.SH</td><td> 2.78</td></tr>\n",
       "\t<tr><td>601929.SH</td><td> 6.65</td></tr>\n",
       "\t<tr><td>601933.SH</td><td> 6.69</td></tr>\n",
       "\t<tr><td>601939.SH</td><td> 0.79</td></tr>\n",
       "\t<tr><td>601958.SH</td><td> 5.47</td></tr>\n",
       "\t<tr><td>601965.SH</td><td> 1.06</td></tr>\n",
       "\t<tr><td>601988.SH</td><td> 0.31</td></tr>\n",
       "\t<tr><td>601989.SH</td><td> 2.31</td></tr>\n",
       "\t<tr><td>601991.SH</td><td> 1.10</td></tr>\n",
       "\t<tr><td>601992.SH</td><td> 4.01</td></tr>\n",
       "\t<tr><td>601996.SH</td><td> 7.50</td></tr>\n",
       "\t<tr><td>601998.SH</td><td> 0.81</td></tr>\n",
       "\t<tr><td>601999.SH</td><td> 2.86</td></tr>\n",
       "\t<tr><td>603000.SH</td><td>17.03</td></tr>\n",
       "\t<tr><td>603001.SH</td><td> 5.14</td></tr>\n",
       "\t<tr><td>603002.SH</td><td> 2.27</td></tr>\n",
       "\t<tr><td>603123.SH</td><td> 4.53</td></tr>\n",
       "\t<tr><td>603128.SH</td><td> 1.78</td></tr>\n",
       "\t<tr><td>603333.SH</td><td> 2.99</td></tr>\n",
       "\t<tr><td>603366.SH</td><td> 3.94</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 2425 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " symbol & max\\_rtrt\\\\\n",
       " <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 000001.SZ &  3.33\\\\\n",
       "\t 000002.SZ &  2.43\\\\\n",
       "\t 000004.SZ &  2.93\\\\\n",
       "\t 000005.SZ &  1.74\\\\\n",
       "\t 000006.SZ &  3.00\\\\\n",
       "\t 000007.SZ & 10.72\\\\\n",
       "\t 000008.SZ &  5.98\\\\\n",
       "\t 000009.SZ &  5.32\\\\\n",
       "\t 000010.SZ &  4.95\\\\\n",
       "\t 000011.SZ &  4.26\\\\\n",
       "\t 000012.SZ &  3.59\\\\\n",
       "\t 000014.SZ &  6.09\\\\\n",
       "\t 000016.SZ &  1.37\\\\\n",
       "\t 000017.SZ &  1.13\\\\\n",
       "\t 000018.SZ &  3.16\\\\\n",
       "\t 000019.SZ &  5.02\\\\\n",
       "\t 000020.SZ &  3.88\\\\\n",
       "\t 000021.SZ &  1.78\\\\\n",
       "\t 000022.SZ &  2.34\\\\\n",
       "\t 000023.SZ &  3.39\\\\\n",
       "\t 000024.SZ &  9.40\\\\\n",
       "\t 000025.SZ &  3.55\\\\\n",
       "\t 000026.SZ &  3.57\\\\\n",
       "\t 000027.SZ &  1.11\\\\\n",
       "\t 000028.SZ & 12.48\\\\\n",
       "\t 000029.SZ &  1.66\\\\\n",
       "\t 000030.SZ &  8.43\\\\\n",
       "\t 000031.SZ &  1.61\\\\\n",
       "\t 000032.SZ &  2.67\\\\\n",
       "\t 000033.SZ &  2.37\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 601880.SH &  0.97\\\\\n",
       "\t 601886.SH &  6.58\\\\\n",
       "\t 601888.SH &  6.44\\\\\n",
       "\t 601890.SH &  3.51\\\\\n",
       "\t 601898.SH &  2.72\\\\\n",
       "\t 601899.SH &  1.13\\\\\n",
       "\t 601901.SH &  1.84\\\\\n",
       "\t 601908.SH & 20.99\\\\\n",
       "\t 601918.SH &  4.95\\\\\n",
       "\t 601919.SH &  1.76\\\\\n",
       "\t 601928.SH &  2.78\\\\\n",
       "\t 601929.SH &  6.65\\\\\n",
       "\t 601933.SH &  6.69\\\\\n",
       "\t 601939.SH &  0.79\\\\\n",
       "\t 601958.SH &  5.47\\\\\n",
       "\t 601965.SH &  1.06\\\\\n",
       "\t 601988.SH &  0.31\\\\\n",
       "\t 601989.SH &  2.31\\\\\n",
       "\t 601991.SH &  1.10\\\\\n",
       "\t 601992.SH &  4.01\\\\\n",
       "\t 601996.SH &  7.50\\\\\n",
       "\t 601998.SH &  0.81\\\\\n",
       "\t 601999.SH &  2.86\\\\\n",
       "\t 603000.SH & 17.03\\\\\n",
       "\t 603001.SH &  5.14\\\\\n",
       "\t 603002.SH &  2.27\\\\\n",
       "\t 603123.SH &  4.53\\\\\n",
       "\t 603128.SH &  1.78\\\\\n",
       "\t 603333.SH &  2.99\\\\\n",
       "\t 603366.SH &  3.94\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 2425 × 2\n",
       "\n",
       "| symbol &lt;chr&gt; | max_rtrt &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| 000001.SZ |  3.33 |\n",
       "| 000002.SZ |  2.43 |\n",
       "| 000004.SZ |  2.93 |\n",
       "| 000005.SZ |  1.74 |\n",
       "| 000006.SZ |  3.00 |\n",
       "| 000007.SZ | 10.72 |\n",
       "| 000008.SZ |  5.98 |\n",
       "| 000009.SZ |  5.32 |\n",
       "| 000010.SZ |  4.95 |\n",
       "| 000011.SZ |  4.26 |\n",
       "| 000012.SZ |  3.59 |\n",
       "| 000014.SZ |  6.09 |\n",
       "| 000016.SZ |  1.37 |\n",
       "| 000017.SZ |  1.13 |\n",
       "| 000018.SZ |  3.16 |\n",
       "| 000019.SZ |  5.02 |\n",
       "| 000020.SZ |  3.88 |\n",
       "| 000021.SZ |  1.78 |\n",
       "| 000022.SZ |  2.34 |\n",
       "| 000023.SZ |  3.39 |\n",
       "| 000024.SZ |  9.40 |\n",
       "| 000025.SZ |  3.55 |\n",
       "| 000026.SZ |  3.57 |\n",
       "| 000027.SZ |  1.11 |\n",
       "| 000028.SZ | 12.48 |\n",
       "| 000029.SZ |  1.66 |\n",
       "| 000030.SZ |  8.43 |\n",
       "| 000031.SZ |  1.61 |\n",
       "| 000032.SZ |  2.67 |\n",
       "| 000033.SZ |  2.37 |\n",
       "| ... | ... |\n",
       "| 601880.SH |  0.97 |\n",
       "| 601886.SH |  6.58 |\n",
       "| 601888.SH |  6.44 |\n",
       "| 601890.SH |  3.51 |\n",
       "| 601898.SH |  2.72 |\n",
       "| 601899.SH |  1.13 |\n",
       "| 601901.SH |  1.84 |\n",
       "| 601908.SH | 20.99 |\n",
       "| 601918.SH |  4.95 |\n",
       "| 601919.SH |  1.76 |\n",
       "| 601928.SH |  2.78 |\n",
       "| 601929.SH |  6.65 |\n",
       "| 601933.SH |  6.69 |\n",
       "| 601939.SH |  0.79 |\n",
       "| 601958.SH |  5.47 |\n",
       "| 601965.SH |  1.06 |\n",
       "| 601988.SH |  0.31 |\n",
       "| 601989.SH |  2.31 |\n",
       "| 601991.SH |  1.10 |\n",
       "| 601992.SH |  4.01 |\n",
       "| 601996.SH |  7.50 |\n",
       "| 601998.SH |  0.81 |\n",
       "| 601999.SH |  2.86 |\n",
       "| 603000.SH | 17.03 |\n",
       "| 603001.SH |  5.14 |\n",
       "| 603002.SH |  2.27 |\n",
       "| 603123.SH |  4.53 |\n",
       "| 603128.SH |  1.78 |\n",
       "| 603333.SH |  2.99 |\n",
       "| 603366.SH |  3.94 |\n",
       "\n"
      ],
      "text/plain": [
       "     symbol    max_rtrt\n",
       "1    000001.SZ  3.33   \n",
       "2    000002.SZ  2.43   \n",
       "3    000004.SZ  2.93   \n",
       "4    000005.SZ  1.74   \n",
       "5    000006.SZ  3.00   \n",
       "6    000007.SZ 10.72   \n",
       "7    000008.SZ  5.98   \n",
       "8    000009.SZ  5.32   \n",
       "9    000010.SZ  4.95   \n",
       "10   000011.SZ  4.26   \n",
       "11   000012.SZ  3.59   \n",
       "12   000014.SZ  6.09   \n",
       "13   000016.SZ  1.37   \n",
       "14   000017.SZ  1.13   \n",
       "15   000018.SZ  3.16   \n",
       "16   000019.SZ  5.02   \n",
       "17   000020.SZ  3.88   \n",
       "18   000021.SZ  1.78   \n",
       "19   000022.SZ  2.34   \n",
       "20   000023.SZ  3.39   \n",
       "21   000024.SZ  9.40   \n",
       "22   000025.SZ  3.55   \n",
       "23   000026.SZ  3.57   \n",
       "24   000027.SZ  1.11   \n",
       "25   000028.SZ 12.48   \n",
       "26   000029.SZ  1.66   \n",
       "27   000030.SZ  8.43   \n",
       "28   000031.SZ  1.61   \n",
       "29   000032.SZ  2.67   \n",
       "30   000033.SZ  2.37   \n",
       "...  ...       ...     \n",
       "2396 601880.SH  0.97   \n",
       "2397 601886.SH  6.58   \n",
       "2398 601888.SH  6.44   \n",
       "2399 601890.SH  3.51   \n",
       "2400 601898.SH  2.72   \n",
       "2401 601899.SH  1.13   \n",
       "2402 601901.SH  1.84   \n",
       "2403 601908.SH 20.99   \n",
       "2404 601918.SH  4.95   \n",
       "2405 601919.SH  1.76   \n",
       "2406 601928.SH  2.78   \n",
       "2407 601929.SH  6.65   \n",
       "2408 601933.SH  6.69   \n",
       "2409 601939.SH  0.79   \n",
       "2410 601958.SH  5.47   \n",
       "2411 601965.SH  1.06   \n",
       "2412 601988.SH  0.31   \n",
       "2413 601989.SH  2.31   \n",
       "2414 601991.SH  1.10   \n",
       "2415 601992.SH  4.01   \n",
       "2416 601996.SH  7.50   \n",
       "2417 601998.SH  0.81   \n",
       "2418 601999.SH  2.86   \n",
       "2419 603000.SH 17.03   \n",
       "2420 603001.SH  5.14   \n",
       "2421 603002.SH  2.27   \n",
       "2422 603123.SH  4.53   \n",
       "2423 603128.SH  1.78   \n",
       "2424 603333.SH  2.99   \n",
       "2425 603366.SH  3.94   "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(max_rtrt = max(high) - min(low)), keyby = symbol]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *49. 每只股票的胜率是多少？（胜率是每天收益率为正数的概率）*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 63,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 2425 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>symbol</th><th scope=col>gain_ratio</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>000001.SZ</td><td>0.4188034</td></tr>\n",
       "\t<tr><td>000002.SZ</td><td>0.4700855</td></tr>\n",
       "\t<tr><td>000004.SZ</td><td>0.5128205</td></tr>\n",
       "\t<tr><td>000005.SZ</td><td>0.1538462</td></tr>\n",
       "\t<tr><td>000006.SZ</td><td>0.5128205</td></tr>\n",
       "\t<tr><td>000007.SZ</td><td>0.5555556</td></tr>\n",
       "\t<tr><td>000008.SZ</td><td>0.4444444</td></tr>\n",
       "\t<tr><td>000009.SZ</td><td>0.4957265</td></tr>\n",
       "\t<tr><td>000010.SZ</td><td>0.3076923</td></tr>\n",
       "\t<tr><td>000011.SZ</td><td>0.5299145</td></tr>\n",
       "\t<tr><td>000012.SZ</td><td>0.4786325</td></tr>\n",
       "\t<tr><td>000014.SZ</td><td>0.5555556</td></tr>\n",
       "\t<tr><td>000016.SZ</td><td>0.4957265</td></tr>\n",
       "\t<tr><td>000017.SZ</td><td>0.5128205</td></tr>\n",
       "\t<tr><td>000018.SZ</td><td>0.5299145</td></tr>\n",
       "\t<tr><td>000019.SZ</td><td>0.4102564</td></tr>\n",
       "\t<tr><td>000020.SZ</td><td>0.5042735</td></tr>\n",
       "\t<tr><td>000021.SZ</td><td>0.4786325</td></tr>\n",
       "\t<tr><td>000022.SZ</td><td>0.4786325</td></tr>\n",
       "\t<tr><td>000023.SZ</td><td>0.5555556</td></tr>\n",
       "\t<tr><td>000024.SZ</td><td>0.5982906</td></tr>\n",
       "\t<tr><td>000025.SZ</td><td>0.4871795</td></tr>\n",
       "\t<tr><td>000026.SZ</td><td>0.4700855</td></tr>\n",
       "\t<tr><td>000027.SZ</td><td>0.4700855</td></tr>\n",
       "\t<tr><td>000028.SZ</td><td>0.5128205</td></tr>\n",
       "\t<tr><td>000029.SZ</td><td>0.4529915</td></tr>\n",
       "\t<tr><td>000030.SZ</td><td>0.4957265</td></tr>\n",
       "\t<tr><td>000031.SZ</td><td>0.4957265</td></tr>\n",
       "\t<tr><td>000032.SZ</td><td>0.4871795</td></tr>\n",
       "\t<tr><td>000033.SZ</td><td>0.5470085</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>601880.SH</td><td>0.4273504</td></tr>\n",
       "\t<tr><td>601886.SH</td><td>0.5128205</td></tr>\n",
       "\t<tr><td>601888.SH</td><td>0.5213675</td></tr>\n",
       "\t<tr><td>601890.SH</td><td>0.5299145</td></tr>\n",
       "\t<tr><td>601898.SH</td><td>0.3931624</td></tr>\n",
       "\t<tr><td>601899.SH</td><td>0.4273504</td></tr>\n",
       "\t<tr><td>601901.SH</td><td>0.4700855</td></tr>\n",
       "\t<tr><td>601908.SH</td><td>0.4444444</td></tr>\n",
       "\t<tr><td>601918.SH</td><td>0.4871795</td></tr>\n",
       "\t<tr><td>601919.SH</td><td>0.4188034</td></tr>\n",
       "\t<tr><td>601928.SH</td><td>0.4615385</td></tr>\n",
       "\t<tr><td>601929.SH</td><td>0.4651163</td></tr>\n",
       "\t<tr><td>601933.SH</td><td>0.4700855</td></tr>\n",
       "\t<tr><td>601939.SH</td><td>0.3846154</td></tr>\n",
       "\t<tr><td>601958.SH</td><td>0.4871795</td></tr>\n",
       "\t<tr><td>601965.SH</td><td>0.2857143</td></tr>\n",
       "\t<tr><td>601988.SH</td><td>0.3846154</td></tr>\n",
       "\t<tr><td>601989.SH</td><td>0.4529915</td></tr>\n",
       "\t<tr><td>601991.SH</td><td>0.4529915</td></tr>\n",
       "\t<tr><td>601992.SH</td><td>0.4700855</td></tr>\n",
       "\t<tr><td>601996.SH</td><td>0.5213675</td></tr>\n",
       "\t<tr><td>601998.SH</td><td>0.4358974</td></tr>\n",
       "\t<tr><td>601999.SH</td><td>0.4188034</td></tr>\n",
       "\t<tr><td>603000.SH</td><td>0.5348837</td></tr>\n",
       "\t<tr><td>603001.SH</td><td>0.5681818</td></tr>\n",
       "\t<tr><td>603002.SH</td><td>0.4333333</td></tr>\n",
       "\t<tr><td>603123.SH</td><td>0.3170732</td></tr>\n",
       "\t<tr><td>603128.SH</td><td>0.4782609</td></tr>\n",
       "\t<tr><td>603333.SH</td><td>0.3589744</td></tr>\n",
       "\t<tr><td>603366.SH</td><td>0.3793103</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 2425 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " symbol & gain\\_ratio\\\\\n",
       " <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 000001.SZ & 0.4188034\\\\\n",
       "\t 000002.SZ & 0.4700855\\\\\n",
       "\t 000004.SZ & 0.5128205\\\\\n",
       "\t 000005.SZ & 0.1538462\\\\\n",
       "\t 000006.SZ & 0.5128205\\\\\n",
       "\t 000007.SZ & 0.5555556\\\\\n",
       "\t 000008.SZ & 0.4444444\\\\\n",
       "\t 000009.SZ & 0.4957265\\\\\n",
       "\t 000010.SZ & 0.3076923\\\\\n",
       "\t 000011.SZ & 0.5299145\\\\\n",
       "\t 000012.SZ & 0.4786325\\\\\n",
       "\t 000014.SZ & 0.5555556\\\\\n",
       "\t 000016.SZ & 0.4957265\\\\\n",
       "\t 000017.SZ & 0.5128205\\\\\n",
       "\t 000018.SZ & 0.5299145\\\\\n",
       "\t 000019.SZ & 0.4102564\\\\\n",
       "\t 000020.SZ & 0.5042735\\\\\n",
       "\t 000021.SZ & 0.4786325\\\\\n",
       "\t 000022.SZ & 0.4786325\\\\\n",
       "\t 000023.SZ & 0.5555556\\\\\n",
       "\t 000024.SZ & 0.5982906\\\\\n",
       "\t 000025.SZ & 0.4871795\\\\\n",
       "\t 000026.SZ & 0.4700855\\\\\n",
       "\t 000027.SZ & 0.4700855\\\\\n",
       "\t 000028.SZ & 0.5128205\\\\\n",
       "\t 000029.SZ & 0.4529915\\\\\n",
       "\t 000030.SZ & 0.4957265\\\\\n",
       "\t 000031.SZ & 0.4957265\\\\\n",
       "\t 000032.SZ & 0.4871795\\\\\n",
       "\t 000033.SZ & 0.5470085\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 601880.SH & 0.4273504\\\\\n",
       "\t 601886.SH & 0.5128205\\\\\n",
       "\t 601888.SH & 0.5213675\\\\\n",
       "\t 601890.SH & 0.5299145\\\\\n",
       "\t 601898.SH & 0.3931624\\\\\n",
       "\t 601899.SH & 0.4273504\\\\\n",
       "\t 601901.SH & 0.4700855\\\\\n",
       "\t 601908.SH & 0.4444444\\\\\n",
       "\t 601918.SH & 0.4871795\\\\\n",
       "\t 601919.SH & 0.4188034\\\\\n",
       "\t 601928.SH & 0.4615385\\\\\n",
       "\t 601929.SH & 0.4651163\\\\\n",
       "\t 601933.SH & 0.4700855\\\\\n",
       "\t 601939.SH & 0.3846154\\\\\n",
       "\t 601958.SH & 0.4871795\\\\\n",
       "\t 601965.SH & 0.2857143\\\\\n",
       "\t 601988.SH & 0.3846154\\\\\n",
       "\t 601989.SH & 0.4529915\\\\\n",
       "\t 601991.SH & 0.4529915\\\\\n",
       "\t 601992.SH & 0.4700855\\\\\n",
       "\t 601996.SH & 0.5213675\\\\\n",
       "\t 601998.SH & 0.4358974\\\\\n",
       "\t 601999.SH & 0.4188034\\\\\n",
       "\t 603000.SH & 0.5348837\\\\\n",
       "\t 603001.SH & 0.5681818\\\\\n",
       "\t 603002.SH & 0.4333333\\\\\n",
       "\t 603123.SH & 0.3170732\\\\\n",
       "\t 603128.SH & 0.4782609\\\\\n",
       "\t 603333.SH & 0.3589744\\\\\n",
       "\t 603366.SH & 0.3793103\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 2425 × 2\n",
       "\n",
       "| symbol &lt;chr&gt; | gain_ratio &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| 000001.SZ | 0.4188034 |\n",
       "| 000002.SZ | 0.4700855 |\n",
       "| 000004.SZ | 0.5128205 |\n",
       "| 000005.SZ | 0.1538462 |\n",
       "| 000006.SZ | 0.5128205 |\n",
       "| 000007.SZ | 0.5555556 |\n",
       "| 000008.SZ | 0.4444444 |\n",
       "| 000009.SZ | 0.4957265 |\n",
       "| 000010.SZ | 0.3076923 |\n",
       "| 000011.SZ | 0.5299145 |\n",
       "| 000012.SZ | 0.4786325 |\n",
       "| 000014.SZ | 0.5555556 |\n",
       "| 000016.SZ | 0.4957265 |\n",
       "| 000017.SZ | 0.5128205 |\n",
       "| 000018.SZ | 0.5299145 |\n",
       "| 000019.SZ | 0.4102564 |\n",
       "| 000020.SZ | 0.5042735 |\n",
       "| 000021.SZ | 0.4786325 |\n",
       "| 000022.SZ | 0.4786325 |\n",
       "| 000023.SZ | 0.5555556 |\n",
       "| 000024.SZ | 0.5982906 |\n",
       "| 000025.SZ | 0.4871795 |\n",
       "| 000026.SZ | 0.4700855 |\n",
       "| 000027.SZ | 0.4700855 |\n",
       "| 000028.SZ | 0.5128205 |\n",
       "| 000029.SZ | 0.4529915 |\n",
       "| 000030.SZ | 0.4957265 |\n",
       "| 000031.SZ | 0.4957265 |\n",
       "| 000032.SZ | 0.4871795 |\n",
       "| 000033.SZ | 0.5470085 |\n",
       "| ... | ... |\n",
       "| 601880.SH | 0.4273504 |\n",
       "| 601886.SH | 0.5128205 |\n",
       "| 601888.SH | 0.5213675 |\n",
       "| 601890.SH | 0.5299145 |\n",
       "| 601898.SH | 0.3931624 |\n",
       "| 601899.SH | 0.4273504 |\n",
       "| 601901.SH | 0.4700855 |\n",
       "| 601908.SH | 0.4444444 |\n",
       "| 601918.SH | 0.4871795 |\n",
       "| 601919.SH | 0.4188034 |\n",
       "| 601928.SH | 0.4615385 |\n",
       "| 601929.SH | 0.4651163 |\n",
       "| 601933.SH | 0.4700855 |\n",
       "| 601939.SH | 0.3846154 |\n",
       "| 601958.SH | 0.4871795 |\n",
       "| 601965.SH | 0.2857143 |\n",
       "| 601988.SH | 0.3846154 |\n",
       "| 601989.SH | 0.4529915 |\n",
       "| 601991.SH | 0.4529915 |\n",
       "| 601992.SH | 0.4700855 |\n",
       "| 601996.SH | 0.5213675 |\n",
       "| 601998.SH | 0.4358974 |\n",
       "| 601999.SH | 0.4188034 |\n",
       "| 603000.SH | 0.5348837 |\n",
       "| 603001.SH | 0.5681818 |\n",
       "| 603002.SH | 0.4333333 |\n",
       "| 603123.SH | 0.3170732 |\n",
       "| 603128.SH | 0.4782609 |\n",
       "| 603333.SH | 0.3589744 |\n",
       "| 603366.SH | 0.3793103 |\n",
       "\n"
      ],
      "text/plain": [
       "     symbol    gain_ratio\n",
       "1    000001.SZ 0.4188034 \n",
       "2    000002.SZ 0.4700855 \n",
       "3    000004.SZ 0.5128205 \n",
       "4    000005.SZ 0.1538462 \n",
       "5    000006.SZ 0.5128205 \n",
       "6    000007.SZ 0.5555556 \n",
       "7    000008.SZ 0.4444444 \n",
       "8    000009.SZ 0.4957265 \n",
       "9    000010.SZ 0.3076923 \n",
       "10   000011.SZ 0.5299145 \n",
       "11   000012.SZ 0.4786325 \n",
       "12   000014.SZ 0.5555556 \n",
       "13   000016.SZ 0.4957265 \n",
       "14   000017.SZ 0.5128205 \n",
       "15   000018.SZ 0.5299145 \n",
       "16   000019.SZ 0.4102564 \n",
       "17   000020.SZ 0.5042735 \n",
       "18   000021.SZ 0.4786325 \n",
       "19   000022.SZ 0.4786325 \n",
       "20   000023.SZ 0.5555556 \n",
       "21   000024.SZ 0.5982906 \n",
       "22   000025.SZ 0.4871795 \n",
       "23   000026.SZ 0.4700855 \n",
       "24   000027.SZ 0.4700855 \n",
       "25   000028.SZ 0.5128205 \n",
       "26   000029.SZ 0.4529915 \n",
       "27   000030.SZ 0.4957265 \n",
       "28   000031.SZ 0.4957265 \n",
       "29   000032.SZ 0.4871795 \n",
       "30   000033.SZ 0.5470085 \n",
       "...  ...       ...       \n",
       "2396 601880.SH 0.4273504 \n",
       "2397 601886.SH 0.5128205 \n",
       "2398 601888.SH 0.5213675 \n",
       "2399 601890.SH 0.5299145 \n",
       "2400 601898.SH 0.3931624 \n",
       "2401 601899.SH 0.4273504 \n",
       "2402 601901.SH 0.4700855 \n",
       "2403 601908.SH 0.4444444 \n",
       "2404 601918.SH 0.4871795 \n",
       "2405 601919.SH 0.4188034 \n",
       "2406 601928.SH 0.4615385 \n",
       "2407 601929.SH 0.4651163 \n",
       "2408 601933.SH 0.4700855 \n",
       "2409 601939.SH 0.3846154 \n",
       "2410 601958.SH 0.4871795 \n",
       "2411 601965.SH 0.2857143 \n",
       "2412 601988.SH 0.3846154 \n",
       "2413 601989.SH 0.4529915 \n",
       "2414 601991.SH 0.4529915 \n",
       "2415 601992.SH 0.4700855 \n",
       "2416 601996.SH 0.5213675 \n",
       "2417 601998.SH 0.4358974 \n",
       "2418 601999.SH 0.4188034 \n",
       "2419 603000.SH 0.5348837 \n",
       "2420 603001.SH 0.5681818 \n",
       "2421 603002.SH 0.4333333 \n",
       "2422 603123.SH 0.3170732 \n",
       "2423 603128.SH 0.4782609 \n",
       "2424 603333.SH 0.3589744 \n",
       "2425 603366.SH 0.3793103 "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1), keyby = .(symbol, date)\n",
    "    ][, .(gain_ratio = sum(stkcd_ret > 0)/.N), keyby = symbol]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *50. 每只股票的盈亏比是多少？（盈亏比是正收益之和与负收益之和的比值的绝对值）*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 64,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 2425 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>symbol</th><th scope=col>gl_ratio</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>000001.SZ</td><td>0.9718614</td></tr>\n",
       "\t<tr><td>000002.SZ</td><td>1.2796856</td></tr>\n",
       "\t<tr><td>000004.SZ</td><td>1.0828690</td></tr>\n",
       "\t<tr><td>000005.SZ</td><td>0.5532427</td></tr>\n",
       "\t<tr><td>000006.SZ</td><td>1.3719934</td></tr>\n",
       "\t<tr><td>000007.SZ</td><td>1.8032631</td></tr>\n",
       "\t<tr><td>000008.SZ</td><td>1.7014617</td></tr>\n",
       "\t<tr><td>000009.SZ</td><td>0.9844944</td></tr>\n",
       "\t<tr><td>000010.SZ</td><td>0.9652698</td></tr>\n",
       "\t<tr><td>000011.SZ</td><td>1.1896667</td></tr>\n",
       "\t<tr><td>000012.SZ</td><td>1.0477184</td></tr>\n",
       "\t<tr><td>000014.SZ</td><td>1.5628405</td></tr>\n",
       "\t<tr><td>000016.SZ</td><td>1.2088326</td></tr>\n",
       "\t<tr><td>000017.SZ</td><td>1.1701765</td></tr>\n",
       "\t<tr><td>000018.SZ</td><td>1.2839956</td></tr>\n",
       "\t<tr><td>000019.SZ</td><td>1.1488428</td></tr>\n",
       "\t<tr><td>000020.SZ</td><td>1.2956894</td></tr>\n",
       "\t<tr><td>000021.SZ</td><td>1.1025433</td></tr>\n",
       "\t<tr><td>000022.SZ</td><td>1.2340874</td></tr>\n",
       "\t<tr><td>000023.SZ</td><td>1.1644178</td></tr>\n",
       "\t<tr><td>000024.SZ</td><td>1.4214806</td></tr>\n",
       "\t<tr><td>000025.SZ</td><td>1.1738517</td></tr>\n",
       "\t<tr><td>000026.SZ</td><td>0.8664886</td></tr>\n",
       "\t<tr><td>000027.SZ</td><td>1.1498476</td></tr>\n",
       "\t<tr><td>000028.SZ</td><td>1.3477019</td></tr>\n",
       "\t<tr><td>000029.SZ</td><td>1.1719727</td></tr>\n",
       "\t<tr><td>000030.SZ</td><td>1.1181456</td></tr>\n",
       "\t<tr><td>000031.SZ</td><td>1.2294070</td></tr>\n",
       "\t<tr><td>000032.SZ</td><td>1.0589772</td></tr>\n",
       "\t<tr><td>000033.SZ</td><td>1.3013300</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>601880.SH</td><td>1.2316080</td></tr>\n",
       "\t<tr><td>601886.SH</td><td>1.2941390</td></tr>\n",
       "\t<tr><td>601888.SH</td><td>1.1231492</td></tr>\n",
       "\t<tr><td>601890.SH</td><td>0.9965271</td></tr>\n",
       "\t<tr><td>601898.SH</td><td>0.8614602</td></tr>\n",
       "\t<tr><td>601899.SH</td><td>1.0480211</td></tr>\n",
       "\t<tr><td>601901.SH</td><td>1.2320315</td></tr>\n",
       "\t<tr><td>601908.SH</td><td>0.8210967</td></tr>\n",
       "\t<tr><td>601918.SH</td><td>1.1246620</td></tr>\n",
       "\t<tr><td>601919.SH</td><td>1.0198484</td></tr>\n",
       "\t<tr><td>601928.SH</td><td>1.0713971</td></tr>\n",
       "\t<tr><td>601929.SH</td><td>1.4277633</td></tr>\n",
       "\t<tr><td>601933.SH</td><td>0.9216075</td></tr>\n",
       "\t<tr><td>601939.SH</td><td>0.9500732</td></tr>\n",
       "\t<tr><td>601958.SH</td><td>1.1585733</td></tr>\n",
       "\t<tr><td>601965.SH</td><td>0.1632617</td></tr>\n",
       "\t<tr><td>601988.SH</td><td>1.0683442</td></tr>\n",
       "\t<tr><td>601989.SH</td><td>1.0608064</td></tr>\n",
       "\t<tr><td>601991.SH</td><td>1.1486880</td></tr>\n",
       "\t<tr><td>601992.SH</td><td>0.8561130</td></tr>\n",
       "\t<tr><td>601996.SH</td><td>1.3751591</td></tr>\n",
       "\t<tr><td>601998.SH</td><td>0.9993577</td></tr>\n",
       "\t<tr><td>601999.SH</td><td>0.9471160</td></tr>\n",
       "\t<tr><td>603000.SH</td><td>3.0010534</td></tr>\n",
       "\t<tr><td>603001.SH</td><td>1.2158127</td></tr>\n",
       "\t<tr><td>603002.SH</td><td>3.3275208</td></tr>\n",
       "\t<tr><td>603123.SH</td><td>1.4154428</td></tr>\n",
       "\t<tr><td>603128.SH</td><td>1.2664079</td></tr>\n",
       "\t<tr><td>603333.SH</td><td>1.0208677</td></tr>\n",
       "\t<tr><td>603366.SH</td><td>0.7167108</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 2425 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " symbol & gl\\_ratio\\\\\n",
       " <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 000001.SZ & 0.9718614\\\\\n",
       "\t 000002.SZ & 1.2796856\\\\\n",
       "\t 000004.SZ & 1.0828690\\\\\n",
       "\t 000005.SZ & 0.5532427\\\\\n",
       "\t 000006.SZ & 1.3719934\\\\\n",
       "\t 000007.SZ & 1.8032631\\\\\n",
       "\t 000008.SZ & 1.7014617\\\\\n",
       "\t 000009.SZ & 0.9844944\\\\\n",
       "\t 000010.SZ & 0.9652698\\\\\n",
       "\t 000011.SZ & 1.1896667\\\\\n",
       "\t 000012.SZ & 1.0477184\\\\\n",
       "\t 000014.SZ & 1.5628405\\\\\n",
       "\t 000016.SZ & 1.2088326\\\\\n",
       "\t 000017.SZ & 1.1701765\\\\\n",
       "\t 000018.SZ & 1.2839956\\\\\n",
       "\t 000019.SZ & 1.1488428\\\\\n",
       "\t 000020.SZ & 1.2956894\\\\\n",
       "\t 000021.SZ & 1.1025433\\\\\n",
       "\t 000022.SZ & 1.2340874\\\\\n",
       "\t 000023.SZ & 1.1644178\\\\\n",
       "\t 000024.SZ & 1.4214806\\\\\n",
       "\t 000025.SZ & 1.1738517\\\\\n",
       "\t 000026.SZ & 0.8664886\\\\\n",
       "\t 000027.SZ & 1.1498476\\\\\n",
       "\t 000028.SZ & 1.3477019\\\\\n",
       "\t 000029.SZ & 1.1719727\\\\\n",
       "\t 000030.SZ & 1.1181456\\\\\n",
       "\t 000031.SZ & 1.2294070\\\\\n",
       "\t 000032.SZ & 1.0589772\\\\\n",
       "\t 000033.SZ & 1.3013300\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 601880.SH & 1.2316080\\\\\n",
       "\t 601886.SH & 1.2941390\\\\\n",
       "\t 601888.SH & 1.1231492\\\\\n",
       "\t 601890.SH & 0.9965271\\\\\n",
       "\t 601898.SH & 0.8614602\\\\\n",
       "\t 601899.SH & 1.0480211\\\\\n",
       "\t 601901.SH & 1.2320315\\\\\n",
       "\t 601908.SH & 0.8210967\\\\\n",
       "\t 601918.SH & 1.1246620\\\\\n",
       "\t 601919.SH & 1.0198484\\\\\n",
       "\t 601928.SH & 1.0713971\\\\\n",
       "\t 601929.SH & 1.4277633\\\\\n",
       "\t 601933.SH & 0.9216075\\\\\n",
       "\t 601939.SH & 0.9500732\\\\\n",
       "\t 601958.SH & 1.1585733\\\\\n",
       "\t 601965.SH & 0.1632617\\\\\n",
       "\t 601988.SH & 1.0683442\\\\\n",
       "\t 601989.SH & 1.0608064\\\\\n",
       "\t 601991.SH & 1.1486880\\\\\n",
       "\t 601992.SH & 0.8561130\\\\\n",
       "\t 601996.SH & 1.3751591\\\\\n",
       "\t 601998.SH & 0.9993577\\\\\n",
       "\t 601999.SH & 0.9471160\\\\\n",
       "\t 603000.SH & 3.0010534\\\\\n",
       "\t 603001.SH & 1.2158127\\\\\n",
       "\t 603002.SH & 3.3275208\\\\\n",
       "\t 603123.SH & 1.4154428\\\\\n",
       "\t 603128.SH & 1.2664079\\\\\n",
       "\t 603333.SH & 1.0208677\\\\\n",
       "\t 603366.SH & 0.7167108\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 2425 × 2\n",
       "\n",
       "| symbol &lt;chr&gt; | gl_ratio &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| 000001.SZ | 0.9718614 |\n",
       "| 000002.SZ | 1.2796856 |\n",
       "| 000004.SZ | 1.0828690 |\n",
       "| 000005.SZ | 0.5532427 |\n",
       "| 000006.SZ | 1.3719934 |\n",
       "| 000007.SZ | 1.8032631 |\n",
       "| 000008.SZ | 1.7014617 |\n",
       "| 000009.SZ | 0.9844944 |\n",
       "| 000010.SZ | 0.9652698 |\n",
       "| 000011.SZ | 1.1896667 |\n",
       "| 000012.SZ | 1.0477184 |\n",
       "| 000014.SZ | 1.5628405 |\n",
       "| 000016.SZ | 1.2088326 |\n",
       "| 000017.SZ | 1.1701765 |\n",
       "| 000018.SZ | 1.2839956 |\n",
       "| 000019.SZ | 1.1488428 |\n",
       "| 000020.SZ | 1.2956894 |\n",
       "| 000021.SZ | 1.1025433 |\n",
       "| 000022.SZ | 1.2340874 |\n",
       "| 000023.SZ | 1.1644178 |\n",
       "| 000024.SZ | 1.4214806 |\n",
       "| 000025.SZ | 1.1738517 |\n",
       "| 000026.SZ | 0.8664886 |\n",
       "| 000027.SZ | 1.1498476 |\n",
       "| 000028.SZ | 1.3477019 |\n",
       "| 000029.SZ | 1.1719727 |\n",
       "| 000030.SZ | 1.1181456 |\n",
       "| 000031.SZ | 1.2294070 |\n",
       "| 000032.SZ | 1.0589772 |\n",
       "| 000033.SZ | 1.3013300 |\n",
       "| ... | ... |\n",
       "| 601880.SH | 1.2316080 |\n",
       "| 601886.SH | 1.2941390 |\n",
       "| 601888.SH | 1.1231492 |\n",
       "| 601890.SH | 0.9965271 |\n",
       "| 601898.SH | 0.8614602 |\n",
       "| 601899.SH | 1.0480211 |\n",
       "| 601901.SH | 1.2320315 |\n",
       "| 601908.SH | 0.8210967 |\n",
       "| 601918.SH | 1.1246620 |\n",
       "| 601919.SH | 1.0198484 |\n",
       "| 601928.SH | 1.0713971 |\n",
       "| 601929.SH | 1.4277633 |\n",
       "| 601933.SH | 0.9216075 |\n",
       "| 601939.SH | 0.9500732 |\n",
       "| 601958.SH | 1.1585733 |\n",
       "| 601965.SH | 0.1632617 |\n",
       "| 601988.SH | 1.0683442 |\n",
       "| 601989.SH | 1.0608064 |\n",
       "| 601991.SH | 1.1486880 |\n",
       "| 601992.SH | 0.8561130 |\n",
       "| 601996.SH | 1.3751591 |\n",
       "| 601998.SH | 0.9993577 |\n",
       "| 601999.SH | 0.9471160 |\n",
       "| 603000.SH | 3.0010534 |\n",
       "| 603001.SH | 1.2158127 |\n",
       "| 603002.SH | 3.3275208 |\n",
       "| 603123.SH | 1.4154428 |\n",
       "| 603128.SH | 1.2664079 |\n",
       "| 603333.SH | 1.0208677 |\n",
       "| 603366.SH | 0.7167108 |\n",
       "\n"
      ],
      "text/plain": [
       "     symbol    gl_ratio \n",
       "1    000001.SZ 0.9718614\n",
       "2    000002.SZ 1.2796856\n",
       "3    000004.SZ 1.0828690\n",
       "4    000005.SZ 0.5532427\n",
       "5    000006.SZ 1.3719934\n",
       "6    000007.SZ 1.8032631\n",
       "7    000008.SZ 1.7014617\n",
       "8    000009.SZ 0.9844944\n",
       "9    000010.SZ 0.9652698\n",
       "10   000011.SZ 1.1896667\n",
       "11   000012.SZ 1.0477184\n",
       "12   000014.SZ 1.5628405\n",
       "13   000016.SZ 1.2088326\n",
       "14   000017.SZ 1.1701765\n",
       "15   000018.SZ 1.2839956\n",
       "16   000019.SZ 1.1488428\n",
       "17   000020.SZ 1.2956894\n",
       "18   000021.SZ 1.1025433\n",
       "19   000022.SZ 1.2340874\n",
       "20   000023.SZ 1.1644178\n",
       "21   000024.SZ 1.4214806\n",
       "22   000025.SZ 1.1738517\n",
       "23   000026.SZ 0.8664886\n",
       "24   000027.SZ 1.1498476\n",
       "25   000028.SZ 1.3477019\n",
       "26   000029.SZ 1.1719727\n",
       "27   000030.SZ 1.1181456\n",
       "28   000031.SZ 1.2294070\n",
       "29   000032.SZ 1.0589772\n",
       "30   000033.SZ 1.3013300\n",
       "...  ...       ...      \n",
       "2396 601880.SH 1.2316080\n",
       "2397 601886.SH 1.2941390\n",
       "2398 601888.SH 1.1231492\n",
       "2399 601890.SH 0.9965271\n",
       "2400 601898.SH 0.8614602\n",
       "2401 601899.SH 1.0480211\n",
       "2402 601901.SH 1.2320315\n",
       "2403 601908.SH 0.8210967\n",
       "2404 601918.SH 1.1246620\n",
       "2405 601919.SH 1.0198484\n",
       "2406 601928.SH 1.0713971\n",
       "2407 601929.SH 1.4277633\n",
       "2408 601933.SH 0.9216075\n",
       "2409 601939.SH 0.9500732\n",
       "2410 601958.SH 1.1585733\n",
       "2411 601965.SH 0.1632617\n",
       "2412 601988.SH 1.0683442\n",
       "2413 601989.SH 1.0608064\n",
       "2414 601991.SH 1.1486880\n",
       "2415 601992.SH 0.8561130\n",
       "2416 601996.SH 1.3751591\n",
       "2417 601998.SH 0.9993577\n",
       "2418 601999.SH 0.9471160\n",
       "2419 603000.SH 3.0010534\n",
       "2420 603001.SH 1.2158127\n",
       "2421 603002.SH 3.3275208\n",
       "2422 603123.SH 1.4154428\n",
       "2423 603128.SH 1.2664079\n",
       "2424 603333.SH 1.0208677\n",
       "2425 603366.SH 0.7167108"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1), keyby = .(symbol, date)\n",
    "    ][, .(stkcd_ret_pn = sum(stkcd_ret)), keyby = .(symbol, tag = ifelse(stkcd_ret > 0, \"gain\", \"loss\"))\n",
    "    ][, .(gl_ratio = abs(stkcd_ret_pn[1]/stkcd_ret_pn[.N])), keyby = symbol]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *51. 市场的胜率是多少？（市场收益率为正的概率）*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 65,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 1 × 1</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>gain_ratio</th></tr>\n",
       "\t<tr><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>0.4871795</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 1 × 1\n",
       "\\begin{tabular}{r|l}\n",
       " gain\\_ratio\\\\\n",
       " <dbl>\\\\\n",
       "\\hline\n",
       "\t 0.4871795\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 1 × 1\n",
       "\n",
       "| gain_ratio &lt;dbl&gt; |\n",
       "|---|\n",
       "| 0.4871795 |\n",
       "\n"
      ],
      "text/plain": [
       "  gain_ratio\n",
       "1 0.4871795 "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, mkt_weight = capt/sum(capt)), keyby = date\n",
    "    ][, .(mkt_ret = sum(stkcd_ret * mkt_weight)), keyby = date\n",
    "    ][, .(gain_ratio = sum(mkt_ret > 0)/.N)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *52. 市场的盈亏比是多少？（市场中每个股票的市值加权正收益和市值加权负收益之比）*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 66,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 1 × 1</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>gl_ratio</th></tr>\n",
       "\t<tr><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>1.147373</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 1 × 1\n",
       "\\begin{tabular}{r|l}\n",
       " gl\\_ratio\\\\\n",
       " <dbl>\\\\\n",
       "\\hline\n",
       "\t 1.147373\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 1 × 1\n",
       "\n",
       "| gl_ratio &lt;dbl&gt; |\n",
       "|---|\n",
       "| 1.147373 |\n",
       "\n"
      ],
      "text/plain": [
       "  gl_ratio\n",
       "1 1.147373"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, mkt_weight = capt/sum(capt)), keyby = date\n",
    "    ][, .(mkt_ret = sum(stkcd_ret * mkt_weight)), keyby = date\n",
    "    ][, .(mkt_ret_pn = sum(mkt_ret)), keyby = .(tag = ifelse(mkt_ret > 0, \"gain\", \"loss\"))\n",
    "    ][, .(gl_ratio = abs(mkt_ret_pn[1]/mkt_ret_pn[.N]))]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *53. 每个行业的胜率是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 67,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 32 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>gain_ratio</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>AERODEF </td><td>0.5213675</td></tr>\n",
       "\t<tr><td>AIRLINE </td><td>0.4786325</td></tr>\n",
       "\t<tr><td>AUTO    </td><td>0.4700855</td></tr>\n",
       "\t<tr><td>BANKS   </td><td>0.4615385</td></tr>\n",
       "\t<tr><td>BEV     </td><td>0.5470085</td></tr>\n",
       "\t<tr><td>BLDPROD </td><td>0.5384615</td></tr>\n",
       "\t<tr><td>CHEM    </td><td>0.4957265</td></tr>\n",
       "\t<tr><td>CNSTENG </td><td>0.5470085</td></tr>\n",
       "\t<tr><td>COMSERV </td><td>0.5213675</td></tr>\n",
       "\t<tr><td>CONMAT  </td><td>0.5299145</td></tr>\n",
       "\t<tr><td>CONSSERV</td><td>0.5128205</td></tr>\n",
       "\t<tr><td>DVFININS</td><td>0.4700855</td></tr>\n",
       "\t<tr><td>ELECEQP </td><td>0.4957265</td></tr>\n",
       "\t<tr><td>ENERGY  </td><td>0.4529915</td></tr>\n",
       "\t<tr><td>FOODPROD</td><td>0.5213675</td></tr>\n",
       "\t<tr><td>HDWRSEMI</td><td>0.4957265</td></tr>\n",
       "\t<tr><td>HEALTH  </td><td>0.5555556</td></tr>\n",
       "\t<tr><td>HOUSEDUR</td><td>0.4786325</td></tr>\n",
       "\t<tr><td>INDCONG </td><td>0.5470085</td></tr>\n",
       "\t<tr><td>LEISLUX </td><td>0.4786325</td></tr>\n",
       "\t<tr><td>MACH    </td><td>0.5128205</td></tr>\n",
       "\t<tr><td>MARINE  </td><td>0.5213675</td></tr>\n",
       "\t<tr><td>MATERIAL</td><td>0.4957265</td></tr>\n",
       "\t<tr><td>MEDIA   </td><td>0.5213675</td></tr>\n",
       "\t<tr><td>MTLMIN  </td><td>0.4700855</td></tr>\n",
       "\t<tr><td>PERSPRD </td><td>0.5555556</td></tr>\n",
       "\t<tr><td>RDRLTRAN</td><td>0.4786325</td></tr>\n",
       "\t<tr><td>REALEST </td><td>0.5299145</td></tr>\n",
       "\t<tr><td>RETAIL  </td><td>0.5213675</td></tr>\n",
       "\t<tr><td>SOFTWARE</td><td>0.5555556</td></tr>\n",
       "\t<tr><td>TRDDIST </td><td>0.5470085</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0.5470085</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 32 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " industry & gain\\_ratio\\\\\n",
       " <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t AERODEF  & 0.5213675\\\\\n",
       "\t AIRLINE  & 0.4786325\\\\\n",
       "\t AUTO     & 0.4700855\\\\\n",
       "\t BANKS    & 0.4615385\\\\\n",
       "\t BEV      & 0.5470085\\\\\n",
       "\t BLDPROD  & 0.5384615\\\\\n",
       "\t CHEM     & 0.4957265\\\\\n",
       "\t CNSTENG  & 0.5470085\\\\\n",
       "\t COMSERV  & 0.5213675\\\\\n",
       "\t CONMAT   & 0.5299145\\\\\n",
       "\t CONSSERV & 0.5128205\\\\\n",
       "\t DVFININS & 0.4700855\\\\\n",
       "\t ELECEQP  & 0.4957265\\\\\n",
       "\t ENERGY   & 0.4529915\\\\\n",
       "\t FOODPROD & 0.5213675\\\\\n",
       "\t HDWRSEMI & 0.4957265\\\\\n",
       "\t HEALTH   & 0.5555556\\\\\n",
       "\t HOUSEDUR & 0.4786325\\\\\n",
       "\t INDCONG  & 0.5470085\\\\\n",
       "\t LEISLUX  & 0.4786325\\\\\n",
       "\t MACH     & 0.5128205\\\\\n",
       "\t MARINE   & 0.5213675\\\\\n",
       "\t MATERIAL & 0.4957265\\\\\n",
       "\t MEDIA    & 0.5213675\\\\\n",
       "\t MTLMIN   & 0.4700855\\\\\n",
       "\t PERSPRD  & 0.5555556\\\\\n",
       "\t RDRLTRAN & 0.4786325\\\\\n",
       "\t REALEST  & 0.5299145\\\\\n",
       "\t RETAIL   & 0.5213675\\\\\n",
       "\t SOFTWARE & 0.5555556\\\\\n",
       "\t TRDDIST  & 0.5470085\\\\\n",
       "\t UTILITIE & 0.5470085\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 32 × 2\n",
       "\n",
       "| industry &lt;chr&gt; | gain_ratio &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| AERODEF  | 0.5213675 |\n",
       "| AIRLINE  | 0.4786325 |\n",
       "| AUTO     | 0.4700855 |\n",
       "| BANKS    | 0.4615385 |\n",
       "| BEV      | 0.5470085 |\n",
       "| BLDPROD  | 0.5384615 |\n",
       "| CHEM     | 0.4957265 |\n",
       "| CNSTENG  | 0.5470085 |\n",
       "| COMSERV  | 0.5213675 |\n",
       "| CONMAT   | 0.5299145 |\n",
       "| CONSSERV | 0.5128205 |\n",
       "| DVFININS | 0.4700855 |\n",
       "| ELECEQP  | 0.4957265 |\n",
       "| ENERGY   | 0.4529915 |\n",
       "| FOODPROD | 0.5213675 |\n",
       "| HDWRSEMI | 0.4957265 |\n",
       "| HEALTH   | 0.5555556 |\n",
       "| HOUSEDUR | 0.4786325 |\n",
       "| INDCONG  | 0.5470085 |\n",
       "| LEISLUX  | 0.4786325 |\n",
       "| MACH     | 0.5128205 |\n",
       "| MARINE   | 0.5213675 |\n",
       "| MATERIAL | 0.4957265 |\n",
       "| MEDIA    | 0.5213675 |\n",
       "| MTLMIN   | 0.4700855 |\n",
       "| PERSPRD  | 0.5555556 |\n",
       "| RDRLTRAN | 0.4786325 |\n",
       "| REALEST  | 0.5299145 |\n",
       "| RETAIL   | 0.5213675 |\n",
       "| SOFTWARE | 0.5555556 |\n",
       "| TRDDIST  | 0.5470085 |\n",
       "| UTILITIE | 0.5470085 |\n",
       "\n"
      ],
      "text/plain": [
       "   industry gain_ratio\n",
       "1  AERODEF  0.5213675 \n",
       "2  AIRLINE  0.4786325 \n",
       "3  AUTO     0.4700855 \n",
       "4  BANKS    0.4615385 \n",
       "5  BEV      0.5470085 \n",
       "6  BLDPROD  0.5384615 \n",
       "7  CHEM     0.4957265 \n",
       "8  CNSTENG  0.5470085 \n",
       "9  COMSERV  0.5213675 \n",
       "10 CONMAT   0.5299145 \n",
       "11 CONSSERV 0.5128205 \n",
       "12 DVFININS 0.4700855 \n",
       "13 ELECEQP  0.4957265 \n",
       "14 ENERGY   0.4529915 \n",
       "15 FOODPROD 0.5213675 \n",
       "16 HDWRSEMI 0.4957265 \n",
       "17 HEALTH   0.5555556 \n",
       "18 HOUSEDUR 0.4786325 \n",
       "19 INDCONG  0.5470085 \n",
       "20 LEISLUX  0.4786325 \n",
       "21 MACH     0.5128205 \n",
       "22 MARINE   0.5213675 \n",
       "23 MATERIAL 0.4957265 \n",
       "24 MEDIA    0.5213675 \n",
       "25 MTLMIN   0.4700855 \n",
       "26 PERSPRD  0.5555556 \n",
       "27 RDRLTRAN 0.4786325 \n",
       "28 REALEST  0.5299145 \n",
       "29 RETAIL   0.5213675 \n",
       "30 SOFTWARE 0.5555556 \n",
       "31 TRDDIST  0.5470085 \n",
       "32 UTILITIE 0.5470085 "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, ind_weight = capt/sum(capt)), keyby = .(industry, date)\n",
    "    ][, .(ind_ret = sum(stkcd_ret * ind_weight)), keyby = .(industry, date)\n",
    "    ][, .(gain_ratio = sum(ind_ret > 0)/.N), keyby = industry]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *54. 每个行业的盈亏比是多少？（行业盈亏比是行业内每个股票的市值加权的正收益率和市值加权的负收益率之比）*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 68,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 32 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>gl_ratio</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>AERODEF </td><td>0.9973617</td></tr>\n",
       "\t<tr><td>AIRLINE </td><td>1.0715381</td></tr>\n",
       "\t<tr><td>AUTO    </td><td>1.1206090</td></tr>\n",
       "\t<tr><td>BANKS   </td><td>1.0158729</td></tr>\n",
       "\t<tr><td>BEV     </td><td>1.2812672</td></tr>\n",
       "\t<tr><td>BLDPROD </td><td>1.2698791</td></tr>\n",
       "\t<tr><td>CHEM    </td><td>1.1149151</td></tr>\n",
       "\t<tr><td>CNSTENG </td><td>1.2415376</td></tr>\n",
       "\t<tr><td>COMSERV </td><td>1.1990343</td></tr>\n",
       "\t<tr><td>CONMAT  </td><td>1.0274717</td></tr>\n",
       "\t<tr><td>CONSSERV</td><td>1.2688934</td></tr>\n",
       "\t<tr><td>DVFININS</td><td>1.2936453</td></tr>\n",
       "\t<tr><td>ELECEQP </td><td>0.9654093</td></tr>\n",
       "\t<tr><td>ENERGY  </td><td>0.9241949</td></tr>\n",
       "\t<tr><td>FOODPROD</td><td>1.0948452</td></tr>\n",
       "\t<tr><td>HDWRSEMI</td><td>1.0523145</td></tr>\n",
       "\t<tr><td>HEALTH  </td><td>1.2690412</td></tr>\n",
       "\t<tr><td>HOUSEDUR</td><td>1.2357025</td></tr>\n",
       "\t<tr><td>INDCONG </td><td>1.3100780</td></tr>\n",
       "\t<tr><td>LEISLUX </td><td>1.1090097</td></tr>\n",
       "\t<tr><td>MACH    </td><td>1.1233997</td></tr>\n",
       "\t<tr><td>MARINE  </td><td>1.0145313</td></tr>\n",
       "\t<tr><td>MATERIAL</td><td>1.1967891</td></tr>\n",
       "\t<tr><td>MEDIA   </td><td>1.0512003</td></tr>\n",
       "\t<tr><td>MTLMIN  </td><td>1.1468914</td></tr>\n",
       "\t<tr><td>PERSPRD </td><td>1.1997349</td></tr>\n",
       "\t<tr><td>RDRLTRAN</td><td>1.0705692</td></tr>\n",
       "\t<tr><td>REALEST </td><td>1.3662439</td></tr>\n",
       "\t<tr><td>RETAIL  </td><td>1.1038942</td></tr>\n",
       "\t<tr><td>SOFTWARE</td><td>1.0718943</td></tr>\n",
       "\t<tr><td>TRDDIST </td><td>1.2019826</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>1.2665183</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 32 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " industry & gl\\_ratio\\\\\n",
       " <chr> & <dbl>\\\\\n",
       "\\hline\n",
       "\t AERODEF  & 0.9973617\\\\\n",
       "\t AIRLINE  & 1.0715381\\\\\n",
       "\t AUTO     & 1.1206090\\\\\n",
       "\t BANKS    & 1.0158729\\\\\n",
       "\t BEV      & 1.2812672\\\\\n",
       "\t BLDPROD  & 1.2698791\\\\\n",
       "\t CHEM     & 1.1149151\\\\\n",
       "\t CNSTENG  & 1.2415376\\\\\n",
       "\t COMSERV  & 1.1990343\\\\\n",
       "\t CONMAT   & 1.0274717\\\\\n",
       "\t CONSSERV & 1.2688934\\\\\n",
       "\t DVFININS & 1.2936453\\\\\n",
       "\t ELECEQP  & 0.9654093\\\\\n",
       "\t ENERGY   & 0.9241949\\\\\n",
       "\t FOODPROD & 1.0948452\\\\\n",
       "\t HDWRSEMI & 1.0523145\\\\\n",
       "\t HEALTH   & 1.2690412\\\\\n",
       "\t HOUSEDUR & 1.2357025\\\\\n",
       "\t INDCONG  & 1.3100780\\\\\n",
       "\t LEISLUX  & 1.1090097\\\\\n",
       "\t MACH     & 1.1233997\\\\\n",
       "\t MARINE   & 1.0145313\\\\\n",
       "\t MATERIAL & 1.1967891\\\\\n",
       "\t MEDIA    & 1.0512003\\\\\n",
       "\t MTLMIN   & 1.1468914\\\\\n",
       "\t PERSPRD  & 1.1997349\\\\\n",
       "\t RDRLTRAN & 1.0705692\\\\\n",
       "\t REALEST  & 1.3662439\\\\\n",
       "\t RETAIL   & 1.1038942\\\\\n",
       "\t SOFTWARE & 1.0718943\\\\\n",
       "\t TRDDIST  & 1.2019826\\\\\n",
       "\t UTILITIE & 1.2665183\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 32 × 2\n",
       "\n",
       "| industry &lt;chr&gt; | gl_ratio &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| AERODEF  | 0.9973617 |\n",
       "| AIRLINE  | 1.0715381 |\n",
       "| AUTO     | 1.1206090 |\n",
       "| BANKS    | 1.0158729 |\n",
       "| BEV      | 1.2812672 |\n",
       "| BLDPROD  | 1.2698791 |\n",
       "| CHEM     | 1.1149151 |\n",
       "| CNSTENG  | 1.2415376 |\n",
       "| COMSERV  | 1.1990343 |\n",
       "| CONMAT   | 1.0274717 |\n",
       "| CONSSERV | 1.2688934 |\n",
       "| DVFININS | 1.2936453 |\n",
       "| ELECEQP  | 0.9654093 |\n",
       "| ENERGY   | 0.9241949 |\n",
       "| FOODPROD | 1.0948452 |\n",
       "| HDWRSEMI | 1.0523145 |\n",
       "| HEALTH   | 1.2690412 |\n",
       "| HOUSEDUR | 1.2357025 |\n",
       "| INDCONG  | 1.3100780 |\n",
       "| LEISLUX  | 1.1090097 |\n",
       "| MACH     | 1.1233997 |\n",
       "| MARINE   | 1.0145313 |\n",
       "| MATERIAL | 1.1967891 |\n",
       "| MEDIA    | 1.0512003 |\n",
       "| MTLMIN   | 1.1468914 |\n",
       "| PERSPRD  | 1.1997349 |\n",
       "| RDRLTRAN | 1.0705692 |\n",
       "| REALEST  | 1.3662439 |\n",
       "| RETAIL   | 1.1038942 |\n",
       "| SOFTWARE | 1.0718943 |\n",
       "| TRDDIST  | 1.2019826 |\n",
       "| UTILITIE | 1.2665183 |\n",
       "\n"
      ],
      "text/plain": [
       "   industry gl_ratio \n",
       "1  AERODEF  0.9973617\n",
       "2  AIRLINE  1.0715381\n",
       "3  AUTO     1.1206090\n",
       "4  BANKS    1.0158729\n",
       "5  BEV      1.2812672\n",
       "6  BLDPROD  1.2698791\n",
       "7  CHEM     1.1149151\n",
       "8  CNSTENG  1.2415376\n",
       "9  COMSERV  1.1990343\n",
       "10 CONMAT   1.0274717\n",
       "11 CONSSERV 1.2688934\n",
       "12 DVFININS 1.2936453\n",
       "13 ELECEQP  0.9654093\n",
       "14 ENERGY   0.9241949\n",
       "15 FOODPROD 1.0948452\n",
       "16 HDWRSEMI 1.0523145\n",
       "17 HEALTH   1.2690412\n",
       "18 HOUSEDUR 1.2357025\n",
       "19 INDCONG  1.3100780\n",
       "20 LEISLUX  1.1090097\n",
       "21 MACH     1.1233997\n",
       "22 MARINE   1.0145313\n",
       "23 MATERIAL 1.1967891\n",
       "24 MEDIA    1.0512003\n",
       "25 MTLMIN   1.1468914\n",
       "26 PERSPRD  1.1997349\n",
       "27 RDRLTRAN 1.0705692\n",
       "28 REALEST  1.3662439\n",
       "29 RETAIL   1.1038942\n",
       "30 SOFTWARE 1.0718943\n",
       "31 TRDDIST  1.2019826\n",
       "32 UTILITIE 1.2665183"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, ind_weight = capt/sum(capt)), keyby = .(industry, date)\n",
    "    ][, .(ind_ret = sum(stkcd_ret * ind_weight)), keyby = .(industry, date)\n",
    "    ][, .(ind_ret_pn = sum(ind_ret)), keyby = .(industry, tag = ifelse(ind_ret > 0, \"gain\", \"loss\"))\n",
    "    ][, .(gl_ratio = abs(ind_ret_pn[1]/ind_ret_pn[.N])), keyby = industry]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *55. 是否存在股票的月成交额超过所在行业当月中某天一天总成交额的情况？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 69,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 15736 × 6</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>date</th><th scope=col>stkcd_m_amount</th><th scope=col>ind_d_amount</th><th scope=col>date_ym</th><th scope=col>symbol</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;chr&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>AERODEF</td><td>20120104</td><td>1460111191</td><td>493331236</td><td>201201</td><td>000768.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120104</td><td> 976641005</td><td>493331236</td><td>201201</td><td>002025.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120104</td><td>1125117546</td><td>493331236</td><td>201201</td><td>600118.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120104</td><td>1522650678</td><td>493331236</td><td>201201</td><td>600316.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120104</td><td> 675067956</td><td>493331236</td><td>201201</td><td>600879.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120104</td><td>1231862218</td><td>493331236</td><td>201201</td><td>600893.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120105</td><td>1460111191</td><td>548805394</td><td>201201</td><td>000768.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120105</td><td> 976641005</td><td>548805394</td><td>201201</td><td>002025.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120105</td><td>1125117546</td><td>548805394</td><td>201201</td><td>600118.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120105</td><td>1522650678</td><td>548805394</td><td>201201</td><td>600316.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120105</td><td> 675067956</td><td>548805394</td><td>201201</td><td>600879.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120105</td><td>1231862218</td><td>548805394</td><td>201201</td><td>600893.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120106</td><td>1460111191</td><td>627367060</td><td>201201</td><td>000768.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120106</td><td> 976641005</td><td>627367060</td><td>201201</td><td>002025.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120106</td><td>1125117546</td><td>627367060</td><td>201201</td><td>600118.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120106</td><td>1522650678</td><td>627367060</td><td>201201</td><td>600316.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120106</td><td> 675067956</td><td>627367060</td><td>201201</td><td>600879.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120106</td><td>1231862218</td><td>627367060</td><td>201201</td><td>600893.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120109</td><td>1460111191</td><td>505922745</td><td>201201</td><td>000768.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120109</td><td> 976641005</td><td>505922745</td><td>201201</td><td>002025.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120109</td><td>1125117546</td><td>505922745</td><td>201201</td><td>600118.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120109</td><td>1522650678</td><td>505922745</td><td>201201</td><td>600316.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120109</td><td> 675067956</td><td>505922745</td><td>201201</td><td>600879.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120109</td><td>1231862218</td><td>505922745</td><td>201201</td><td>600893.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120110</td><td>1460111191</td><td>831803465</td><td>201201</td><td>000768.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120110</td><td> 976641005</td><td>831803465</td><td>201201</td><td>002025.SZ</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120110</td><td>1125117546</td><td>831803465</td><td>201201</td><td>600118.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120110</td><td>1522650678</td><td>831803465</td><td>201201</td><td>600316.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120110</td><td>1231862218</td><td>831803465</td><td>201201</td><td>600893.SH</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120111</td><td>1460111191</td><td>668077807</td><td>201201</td><td>000768.SZ</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120612</td><td>3541810197</td><td>2664835398</td><td>201206</td><td>600795.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120615</td><td>5022905324</td><td>5006761207</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120619</td><td>5022905324</td><td>4449474627</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120620</td><td>3853344582</td><td>3400322740</td><td>201206</td><td>300262.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120620</td><td>5022905324</td><td>3400322740</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120620</td><td>3541810197</td><td>3400322740</td><td>201206</td><td>600795.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120621</td><td>3853344582</td><td>3106103822</td><td>201206</td><td>300262.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120621</td><td>5022905324</td><td>3106103822</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120621</td><td>3541810197</td><td>3106103822</td><td>201206</td><td>600795.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120625</td><td>3853344582</td><td>3527166565</td><td>201206</td><td>300262.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120625</td><td>5022905324</td><td>3527166565</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120625</td><td>3541810197</td><td>3527166565</td><td>201206</td><td>600795.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120626</td><td>2868179234</td><td>2805189837</td><td>201206</td><td>000598.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120626</td><td>3035893322</td><td>2805189837</td><td>201206</td><td>300055.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120626</td><td>3853344582</td><td>2805189837</td><td>201206</td><td>300262.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120626</td><td>5022905324</td><td>2805189837</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120626</td><td>3541810197</td><td>2805189837</td><td>201206</td><td>600795.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120627</td><td>2868179234</td><td>2673393100</td><td>201206</td><td>000598.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120627</td><td>3035893322</td><td>2673393100</td><td>201206</td><td>300055.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120627</td><td>3853344582</td><td>2673393100</td><td>201206</td><td>300262.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120627</td><td>5022905324</td><td>2673393100</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120627</td><td>3541810197</td><td>2673393100</td><td>201206</td><td>600795.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120628</td><td>3035893322</td><td>2899219686</td><td>201206</td><td>300055.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120628</td><td>3853344582</td><td>2899219686</td><td>201206</td><td>300262.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120628</td><td>5022905324</td><td>2899219686</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120628</td><td>3541810197</td><td>2899219686</td><td>201206</td><td>600795.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120629</td><td>3035893322</td><td>2929382325</td><td>201206</td><td>300055.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120629</td><td>3853344582</td><td>2929382325</td><td>201206</td><td>300262.SZ</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120629</td><td>5022905324</td><td>2929382325</td><td>201206</td><td>600011.SH</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120629</td><td>3541810197</td><td>2929382325</td><td>201206</td><td>600795.SH</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 15736 × 6\n",
       "\\begin{tabular}{r|llllll}\n",
       " industry & date & stkcd\\_m\\_amount & ind\\_d\\_amount & date\\_ym & symbol\\\\\n",
       " <chr> & <int> & <dbl> & <dbl> & <chr> & <chr>\\\\\n",
       "\\hline\n",
       "\t AERODEF & 20120104 & 1460111191 & 493331236 & 201201 & 000768.SZ\\\\\n",
       "\t AERODEF & 20120104 &  976641005 & 493331236 & 201201 & 002025.SZ\\\\\n",
       "\t AERODEF & 20120104 & 1125117546 & 493331236 & 201201 & 600118.SH\\\\\n",
       "\t AERODEF & 20120104 & 1522650678 & 493331236 & 201201 & 600316.SH\\\\\n",
       "\t AERODEF & 20120104 &  675067956 & 493331236 & 201201 & 600879.SH\\\\\n",
       "\t AERODEF & 20120104 & 1231862218 & 493331236 & 201201 & 600893.SH\\\\\n",
       "\t AERODEF & 20120105 & 1460111191 & 548805394 & 201201 & 000768.SZ\\\\\n",
       "\t AERODEF & 20120105 &  976641005 & 548805394 & 201201 & 002025.SZ\\\\\n",
       "\t AERODEF & 20120105 & 1125117546 & 548805394 & 201201 & 600118.SH\\\\\n",
       "\t AERODEF & 20120105 & 1522650678 & 548805394 & 201201 & 600316.SH\\\\\n",
       "\t AERODEF & 20120105 &  675067956 & 548805394 & 201201 & 600879.SH\\\\\n",
       "\t AERODEF & 20120105 & 1231862218 & 548805394 & 201201 & 600893.SH\\\\\n",
       "\t AERODEF & 20120106 & 1460111191 & 627367060 & 201201 & 000768.SZ\\\\\n",
       "\t AERODEF & 20120106 &  976641005 & 627367060 & 201201 & 002025.SZ\\\\\n",
       "\t AERODEF & 20120106 & 1125117546 & 627367060 & 201201 & 600118.SH\\\\\n",
       "\t AERODEF & 20120106 & 1522650678 & 627367060 & 201201 & 600316.SH\\\\\n",
       "\t AERODEF & 20120106 &  675067956 & 627367060 & 201201 & 600879.SH\\\\\n",
       "\t AERODEF & 20120106 & 1231862218 & 627367060 & 201201 & 600893.SH\\\\\n",
       "\t AERODEF & 20120109 & 1460111191 & 505922745 & 201201 & 000768.SZ\\\\\n",
       "\t AERODEF & 20120109 &  976641005 & 505922745 & 201201 & 002025.SZ\\\\\n",
       "\t AERODEF & 20120109 & 1125117546 & 505922745 & 201201 & 600118.SH\\\\\n",
       "\t AERODEF & 20120109 & 1522650678 & 505922745 & 201201 & 600316.SH\\\\\n",
       "\t AERODEF & 20120109 &  675067956 & 505922745 & 201201 & 600879.SH\\\\\n",
       "\t AERODEF & 20120109 & 1231862218 & 505922745 & 201201 & 600893.SH\\\\\n",
       "\t AERODEF & 20120110 & 1460111191 & 831803465 & 201201 & 000768.SZ\\\\\n",
       "\t AERODEF & 20120110 &  976641005 & 831803465 & 201201 & 002025.SZ\\\\\n",
       "\t AERODEF & 20120110 & 1125117546 & 831803465 & 201201 & 600118.SH\\\\\n",
       "\t AERODEF & 20120110 & 1522650678 & 831803465 & 201201 & 600316.SH\\\\\n",
       "\t AERODEF & 20120110 & 1231862218 & 831803465 & 201201 & 600893.SH\\\\\n",
       "\t AERODEF & 20120111 & 1460111191 & 668077807 & 201201 & 000768.SZ\\\\\n",
       "\t ... & ... & ... & ... & ... & ...\\\\\n",
       "\t UTILITIE & 20120612 & 3541810197 & 2664835398 & 201206 & 600795.SH\\\\\n",
       "\t UTILITIE & 20120615 & 5022905324 & 5006761207 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120619 & 5022905324 & 4449474627 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120620 & 3853344582 & 3400322740 & 201206 & 300262.SZ\\\\\n",
       "\t UTILITIE & 20120620 & 5022905324 & 3400322740 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120620 & 3541810197 & 3400322740 & 201206 & 600795.SH\\\\\n",
       "\t UTILITIE & 20120621 & 3853344582 & 3106103822 & 201206 & 300262.SZ\\\\\n",
       "\t UTILITIE & 20120621 & 5022905324 & 3106103822 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120621 & 3541810197 & 3106103822 & 201206 & 600795.SH\\\\\n",
       "\t UTILITIE & 20120625 & 3853344582 & 3527166565 & 201206 & 300262.SZ\\\\\n",
       "\t UTILITIE & 20120625 & 5022905324 & 3527166565 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120625 & 3541810197 & 3527166565 & 201206 & 600795.SH\\\\\n",
       "\t UTILITIE & 20120626 & 2868179234 & 2805189837 & 201206 & 000598.SZ\\\\\n",
       "\t UTILITIE & 20120626 & 3035893322 & 2805189837 & 201206 & 300055.SZ\\\\\n",
       "\t UTILITIE & 20120626 & 3853344582 & 2805189837 & 201206 & 300262.SZ\\\\\n",
       "\t UTILITIE & 20120626 & 5022905324 & 2805189837 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120626 & 3541810197 & 2805189837 & 201206 & 600795.SH\\\\\n",
       "\t UTILITIE & 20120627 & 2868179234 & 2673393100 & 201206 & 000598.SZ\\\\\n",
       "\t UTILITIE & 20120627 & 3035893322 & 2673393100 & 201206 & 300055.SZ\\\\\n",
       "\t UTILITIE & 20120627 & 3853344582 & 2673393100 & 201206 & 300262.SZ\\\\\n",
       "\t UTILITIE & 20120627 & 5022905324 & 2673393100 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120627 & 3541810197 & 2673393100 & 201206 & 600795.SH\\\\\n",
       "\t UTILITIE & 20120628 & 3035893322 & 2899219686 & 201206 & 300055.SZ\\\\\n",
       "\t UTILITIE & 20120628 & 3853344582 & 2899219686 & 201206 & 300262.SZ\\\\\n",
       "\t UTILITIE & 20120628 & 5022905324 & 2899219686 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120628 & 3541810197 & 2899219686 & 201206 & 600795.SH\\\\\n",
       "\t UTILITIE & 20120629 & 3035893322 & 2929382325 & 201206 & 300055.SZ\\\\\n",
       "\t UTILITIE & 20120629 & 3853344582 & 2929382325 & 201206 & 300262.SZ\\\\\n",
       "\t UTILITIE & 20120629 & 5022905324 & 2929382325 & 201206 & 600011.SH\\\\\n",
       "\t UTILITIE & 20120629 & 3541810197 & 2929382325 & 201206 & 600795.SH\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 15736 × 6\n",
       "\n",
       "| industry &lt;chr&gt; | date &lt;int&gt; | stkcd_m_amount &lt;dbl&gt; | ind_d_amount &lt;dbl&gt; | date_ym &lt;chr&gt; | symbol &lt;chr&gt; |\n",
       "|---|---|---|---|---|---|\n",
       "| AERODEF | 20120104 | 1460111191 | 493331236 | 201201 | 000768.SZ |\n",
       "| AERODEF | 20120104 |  976641005 | 493331236 | 201201 | 002025.SZ |\n",
       "| AERODEF | 20120104 | 1125117546 | 493331236 | 201201 | 600118.SH |\n",
       "| AERODEF | 20120104 | 1522650678 | 493331236 | 201201 | 600316.SH |\n",
       "| AERODEF | 20120104 |  675067956 | 493331236 | 201201 | 600879.SH |\n",
       "| AERODEF | 20120104 | 1231862218 | 493331236 | 201201 | 600893.SH |\n",
       "| AERODEF | 20120105 | 1460111191 | 548805394 | 201201 | 000768.SZ |\n",
       "| AERODEF | 20120105 |  976641005 | 548805394 | 201201 | 002025.SZ |\n",
       "| AERODEF | 20120105 | 1125117546 | 548805394 | 201201 | 600118.SH |\n",
       "| AERODEF | 20120105 | 1522650678 | 548805394 | 201201 | 600316.SH |\n",
       "| AERODEF | 20120105 |  675067956 | 548805394 | 201201 | 600879.SH |\n",
       "| AERODEF | 20120105 | 1231862218 | 548805394 | 201201 | 600893.SH |\n",
       "| AERODEF | 20120106 | 1460111191 | 627367060 | 201201 | 000768.SZ |\n",
       "| AERODEF | 20120106 |  976641005 | 627367060 | 201201 | 002025.SZ |\n",
       "| AERODEF | 20120106 | 1125117546 | 627367060 | 201201 | 600118.SH |\n",
       "| AERODEF | 20120106 | 1522650678 | 627367060 | 201201 | 600316.SH |\n",
       "| AERODEF | 20120106 |  675067956 | 627367060 | 201201 | 600879.SH |\n",
       "| AERODEF | 20120106 | 1231862218 | 627367060 | 201201 | 600893.SH |\n",
       "| AERODEF | 20120109 | 1460111191 | 505922745 | 201201 | 000768.SZ |\n",
       "| AERODEF | 20120109 |  976641005 | 505922745 | 201201 | 002025.SZ |\n",
       "| AERODEF | 20120109 | 1125117546 | 505922745 | 201201 | 600118.SH |\n",
       "| AERODEF | 20120109 | 1522650678 | 505922745 | 201201 | 600316.SH |\n",
       "| AERODEF | 20120109 |  675067956 | 505922745 | 201201 | 600879.SH |\n",
       "| AERODEF | 20120109 | 1231862218 | 505922745 | 201201 | 600893.SH |\n",
       "| AERODEF | 20120110 | 1460111191 | 831803465 | 201201 | 000768.SZ |\n",
       "| AERODEF | 20120110 |  976641005 | 831803465 | 201201 | 002025.SZ |\n",
       "| AERODEF | 20120110 | 1125117546 | 831803465 | 201201 | 600118.SH |\n",
       "| AERODEF | 20120110 | 1522650678 | 831803465 | 201201 | 600316.SH |\n",
       "| AERODEF | 20120110 | 1231862218 | 831803465 | 201201 | 600893.SH |\n",
       "| AERODEF | 20120111 | 1460111191 | 668077807 | 201201 | 000768.SZ |\n",
       "| ... | ... | ... | ... | ... | ... |\n",
       "| UTILITIE | 20120612 | 3541810197 | 2664835398 | 201206 | 600795.SH |\n",
       "| UTILITIE | 20120615 | 5022905324 | 5006761207 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120619 | 5022905324 | 4449474627 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120620 | 3853344582 | 3400322740 | 201206 | 300262.SZ |\n",
       "| UTILITIE | 20120620 | 5022905324 | 3400322740 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120620 | 3541810197 | 3400322740 | 201206 | 600795.SH |\n",
       "| UTILITIE | 20120621 | 3853344582 | 3106103822 | 201206 | 300262.SZ |\n",
       "| UTILITIE | 20120621 | 5022905324 | 3106103822 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120621 | 3541810197 | 3106103822 | 201206 | 600795.SH |\n",
       "| UTILITIE | 20120625 | 3853344582 | 3527166565 | 201206 | 300262.SZ |\n",
       "| UTILITIE | 20120625 | 5022905324 | 3527166565 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120625 | 3541810197 | 3527166565 | 201206 | 600795.SH |\n",
       "| UTILITIE | 20120626 | 2868179234 | 2805189837 | 201206 | 000598.SZ |\n",
       "| UTILITIE | 20120626 | 3035893322 | 2805189837 | 201206 | 300055.SZ |\n",
       "| UTILITIE | 20120626 | 3853344582 | 2805189837 | 201206 | 300262.SZ |\n",
       "| UTILITIE | 20120626 | 5022905324 | 2805189837 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120626 | 3541810197 | 2805189837 | 201206 | 600795.SH |\n",
       "| UTILITIE | 20120627 | 2868179234 | 2673393100 | 201206 | 000598.SZ |\n",
       "| UTILITIE | 20120627 | 3035893322 | 2673393100 | 201206 | 300055.SZ |\n",
       "| UTILITIE | 20120627 | 3853344582 | 2673393100 | 201206 | 300262.SZ |\n",
       "| UTILITIE | 20120627 | 5022905324 | 2673393100 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120627 | 3541810197 | 2673393100 | 201206 | 600795.SH |\n",
       "| UTILITIE | 20120628 | 3035893322 | 2899219686 | 201206 | 300055.SZ |\n",
       "| UTILITIE | 20120628 | 3853344582 | 2899219686 | 201206 | 300262.SZ |\n",
       "| UTILITIE | 20120628 | 5022905324 | 2899219686 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120628 | 3541810197 | 2899219686 | 201206 | 600795.SH |\n",
       "| UTILITIE | 20120629 | 3035893322 | 2929382325 | 201206 | 300055.SZ |\n",
       "| UTILITIE | 20120629 | 3853344582 | 2929382325 | 201206 | 300262.SZ |\n",
       "| UTILITIE | 20120629 | 5022905324 | 2929382325 | 201206 | 600011.SH |\n",
       "| UTILITIE | 20120629 | 3541810197 | 2929382325 | 201206 | 600795.SH |\n",
       "\n"
      ],
      "text/plain": [
       "      industry date     stkcd_m_amount ind_d_amount date_ym symbol   \n",
       "1     AERODEF  20120104 1460111191     493331236    201201  000768.SZ\n",
       "2     AERODEF  20120104  976641005     493331236    201201  002025.SZ\n",
       "3     AERODEF  20120104 1125117546     493331236    201201  600118.SH\n",
       "4     AERODEF  20120104 1522650678     493331236    201201  600316.SH\n",
       "5     AERODEF  20120104  675067956     493331236    201201  600879.SH\n",
       "6     AERODEF  20120104 1231862218     493331236    201201  600893.SH\n",
       "7     AERODEF  20120105 1460111191     548805394    201201  000768.SZ\n",
       "8     AERODEF  20120105  976641005     548805394    201201  002025.SZ\n",
       "9     AERODEF  20120105 1125117546     548805394    201201  600118.SH\n",
       "10    AERODEF  20120105 1522650678     548805394    201201  600316.SH\n",
       "11    AERODEF  20120105  675067956     548805394    201201  600879.SH\n",
       "12    AERODEF  20120105 1231862218     548805394    201201  600893.SH\n",
       "13    AERODEF  20120106 1460111191     627367060    201201  000768.SZ\n",
       "14    AERODEF  20120106  976641005     627367060    201201  002025.SZ\n",
       "15    AERODEF  20120106 1125117546     627367060    201201  600118.SH\n",
       "16    AERODEF  20120106 1522650678     627367060    201201  600316.SH\n",
       "17    AERODEF  20120106  675067956     627367060    201201  600879.SH\n",
       "18    AERODEF  20120106 1231862218     627367060    201201  600893.SH\n",
       "19    AERODEF  20120109 1460111191     505922745    201201  000768.SZ\n",
       "20    AERODEF  20120109  976641005     505922745    201201  002025.SZ\n",
       "21    AERODEF  20120109 1125117546     505922745    201201  600118.SH\n",
       "22    AERODEF  20120109 1522650678     505922745    201201  600316.SH\n",
       "23    AERODEF  20120109  675067956     505922745    201201  600879.SH\n",
       "24    AERODEF  20120109 1231862218     505922745    201201  600893.SH\n",
       "25    AERODEF  20120110 1460111191     831803465    201201  000768.SZ\n",
       "26    AERODEF  20120110  976641005     831803465    201201  002025.SZ\n",
       "27    AERODEF  20120110 1125117546     831803465    201201  600118.SH\n",
       "28    AERODEF  20120110 1522650678     831803465    201201  600316.SH\n",
       "29    AERODEF  20120110 1231862218     831803465    201201  600893.SH\n",
       "30    AERODEF  20120111 1460111191     668077807    201201  000768.SZ\n",
       "...   ...      ...      ...            ...          ...     ...      \n",
       "15707 UTILITIE 20120612 3541810197     2664835398   201206  600795.SH\n",
       "15708 UTILITIE 20120615 5022905324     5006761207   201206  600011.SH\n",
       "15709 UTILITIE 20120619 5022905324     4449474627   201206  600011.SH\n",
       "15710 UTILITIE 20120620 3853344582     3400322740   201206  300262.SZ\n",
       "15711 UTILITIE 20120620 5022905324     3400322740   201206  600011.SH\n",
       "15712 UTILITIE 20120620 3541810197     3400322740   201206  600795.SH\n",
       "15713 UTILITIE 20120621 3853344582     3106103822   201206  300262.SZ\n",
       "15714 UTILITIE 20120621 5022905324     3106103822   201206  600011.SH\n",
       "15715 UTILITIE 20120621 3541810197     3106103822   201206  600795.SH\n",
       "15716 UTILITIE 20120625 3853344582     3527166565   201206  300262.SZ\n",
       "15717 UTILITIE 20120625 5022905324     3527166565   201206  600011.SH\n",
       "15718 UTILITIE 20120625 3541810197     3527166565   201206  600795.SH\n",
       "15719 UTILITIE 20120626 2868179234     2805189837   201206  000598.SZ\n",
       "15720 UTILITIE 20120626 3035893322     2805189837   201206  300055.SZ\n",
       "15721 UTILITIE 20120626 3853344582     2805189837   201206  300262.SZ\n",
       "15722 UTILITIE 20120626 5022905324     2805189837   201206  600011.SH\n",
       "15723 UTILITIE 20120626 3541810197     2805189837   201206  600795.SH\n",
       "15724 UTILITIE 20120627 2868179234     2673393100   201206  000598.SZ\n",
       "15725 UTILITIE 20120627 3035893322     2673393100   201206  300055.SZ\n",
       "15726 UTILITIE 20120627 3853344582     2673393100   201206  300262.SZ\n",
       "15727 UTILITIE 20120627 5022905324     2673393100   201206  600011.SH\n",
       "15728 UTILITIE 20120627 3541810197     2673393100   201206  600795.SH\n",
       "15729 UTILITIE 20120628 3035893322     2899219686   201206  300055.SZ\n",
       "15730 UTILITIE 20120628 3853344582     2899219686   201206  300262.SZ\n",
       "15731 UTILITIE 20120628 5022905324     2899219686   201206  600011.SH\n",
       "15732 UTILITIE 20120628 3541810197     2899219686   201206  600795.SH\n",
       "15733 UTILITIE 20120629 3035893322     2929382325   201206  300055.SZ\n",
       "15734 UTILITIE 20120629 3853344582     2929382325   201206  300262.SZ\n",
       "15735 UTILITIE 20120629 5022905324     2929382325   201206  600011.SH\n",
       "15736 UTILITIE 20120629 3541810197     2929382325   201206  600795.SH"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(date_ym = str_sub(date, start = 1, end = 6), amount, industry), keyby = .(symbol, date)\n",
    "    ][, .(stkcd_m_amount = sum(amount), amount, industry, date), keyby = .(date_ym, symbol)\n",
    "    ][, .(stkcd_m_amount, ind_d_amount = sum(amount), date_ym, symbol), keyby = .(industry, date)\n",
    "    ][stkcd_m_amount > ind_d_amount]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *56. 每天每个行业编入、编出的股票各有多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 70,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3712 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>export</th><th scope=col>import</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>1</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>0</td><td>0</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3712 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " industry & export & import\\\\\n",
       " <chr> & <int> & <int>\\\\\n",
       "\\hline\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t AERODEF & 0 & 0\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 1\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\t UTILITIE & 0 & 0\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3712 × 3\n",
       "\n",
       "| industry &lt;chr&gt; | export &lt;int&gt; | import &lt;int&gt; |\n",
       "|---|---|---|\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| AERODEF | 0 | 0 |\n",
       "| ... | ... | ... |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 1 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "| UTILITIE | 0 | 0 |\n",
       "\n"
      ],
      "text/plain": [
       "     industry export import\n",
       "1    AERODEF  0      0     \n",
       "2    AERODEF  0      0     \n",
       "3    AERODEF  0      0     \n",
       "4    AERODEF  0      0     \n",
       "5    AERODEF  0      0     \n",
       "6    AERODEF  0      0     \n",
       "7    AERODEF  0      0     \n",
       "8    AERODEF  0      0     \n",
       "9    AERODEF  0      0     \n",
       "10   AERODEF  0      0     \n",
       "11   AERODEF  0      0     \n",
       "12   AERODEF  0      0     \n",
       "13   AERODEF  0      0     \n",
       "14   AERODEF  0      0     \n",
       "15   AERODEF  0      0     \n",
       "16   AERODEF  0      0     \n",
       "17   AERODEF  0      0     \n",
       "18   AERODEF  0      0     \n",
       "19   AERODEF  0      0     \n",
       "20   AERODEF  0      0     \n",
       "21   AERODEF  0      0     \n",
       "22   AERODEF  0      0     \n",
       "23   AERODEF  0      0     \n",
       "24   AERODEF  0      0     \n",
       "25   AERODEF  0      0     \n",
       "26   AERODEF  0      0     \n",
       "27   AERODEF  0      0     \n",
       "28   AERODEF  0      0     \n",
       "29   AERODEF  0      0     \n",
       "30   AERODEF  0      0     \n",
       "...  ...      ...    ...   \n",
       "3683 UTILITIE 0      0     \n",
       "3684 UTILITIE 0      0     \n",
       "3685 UTILITIE 0      0     \n",
       "3686 UTILITIE 0      0     \n",
       "3687 UTILITIE 0      0     \n",
       "3688 UTILITIE 0      0     \n",
       "3689 UTILITIE 0      0     \n",
       "3690 UTILITIE 0      0     \n",
       "3691 UTILITIE 0      0     \n",
       "3692 UTILITIE 0      0     \n",
       "3693 UTILITIE 0      1     \n",
       "3694 UTILITIE 0      0     \n",
       "3695 UTILITIE 0      0     \n",
       "3696 UTILITIE 0      0     \n",
       "3697 UTILITIE 0      0     \n",
       "3698 UTILITIE 0      0     \n",
       "3699 UTILITIE 0      0     \n",
       "3700 UTILITIE 0      0     \n",
       "3701 UTILITIE 0      0     \n",
       "3702 UTILITIE 0      0     \n",
       "3703 UTILITIE 0      0     \n",
       "3704 UTILITIE 0      0     \n",
       "3705 UTILITIE 0      0     \n",
       "3706 UTILITIE 0      0     \n",
       "3707 UTILITIE 0      0     \n",
       "3708 UTILITIE 0      0     \n",
       "3709 UTILITIE 0      0     \n",
       "3710 UTILITIE 0      0     \n",
       "3711 UTILITIE 0      0     \n",
       "3712 UTILITIE 0      0     "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(symbol_list = list(symbol)), keyby = .(industry, date)\n",
    "    ][, {\n",
    "        l <- list()\n",
    "        for (i in 2:.N) {\n",
    "            intec <- intersect(symbol_list[[i]], symbol_list[[i-1]]) %>% length()\n",
    "            len1 <- length(symbol_list[[i]])\n",
    "            len2 <- length(symbol_list[[i-1]])\n",
    "            l[[i]] <- list(export = len2-intec, import = len1-intec)\n",
    "        }\n",
    "        rbindlist(l)\n",
    "    }, keyby = industry]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *57. 每天每个行业内股票收益率的标准差是多少？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 71,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 3744 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>industry</th><th scope=col>date</th><th scope=col>ret_sd</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>AERODEF</td><td>20120104</td><td>0.028368795</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120105</td><td>0.029020206</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120106</td><td>0.031931409</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120109</td><td>0.013774933</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120110</td><td>0.014172288</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120111</td><td>0.012716938</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120112</td><td>0.015646738</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120113</td><td>0.015327578</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120116</td><td>0.013199788</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120117</td><td>0.012681424</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120118</td><td>0.011610977</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120119</td><td>0.016473472</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120120</td><td>0.010727133</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120130</td><td>0.013152774</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120131</td><td>0.012325435</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120201</td><td>0.010929918</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120202</td><td>0.003688354</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120203</td><td>0.018103676</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120206</td><td>0.008747776</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120207</td><td>0.030650728</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120208</td><td>0.011432460</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120209</td><td>0.008638588</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120210</td><td>0.005203473</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120213</td><td>0.008511979</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120214</td><td>0.010059053</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120215</td><td>0.009175957</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120216</td><td>0.030506808</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120217</td><td>0.007650917</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120220</td><td>0.019091874</td></tr>\n",
       "\t<tr><td>AERODEF</td><td>20120221</td><td>0.011055999</td></tr>\n",
       "\t<tr><td>...</td><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120518</td><td>0.018525083</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120521</td><td>0.021626538</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120522</td><td>0.008861422</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120523</td><td>0.016696596</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120524</td><td>0.013798881</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120525</td><td>0.019858764</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120528</td><td>0.013782185</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120529</td><td>0.015505377</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120530</td><td>0.019102570</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120531</td><td>0.019486330</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120601</td><td>0.014012860</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120604</td><td>0.026159634</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120605</td><td>0.020362464</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120606</td><td>0.016105496</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120607</td><td>0.023025395</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120608</td><td>0.024049877</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120611</td><td>0.021952840</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120612</td><td>0.013013043</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120613</td><td>0.020462591</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120614</td><td>0.020413201</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120615</td><td>0.026520570</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120618</td><td>0.018214183</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120619</td><td>0.015733283</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120620</td><td>0.017425427</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120621</td><td>0.018197908</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120625</td><td>0.019760241</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120626</td><td>0.018382344</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120627</td><td>0.014828996</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120628</td><td>0.021611569</td></tr>\n",
       "\t<tr><td>UTILITIE</td><td>20120629</td><td>0.012881628</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 3744 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " industry & date & ret\\_sd\\\\\n",
       " <chr> & <int> & <dbl>\\\\\n",
       "\\hline\n",
       "\t AERODEF & 20120104 & 0.028368795\\\\\n",
       "\t AERODEF & 20120105 & 0.029020206\\\\\n",
       "\t AERODEF & 20120106 & 0.031931409\\\\\n",
       "\t AERODEF & 20120109 & 0.013774933\\\\\n",
       "\t AERODEF & 20120110 & 0.014172288\\\\\n",
       "\t AERODEF & 20120111 & 0.012716938\\\\\n",
       "\t AERODEF & 20120112 & 0.015646738\\\\\n",
       "\t AERODEF & 20120113 & 0.015327578\\\\\n",
       "\t AERODEF & 20120116 & 0.013199788\\\\\n",
       "\t AERODEF & 20120117 & 0.012681424\\\\\n",
       "\t AERODEF & 20120118 & 0.011610977\\\\\n",
       "\t AERODEF & 20120119 & 0.016473472\\\\\n",
       "\t AERODEF & 20120120 & 0.010727133\\\\\n",
       "\t AERODEF & 20120130 & 0.013152774\\\\\n",
       "\t AERODEF & 20120131 & 0.012325435\\\\\n",
       "\t AERODEF & 20120201 & 0.010929918\\\\\n",
       "\t AERODEF & 20120202 & 0.003688354\\\\\n",
       "\t AERODEF & 20120203 & 0.018103676\\\\\n",
       "\t AERODEF & 20120206 & 0.008747776\\\\\n",
       "\t AERODEF & 20120207 & 0.030650728\\\\\n",
       "\t AERODEF & 20120208 & 0.011432460\\\\\n",
       "\t AERODEF & 20120209 & 0.008638588\\\\\n",
       "\t AERODEF & 20120210 & 0.005203473\\\\\n",
       "\t AERODEF & 20120213 & 0.008511979\\\\\n",
       "\t AERODEF & 20120214 & 0.010059053\\\\\n",
       "\t AERODEF & 20120215 & 0.009175957\\\\\n",
       "\t AERODEF & 20120216 & 0.030506808\\\\\n",
       "\t AERODEF & 20120217 & 0.007650917\\\\\n",
       "\t AERODEF & 20120220 & 0.019091874\\\\\n",
       "\t AERODEF & 20120221 & 0.011055999\\\\\n",
       "\t ... & ... & ...\\\\\n",
       "\t UTILITIE & 20120518 & 0.018525083\\\\\n",
       "\t UTILITIE & 20120521 & 0.021626538\\\\\n",
       "\t UTILITIE & 20120522 & 0.008861422\\\\\n",
       "\t UTILITIE & 20120523 & 0.016696596\\\\\n",
       "\t UTILITIE & 20120524 & 0.013798881\\\\\n",
       "\t UTILITIE & 20120525 & 0.019858764\\\\\n",
       "\t UTILITIE & 20120528 & 0.013782185\\\\\n",
       "\t UTILITIE & 20120529 & 0.015505377\\\\\n",
       "\t UTILITIE & 20120530 & 0.019102570\\\\\n",
       "\t UTILITIE & 20120531 & 0.019486330\\\\\n",
       "\t UTILITIE & 20120601 & 0.014012860\\\\\n",
       "\t UTILITIE & 20120604 & 0.026159634\\\\\n",
       "\t UTILITIE & 20120605 & 0.020362464\\\\\n",
       "\t UTILITIE & 20120606 & 0.016105496\\\\\n",
       "\t UTILITIE & 20120607 & 0.023025395\\\\\n",
       "\t UTILITIE & 20120608 & 0.024049877\\\\\n",
       "\t UTILITIE & 20120611 & 0.021952840\\\\\n",
       "\t UTILITIE & 20120612 & 0.013013043\\\\\n",
       "\t UTILITIE & 20120613 & 0.020462591\\\\\n",
       "\t UTILITIE & 20120614 & 0.020413201\\\\\n",
       "\t UTILITIE & 20120615 & 0.026520570\\\\\n",
       "\t UTILITIE & 20120618 & 0.018214183\\\\\n",
       "\t UTILITIE & 20120619 & 0.015733283\\\\\n",
       "\t UTILITIE & 20120620 & 0.017425427\\\\\n",
       "\t UTILITIE & 20120621 & 0.018197908\\\\\n",
       "\t UTILITIE & 20120625 & 0.019760241\\\\\n",
       "\t UTILITIE & 20120626 & 0.018382344\\\\\n",
       "\t UTILITIE & 20120627 & 0.014828996\\\\\n",
       "\t UTILITIE & 20120628 & 0.021611569\\\\\n",
       "\t UTILITIE & 20120629 & 0.012881628\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 3744 × 3\n",
       "\n",
       "| industry &lt;chr&gt; | date &lt;int&gt; | ret_sd &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| AERODEF | 20120104 | 0.028368795 |\n",
       "| AERODEF | 20120105 | 0.029020206 |\n",
       "| AERODEF | 20120106 | 0.031931409 |\n",
       "| AERODEF | 20120109 | 0.013774933 |\n",
       "| AERODEF | 20120110 | 0.014172288 |\n",
       "| AERODEF | 20120111 | 0.012716938 |\n",
       "| AERODEF | 20120112 | 0.015646738 |\n",
       "| AERODEF | 20120113 | 0.015327578 |\n",
       "| AERODEF | 20120116 | 0.013199788 |\n",
       "| AERODEF | 20120117 | 0.012681424 |\n",
       "| AERODEF | 20120118 | 0.011610977 |\n",
       "| AERODEF | 20120119 | 0.016473472 |\n",
       "| AERODEF | 20120120 | 0.010727133 |\n",
       "| AERODEF | 20120130 | 0.013152774 |\n",
       "| AERODEF | 20120131 | 0.012325435 |\n",
       "| AERODEF | 20120201 | 0.010929918 |\n",
       "| AERODEF | 20120202 | 0.003688354 |\n",
       "| AERODEF | 20120203 | 0.018103676 |\n",
       "| AERODEF | 20120206 | 0.008747776 |\n",
       "| AERODEF | 20120207 | 0.030650728 |\n",
       "| AERODEF | 20120208 | 0.011432460 |\n",
       "| AERODEF | 20120209 | 0.008638588 |\n",
       "| AERODEF | 20120210 | 0.005203473 |\n",
       "| AERODEF | 20120213 | 0.008511979 |\n",
       "| AERODEF | 20120214 | 0.010059053 |\n",
       "| AERODEF | 20120215 | 0.009175957 |\n",
       "| AERODEF | 20120216 | 0.030506808 |\n",
       "| AERODEF | 20120217 | 0.007650917 |\n",
       "| AERODEF | 20120220 | 0.019091874 |\n",
       "| AERODEF | 20120221 | 0.011055999 |\n",
       "| ... | ... | ... |\n",
       "| UTILITIE | 20120518 | 0.018525083 |\n",
       "| UTILITIE | 20120521 | 0.021626538 |\n",
       "| UTILITIE | 20120522 | 0.008861422 |\n",
       "| UTILITIE | 20120523 | 0.016696596 |\n",
       "| UTILITIE | 20120524 | 0.013798881 |\n",
       "| UTILITIE | 20120525 | 0.019858764 |\n",
       "| UTILITIE | 20120528 | 0.013782185 |\n",
       "| UTILITIE | 20120529 | 0.015505377 |\n",
       "| UTILITIE | 20120530 | 0.019102570 |\n",
       "| UTILITIE | 20120531 | 0.019486330 |\n",
       "| UTILITIE | 20120601 | 0.014012860 |\n",
       "| UTILITIE | 20120604 | 0.026159634 |\n",
       "| UTILITIE | 20120605 | 0.020362464 |\n",
       "| UTILITIE | 20120606 | 0.016105496 |\n",
       "| UTILITIE | 20120607 | 0.023025395 |\n",
       "| UTILITIE | 20120608 | 0.024049877 |\n",
       "| UTILITIE | 20120611 | 0.021952840 |\n",
       "| UTILITIE | 20120612 | 0.013013043 |\n",
       "| UTILITIE | 20120613 | 0.020462591 |\n",
       "| UTILITIE | 20120614 | 0.020413201 |\n",
       "| UTILITIE | 20120615 | 0.026520570 |\n",
       "| UTILITIE | 20120618 | 0.018214183 |\n",
       "| UTILITIE | 20120619 | 0.015733283 |\n",
       "| UTILITIE | 20120620 | 0.017425427 |\n",
       "| UTILITIE | 20120621 | 0.018197908 |\n",
       "| UTILITIE | 20120625 | 0.019760241 |\n",
       "| UTILITIE | 20120626 | 0.018382344 |\n",
       "| UTILITIE | 20120627 | 0.014828996 |\n",
       "| UTILITIE | 20120628 | 0.021611569 |\n",
       "| UTILITIE | 20120629 | 0.012881628 |\n",
       "\n"
      ],
      "text/plain": [
       "     industry date     ret_sd     \n",
       "1    AERODEF  20120104 0.028368795\n",
       "2    AERODEF  20120105 0.029020206\n",
       "3    AERODEF  20120106 0.031931409\n",
       "4    AERODEF  20120109 0.013774933\n",
       "5    AERODEF  20120110 0.014172288\n",
       "6    AERODEF  20120111 0.012716938\n",
       "7    AERODEF  20120112 0.015646738\n",
       "8    AERODEF  20120113 0.015327578\n",
       "9    AERODEF  20120116 0.013199788\n",
       "10   AERODEF  20120117 0.012681424\n",
       "11   AERODEF  20120118 0.011610977\n",
       "12   AERODEF  20120119 0.016473472\n",
       "13   AERODEF  20120120 0.010727133\n",
       "14   AERODEF  20120130 0.013152774\n",
       "15   AERODEF  20120131 0.012325435\n",
       "16   AERODEF  20120201 0.010929918\n",
       "17   AERODEF  20120202 0.003688354\n",
       "18   AERODEF  20120203 0.018103676\n",
       "19   AERODEF  20120206 0.008747776\n",
       "20   AERODEF  20120207 0.030650728\n",
       "21   AERODEF  20120208 0.011432460\n",
       "22   AERODEF  20120209 0.008638588\n",
       "23   AERODEF  20120210 0.005203473\n",
       "24   AERODEF  20120213 0.008511979\n",
       "25   AERODEF  20120214 0.010059053\n",
       "26   AERODEF  20120215 0.009175957\n",
       "27   AERODEF  20120216 0.030506808\n",
       "28   AERODEF  20120217 0.007650917\n",
       "29   AERODEF  20120220 0.019091874\n",
       "30   AERODEF  20120221 0.011055999\n",
       "...  ...      ...      ...        \n",
       "3715 UTILITIE 20120518 0.018525083\n",
       "3716 UTILITIE 20120521 0.021626538\n",
       "3717 UTILITIE 20120522 0.008861422\n",
       "3718 UTILITIE 20120523 0.016696596\n",
       "3719 UTILITIE 20120524 0.013798881\n",
       "3720 UTILITIE 20120525 0.019858764\n",
       "3721 UTILITIE 20120528 0.013782185\n",
       "3722 UTILITIE 20120529 0.015505377\n",
       "3723 UTILITIE 20120530 0.019102570\n",
       "3724 UTILITIE 20120531 0.019486330\n",
       "3725 UTILITIE 20120601 0.014012860\n",
       "3726 UTILITIE 20120604 0.026159634\n",
       "3727 UTILITIE 20120605 0.020362464\n",
       "3728 UTILITIE 20120606 0.016105496\n",
       "3729 UTILITIE 20120607 0.023025395\n",
       "3730 UTILITIE 20120608 0.024049877\n",
       "3731 UTILITIE 20120611 0.021952840\n",
       "3732 UTILITIE 20120612 0.013013043\n",
       "3733 UTILITIE 20120613 0.020462591\n",
       "3734 UTILITIE 20120614 0.020413201\n",
       "3735 UTILITIE 20120615 0.026520570\n",
       "3736 UTILITIE 20120618 0.018214183\n",
       "3737 UTILITIE 20120619 0.015733283\n",
       "3738 UTILITIE 20120620 0.017425427\n",
       "3739 UTILITIE 20120621 0.018197908\n",
       "3740 UTILITIE 20120625 0.019760241\n",
       "3741 UTILITIE 20120626 0.018382344\n",
       "3742 UTILITIE 20120627 0.014828996\n",
       "3743 UTILITIE 20120628 0.021611569\n",
       "3744 UTILITIE 20120629 0.012881628"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1), keyby = .(symbol, industry, date)\n",
    "    ][, .(ret_sd = sd(stkcd_ret)), keyby = .(industry, date)]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *58. 每天每个行业内股票收益率的标准差的相关性如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 72,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A matrix: 32 × 32 of type dbl</caption>\n",
       "<thead>\n",
       "\t<tr><th></th><th scope=col>AERODEF</th><th scope=col>AIRLINE</th><th scope=col>AUTO</th><th scope=col>BANKS</th><th scope=col>BEV</th><th scope=col>BLDPROD</th><th scope=col>CHEM</th><th scope=col>CNSTENG</th><th scope=col>COMSERV</th><th scope=col>CONMAT</th><th scope=col>...</th><th scope=col>MATERIAL</th><th scope=col>MEDIA</th><th scope=col>MTLMIN</th><th scope=col>PERSPRD</th><th scope=col>RDRLTRAN</th><th scope=col>REALEST</th><th scope=col>RETAIL</th><th scope=col>SOFTWARE</th><th scope=col>TRDDIST</th><th scope=col>UTILITIE</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><th scope=row>AERODEF</th><td> 1.00000000</td><td> 0.115230313</td><td>0.33195634</td><td> 0.080215236</td><td>0.02497865</td><td>0.235179203</td><td> 0.188611021</td><td> 0.21682816</td><td> 0.25731553</td><td> 0.39057378</td><td>...</td><td>-0.0394749594</td><td> 0.055022380</td><td> 0.23774679</td><td> 0.07375119</td><td> 0.2346200480</td><td>0.24081523</td><td> 0.19727892</td><td> 0.461432767</td><td> 0.12838253</td><td>0.25716471</td></tr>\n",
       "\t<tr><th scope=row>AIRLINE</th><td> 0.11523031</td><td> 1.000000000</td><td>0.22235548</td><td> 0.024461977</td><td>0.02250268</td><td>0.119219798</td><td> 0.167029633</td><td> 0.30127020</td><td> 0.12523655</td><td> 0.17059602</td><td>...</td><td>-0.0658453902</td><td> 0.004517255</td><td> 0.15329979</td><td> 0.20779311</td><td> 0.2385023137</td><td>0.23494478</td><td> 0.27578735</td><td> 0.009783945</td><td> 0.32039923</td><td>0.13232896</td></tr>\n",
       "\t<tr><th scope=row>AUTO</th><td> 0.33195634</td><td> 0.222355484</td><td>1.00000000</td><td> 0.072839622</td><td>0.26374233</td><td>0.520673263</td><td> 0.369540478</td><td> 0.32496927</td><td> 0.57458415</td><td> 0.28974566</td><td>...</td><td> 0.1203428296</td><td> 0.101366286</td><td> 0.34657502</td><td> 0.40223562</td><td> 0.4603776921</td><td>0.45936853</td><td> 0.42896230</td><td> 0.208918543</td><td> 0.36367545</td><td>0.32279054</td></tr>\n",
       "\t<tr><th scope=row>BANKS</th><td> 0.08021524</td><td> 0.024461977</td><td>0.07283962</td><td> 1.000000000</td><td>0.06073737</td><td>0.160753394</td><td> 0.157010691</td><td>-0.01045057</td><td> 0.01772396</td><td> 0.20336602</td><td>...</td><td>-0.0382677674</td><td>-0.038437239</td><td> 0.13709376</td><td> 0.14952446</td><td> 0.1321562769</td><td>0.19262828</td><td> 0.11673246</td><td>-0.042061979</td><td> 0.07288153</td><td>0.26346287</td></tr>\n",
       "\t<tr><th scope=row>BEV</th><td> 0.02497865</td><td> 0.022502678</td><td>0.26374233</td><td> 0.060737370</td><td>1.00000000</td><td>0.352289128</td><td> 0.114482730</td><td> 0.21168533</td><td> 0.13948967</td><td> 0.11835709</td><td>...</td><td> 0.1011156571</td><td> 0.154698742</td><td> 0.36789630</td><td> 0.19861833</td><td> 0.0538476134</td><td>0.07943199</td><td> 0.20594709</td><td> 0.122780772</td><td> 0.16235076</td><td>0.17341258</td></tr>\n",
       "\t<tr><th scope=row>BLDPROD</th><td> 0.23517920</td><td> 0.119219798</td><td>0.52067326</td><td> 0.160753394</td><td>0.35228913</td><td>1.000000000</td><td> 0.414073336</td><td> 0.31393958</td><td> 0.36599040</td><td> 0.21024854</td><td>...</td><td> 0.0446785532</td><td> 0.002654193</td><td> 0.38414423</td><td> 0.27733789</td><td> 0.4058525744</td><td>0.32102245</td><td> 0.27553625</td><td> 0.222124330</td><td> 0.27296030</td><td>0.34981005</td></tr>\n",
       "\t<tr><th scope=row>CHEM</th><td> 0.18861102</td><td> 0.167029633</td><td>0.36954048</td><td> 0.157010691</td><td>0.11448273</td><td>0.414073336</td><td> 1.000000000</td><td> 0.16145852</td><td> 0.12885738</td><td> 0.14622828</td><td>...</td><td> 0.0257120843</td><td>-0.002682042</td><td> 0.33883559</td><td> 0.18941091</td><td> 0.5429834091</td><td>0.36418893</td><td> 0.30988914</td><td> 0.149509809</td><td> 0.42116650</td><td>0.23607496</td></tr>\n",
       "\t<tr><th scope=row>CNSTENG</th><td> 0.21682816</td><td> 0.301270197</td><td>0.32496927</td><td>-0.010450569</td><td>0.21168533</td><td>0.313939577</td><td> 0.161458518</td><td> 1.00000000</td><td> 0.20157868</td><td> 0.23481372</td><td>...</td><td> 0.0089430100</td><td> 0.020132783</td><td> 0.21898239</td><td> 0.24345692</td><td> 0.2550771013</td><td>0.21471730</td><td> 0.29267410</td><td> 0.169888413</td><td> 0.27961681</td><td>0.23962900</td></tr>\n",
       "\t<tr><th scope=row>COMSERV</th><td> 0.25731553</td><td> 0.125236551</td><td>0.57458415</td><td> 0.017723962</td><td>0.13948967</td><td>0.365990400</td><td> 0.128857378</td><td> 0.20157868</td><td> 1.00000000</td><td> 0.28805764</td><td>...</td><td>-0.0338347782</td><td> 0.064870736</td><td> 0.32010187</td><td> 0.29391535</td><td> 0.3199755964</td><td>0.24826972</td><td> 0.16413563</td><td> 0.169654134</td><td> 0.21244947</td><td>0.32080986</td></tr>\n",
       "\t<tr><th scope=row>CONMAT</th><td> 0.39057378</td><td> 0.170596020</td><td>0.28974566</td><td> 0.203366025</td><td>0.11835709</td><td>0.210248543</td><td> 0.146228278</td><td> 0.23481372</td><td> 0.28805764</td><td> 1.00000000</td><td>...</td><td>-0.1031998953</td><td> 0.049188757</td><td> 0.41444866</td><td> 0.22034691</td><td> 0.2000524703</td><td>0.34902288</td><td> 0.20167059</td><td> 0.036887861</td><td> 0.26720844</td><td>0.28296124</td></tr>\n",
       "\t<tr><th scope=row>CONSSERV</th><td> 0.11297086</td><td> 0.087637623</td><td>0.31919346</td><td> 0.111789408</td><td>0.17656034</td><td>0.155814887</td><td> 0.268650089</td><td> 0.14510568</td><td> 0.23657352</td><td> 0.14412979</td><td>...</td><td> 0.1618686592</td><td>-0.032764398</td><td> 0.33172972</td><td> 0.24985249</td><td> 0.2692007473</td><td>0.16842273</td><td> 0.16614954</td><td> 0.153876732</td><td> 0.23020937</td><td>0.28685104</td></tr>\n",
       "\t<tr><th scope=row>DVFININS</th><td> 0.01369501</td><td> 0.192232189</td><td>0.21495658</td><td> 0.053597753</td><td>0.13048470</td><td>0.064916331</td><td> 0.094324976</td><td> 0.08631749</td><td> 0.04854374</td><td> 0.06329608</td><td>...</td><td>-0.0515074573</td><td>-0.040323466</td><td> 0.14313587</td><td> 0.11022932</td><td> 0.1218068834</td><td>0.07402121</td><td> 0.73489964</td><td>-0.042094727</td><td> 0.18858352</td><td>0.20519289</td></tr>\n",
       "\t<tr><th scope=row>ELECEQP</th><td> 0.30196572</td><td> 0.176011583</td><td>0.57693184</td><td> 0.086505952</td><td>0.32525817</td><td>0.446683763</td><td> 0.358986818</td><td> 0.23230698</td><td> 0.50535510</td><td> 0.34522601</td><td>...</td><td>-0.0479078612</td><td> 0.063065375</td><td> 0.39932477</td><td> 0.43242936</td><td> 0.4247862780</td><td>0.37828442</td><td> 0.28629719</td><td> 0.143321556</td><td> 0.34224552</td><td>0.45700360</td></tr>\n",
       "\t<tr><th scope=row>ENERGY</th><td> 0.17877849</td><td> 0.162215531</td><td>0.29922311</td><td> 0.094105572</td><td>0.17552439</td><td>0.152215713</td><td> 0.098006624</td><td> 0.08579322</td><td> 0.07935910</td><td> 0.23472573</td><td>...</td><td>-0.0340976622</td><td> 0.044127664</td><td> 0.29808939</td><td> 0.09290753</td><td> 0.0964736149</td><td>0.11974124</td><td> 0.11481197</td><td> 0.207162402</td><td> 0.23382538</td><td>0.32374300</td></tr>\n",
       "\t<tr><th scope=row>FOODPROD</th><td> 0.30762795</td><td> 0.099552347</td><td>0.50194441</td><td> 0.295438666</td><td>0.36860819</td><td>0.357125341</td><td> 0.289944631</td><td> 0.21945387</td><td> 0.41915731</td><td> 0.40125022</td><td>...</td><td>-0.1013838764</td><td> 0.153969055</td><td> 0.42324536</td><td> 0.30676909</td><td> 0.3394673224</td><td>0.30578373</td><td> 0.41205988</td><td> 0.358767142</td><td> 0.41757126</td><td>0.55473572</td></tr>\n",
       "\t<tr><th scope=row>HDWRSEMI</th><td> 0.33062582</td><td> 0.074747268</td><td>0.30044406</td><td>-0.004923666</td><td>0.18187032</td><td>0.347008807</td><td> 0.264482173</td><td> 0.27315442</td><td> 0.26587465</td><td> 0.25450719</td><td>...</td><td> 0.2974241138</td><td> 0.067493972</td><td> 0.23978888</td><td> 0.25847127</td><td> 0.2533827866</td><td>0.27816220</td><td> 0.28676225</td><td> 0.428783609</td><td> 0.25802312</td><td>0.27621855</td></tr>\n",
       "\t<tr><th scope=row>HEALTH</th><td> 0.23920229</td><td> 0.069270268</td><td>0.23104961</td><td> 0.131421218</td><td>0.08810612</td><td>0.230648971</td><td> 0.112738907</td><td> 0.13842439</td><td> 0.25771766</td><td> 0.19813958</td><td>...</td><td>-0.0763350900</td><td> 0.081821446</td><td> 0.21618250</td><td> 0.09774156</td><td> 0.2002964022</td><td>0.12644068</td><td> 0.20842816</td><td> 0.227604012</td><td> 0.18366172</td><td>0.41812763</td></tr>\n",
       "\t<tr><th scope=row>HOUSEDUR</th><td> 0.24757194</td><td> 0.183494266</td><td>0.38918610</td><td> 0.209887436</td><td>0.19061349</td><td>0.302235660</td><td> 0.397810010</td><td> 0.26118818</td><td> 0.28925025</td><td> 0.29268889</td><td>...</td><td> 0.0211246025</td><td> 0.089544112</td><td> 0.36505828</td><td> 0.33732932</td><td> 0.3383660439</td><td>0.44503861</td><td> 0.35713818</td><td> 0.239227686</td><td> 0.35118448</td><td>0.49292289</td></tr>\n",
       "\t<tr><th scope=row>INDCONG</th><td> 0.27926700</td><td> 0.314191768</td><td>0.30155887</td><td> 0.058520394</td><td>0.23305855</td><td>0.305690370</td><td> 0.265354779</td><td> 0.26152284</td><td> 0.26394065</td><td> 0.26606867</td><td>...</td><td>-0.0801750580</td><td> 0.094028076</td><td> 0.15554650</td><td> 0.29895839</td><td> 0.1854531907</td><td>0.40728349</td><td> 0.39748806</td><td> 0.161583264</td><td> 0.37802310</td><td>0.31927549</td></tr>\n",
       "\t<tr><th scope=row>LEISLUX</th><td> 0.15275914</td><td> 0.126433021</td><td>0.32873411</td><td> 0.191776412</td><td>0.15507468</td><td>0.283086442</td><td> 0.265261870</td><td> 0.19818607</td><td> 0.21347609</td><td> 0.20745408</td><td>...</td><td> 0.0054693723</td><td> 0.112526467</td><td> 0.24604661</td><td> 0.27796449</td><td> 0.2199076301</td><td>0.30314932</td><td> 0.26027836</td><td> 0.141355659</td><td> 0.19334719</td><td>0.37727167</td></tr>\n",
       "\t<tr><th scope=row>MACH</th><td> 0.48770340</td><td> 0.294600657</td><td>0.55710027</td><td> 0.136457925</td><td>0.22504088</td><td>0.456650127</td><td> 0.376591905</td><td> 0.32304725</td><td> 0.44191817</td><td> 0.45348018</td><td>...</td><td> 0.0525974780</td><td> 0.077861674</td><td> 0.51698059</td><td> 0.37566254</td><td> 0.5041604527</td><td>0.42570442</td><td> 0.34748699</td><td> 0.236721166</td><td> 0.40769527</td><td>0.43197965</td></tr>\n",
       "\t<tr><th scope=row>MARINE</th><td> 0.13902129</td><td> 0.269741063</td><td>0.39895666</td><td> 0.138151589</td><td>0.09139896</td><td>0.157740244</td><td> 0.362684236</td><td> 0.17824141</td><td> 0.27501842</td><td> 0.37116113</td><td>...</td><td>-0.0053282859</td><td> 0.044119294</td><td> 0.18424798</td><td> 0.22545496</td><td> 0.3369820427</td><td>0.34427214</td><td> 0.29191299</td><td> 0.059437453</td><td> 0.31170123</td><td>0.24010765</td></tr>\n",
       "\t<tr><th scope=row>MATERIAL</th><td>-0.03947496</td><td>-0.065845390</td><td>0.12034283</td><td>-0.038267767</td><td>0.10111566</td><td>0.044678553</td><td> 0.025712084</td><td> 0.00894301</td><td>-0.03383478</td><td>-0.10319990</td><td>...</td><td> 1.0000000000</td><td>-0.006598075</td><td>-0.07935771</td><td>-0.00104267</td><td>-0.0008643525</td><td>0.05218751</td><td>-0.04897329</td><td> 0.048226057</td><td>-0.08134950</td><td>0.03233838</td></tr>\n",
       "\t<tr><th scope=row>MEDIA</th><td> 0.05502238</td><td> 0.004517255</td><td>0.10136629</td><td>-0.038437239</td><td>0.15469874</td><td>0.002654193</td><td>-0.002682042</td><td> 0.02013278</td><td> 0.06487074</td><td> 0.04918876</td><td>...</td><td>-0.0065980749</td><td> 1.000000000</td><td> 0.06329629</td><td> 0.04311762</td><td>-0.0412062432</td><td>0.07041827</td><td> 0.05668593</td><td> 0.016342226</td><td> 0.09583577</td><td>0.06346854</td></tr>\n",
       "\t<tr><th scope=row>MTLMIN</th><td> 0.23774679</td><td> 0.153299788</td><td>0.34657502</td><td> 0.137093757</td><td>0.36789630</td><td>0.384144233</td><td> 0.338835591</td><td> 0.21898239</td><td> 0.32010187</td><td> 0.41444866</td><td>...</td><td>-0.0793577111</td><td> 0.063296288</td><td> 1.00000000</td><td> 0.28152789</td><td> 0.3476364214</td><td>0.25302144</td><td> 0.31698967</td><td> 0.181767723</td><td> 0.36404633</td><td>0.47183842</td></tr>\n",
       "\t<tr><th scope=row>PERSPRD</th><td> 0.07375119</td><td> 0.207793114</td><td>0.40223562</td><td> 0.149524462</td><td>0.19861833</td><td>0.277337886</td><td> 0.189410912</td><td> 0.24345692</td><td> 0.29391535</td><td> 0.22034691</td><td>...</td><td>-0.0010426695</td><td> 0.043117616</td><td> 0.28152789</td><td> 1.00000000</td><td> 0.3366136346</td><td>0.39407210</td><td> 0.36093266</td><td> 0.205371786</td><td> 0.33678367</td><td>0.28689197</td></tr>\n",
       "\t<tr><th scope=row>RDRLTRAN</th><td> 0.23462005</td><td> 0.238502314</td><td>0.46037769</td><td> 0.132156277</td><td>0.05384761</td><td>0.405852574</td><td> 0.542983409</td><td> 0.25507710</td><td> 0.31997560</td><td> 0.20005247</td><td>...</td><td>-0.0008643525</td><td>-0.041206243</td><td> 0.34763642</td><td> 0.33661363</td><td> 1.0000000000</td><td>0.49215714</td><td> 0.30643786</td><td> 0.085292874</td><td> 0.50001768</td><td>0.33082070</td></tr>\n",
       "\t<tr><th scope=row>REALEST</th><td> 0.24081523</td><td> 0.234944780</td><td>0.45936853</td><td> 0.192628279</td><td>0.07943199</td><td>0.321022446</td><td> 0.364188932</td><td> 0.21471730</td><td> 0.24826972</td><td> 0.34902288</td><td>...</td><td> 0.0521875146</td><td> 0.070418270</td><td> 0.25302144</td><td> 0.39407210</td><td> 0.4921571403</td><td>1.00000000</td><td> 0.38883983</td><td> 0.108763186</td><td> 0.49872854</td><td>0.35754741</td></tr>\n",
       "\t<tr><th scope=row>RETAIL</th><td> 0.19727892</td><td> 0.275787347</td><td>0.42896230</td><td> 0.116732462</td><td>0.20594709</td><td>0.275536250</td><td> 0.309889145</td><td> 0.29267410</td><td> 0.16413563</td><td> 0.20167059</td><td>...</td><td>-0.0489732884</td><td> 0.056685934</td><td> 0.31698967</td><td> 0.36093266</td><td> 0.3064378633</td><td>0.38883983</td><td> 1.00000000</td><td> 0.182027296</td><td> 0.38137477</td><td>0.38584503</td></tr>\n",
       "\t<tr><th scope=row>SOFTWARE</th><td> 0.46143277</td><td> 0.009783945</td><td>0.20891854</td><td>-0.042061979</td><td>0.12278077</td><td>0.222124330</td><td> 0.149509809</td><td> 0.16988841</td><td> 0.16965413</td><td> 0.03688786</td><td>...</td><td> 0.0482260573</td><td> 0.016342226</td><td> 0.18176772</td><td> 0.20537179</td><td> 0.0852928740</td><td>0.10876319</td><td> 0.18202730</td><td> 1.000000000</td><td> 0.16782166</td><td>0.26739834</td></tr>\n",
       "\t<tr><th scope=row>TRDDIST</th><td> 0.12838253</td><td> 0.320399234</td><td>0.36367545</td><td> 0.072881526</td><td>0.16235076</td><td>0.272960300</td><td> 0.421166501</td><td> 0.27961681</td><td> 0.21244947</td><td> 0.26720844</td><td>...</td><td>-0.0813495009</td><td> 0.095835773</td><td> 0.36404633</td><td> 0.33678367</td><td> 0.5000176841</td><td>0.49872854</td><td> 0.38137477</td><td> 0.167821665</td><td> 1.00000000</td><td>0.36097951</td></tr>\n",
       "\t<tr><th scope=row>UTILITIE</th><td> 0.25716471</td><td> 0.132328957</td><td>0.32279054</td><td> 0.263462873</td><td>0.17341258</td><td>0.349810050</td><td> 0.236074957</td><td> 0.23962900</td><td> 0.32080986</td><td> 0.28296124</td><td>...</td><td> 0.0323383847</td><td> 0.063468537</td><td> 0.47183842</td><td> 0.28689197</td><td> 0.3308207020</td><td>0.35754741</td><td> 0.38584503</td><td> 0.267398342</td><td> 0.36097951</td><td>1.00000000</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A matrix: 32 × 32 of type dbl\n",
       "\\begin{tabular}{r|llllllllllllllllllllllllllllllll}\n",
       "  & AERODEF & AIRLINE & AUTO & BANKS & BEV & BLDPROD & CHEM & CNSTENG & COMSERV & CONMAT & CONSSERV & DVFININS & ELECEQP & ENERGY & FOODPROD & HDWRSEMI & HEALTH & HOUSEDUR & INDCONG & LEISLUX & MACH & MARINE & MATERIAL & MEDIA & MTLMIN & PERSPRD & RDRLTRAN & REALEST & RETAIL & SOFTWARE & TRDDIST & UTILITIE\\\\\n",
       "\\hline\n",
       "\tAERODEF &  1.00000000 &  0.115230313 & 0.33195634 &  0.080215236 & 0.02497865 & 0.235179203 &  0.188611021 &  0.21682816 &  0.25731553 &  0.39057378 &  0.11297086 &  0.01369501 &  0.30196572 &  0.17877849 &  0.30762795 &  0.330625816 &  0.23920229 & 0.24757194 &  0.27926700 & 0.152759136 & 0.48770340 &  0.139021293 & -0.0394749594 &  0.055022380 &  0.23774679 &  0.07375119 &  0.2346200480 & 0.24081523 &  0.19727892 &  0.461432767 &  0.12838253 & 0.25716471\\\\\n",
       "\tAIRLINE &  0.11523031 &  1.000000000 & 0.22235548 &  0.024461977 & 0.02250268 & 0.119219798 &  0.167029633 &  0.30127020 &  0.12523655 &  0.17059602 &  0.08763762 &  0.19223219 &  0.17601158 &  0.16221553 &  0.09955235 &  0.074747268 &  0.06927027 & 0.18349427 &  0.31419177 & 0.126433021 & 0.29460066 &  0.269741063 & -0.0658453902 &  0.004517255 &  0.15329979 &  0.20779311 &  0.2385023137 & 0.23494478 &  0.27578735 &  0.009783945 &  0.32039923 & 0.13232896\\\\\n",
       "\tAUTO &  0.33195634 &  0.222355484 & 1.00000000 &  0.072839622 & 0.26374233 & 0.520673263 &  0.369540478 &  0.32496927 &  0.57458415 &  0.28974566 &  0.31919346 &  0.21495658 &  0.57693184 &  0.29922311 &  0.50194441 &  0.300444065 &  0.23104961 & 0.38918610 &  0.30155887 & 0.328734109 & 0.55710027 &  0.398956661 &  0.1203428296 &  0.101366286 &  0.34657502 &  0.40223562 &  0.4603776921 & 0.45936853 &  0.42896230 &  0.208918543 &  0.36367545 & 0.32279054\\\\\n",
       "\tBANKS &  0.08021524 &  0.024461977 & 0.07283962 &  1.000000000 & 0.06073737 & 0.160753394 &  0.157010691 & -0.01045057 &  0.01772396 &  0.20336602 &  0.11178941 &  0.05359775 &  0.08650595 &  0.09410557 &  0.29543867 & -0.004923666 &  0.13142122 & 0.20988744 &  0.05852039 & 0.191776412 & 0.13645792 &  0.138151589 & -0.0382677674 & -0.038437239 &  0.13709376 &  0.14952446 &  0.1321562769 & 0.19262828 &  0.11673246 & -0.042061979 &  0.07288153 & 0.26346287\\\\\n",
       "\tBEV &  0.02497865 &  0.022502678 & 0.26374233 &  0.060737370 & 1.00000000 & 0.352289128 &  0.114482730 &  0.21168533 &  0.13948967 &  0.11835709 &  0.17656034 &  0.13048470 &  0.32525817 &  0.17552439 &  0.36860819 &  0.181870320 &  0.08810612 & 0.19061349 &  0.23305855 & 0.155074676 & 0.22504088 &  0.091398963 &  0.1011156571 &  0.154698742 &  0.36789630 &  0.19861833 &  0.0538476134 & 0.07943199 &  0.20594709 &  0.122780772 &  0.16235076 & 0.17341258\\\\\n",
       "\tBLDPROD &  0.23517920 &  0.119219798 & 0.52067326 &  0.160753394 & 0.35228913 & 1.000000000 &  0.414073336 &  0.31393958 &  0.36599040 &  0.21024854 &  0.15581489 &  0.06491633 &  0.44668376 &  0.15221571 &  0.35712534 &  0.347008807 &  0.23064897 & 0.30223566 &  0.30569037 & 0.283086442 & 0.45665013 &  0.157740244 &  0.0446785532 &  0.002654193 &  0.38414423 &  0.27733789 &  0.4058525744 & 0.32102245 &  0.27553625 &  0.222124330 &  0.27296030 & 0.34981005\\\\\n",
       "\tCHEM &  0.18861102 &  0.167029633 & 0.36954048 &  0.157010691 & 0.11448273 & 0.414073336 &  1.000000000 &  0.16145852 &  0.12885738 &  0.14622828 &  0.26865009 &  0.09432498 &  0.35898682 &  0.09800662 &  0.28994463 &  0.264482173 &  0.11273891 & 0.39781001 &  0.26535478 & 0.265261870 & 0.37659190 &  0.362684236 &  0.0257120843 & -0.002682042 &  0.33883559 &  0.18941091 &  0.5429834091 & 0.36418893 &  0.30988914 &  0.149509809 &  0.42116650 & 0.23607496\\\\\n",
       "\tCNSTENG &  0.21682816 &  0.301270197 & 0.32496927 & -0.010450569 & 0.21168533 & 0.313939577 &  0.161458518 &  1.00000000 &  0.20157868 &  0.23481372 &  0.14510568 &  0.08631749 &  0.23230698 &  0.08579322 &  0.21945387 &  0.273154417 &  0.13842439 & 0.26118818 &  0.26152284 & 0.198186070 & 0.32304725 &  0.178241411 &  0.0089430100 &  0.020132783 &  0.21898239 &  0.24345692 &  0.2550771013 & 0.21471730 &  0.29267410 &  0.169888413 &  0.27961681 & 0.23962900\\\\\n",
       "\tCOMSERV &  0.25731553 &  0.125236551 & 0.57458415 &  0.017723962 & 0.13948967 & 0.365990400 &  0.128857378 &  0.20157868 &  1.00000000 &  0.28805764 &  0.23657352 &  0.04854374 &  0.50535510 &  0.07935910 &  0.41915731 &  0.265874647 &  0.25771766 & 0.28925025 &  0.26394065 & 0.213476090 & 0.44191817 &  0.275018419 & -0.0338347782 &  0.064870736 &  0.32010187 &  0.29391535 &  0.3199755964 & 0.24826972 &  0.16413563 &  0.169654134 &  0.21244947 & 0.32080986\\\\\n",
       "\tCONMAT &  0.39057378 &  0.170596020 & 0.28974566 &  0.203366025 & 0.11835709 & 0.210248543 &  0.146228278 &  0.23481372 &  0.28805764 &  1.00000000 &  0.14412979 &  0.06329608 &  0.34522601 &  0.23472573 &  0.40125022 &  0.254507185 &  0.19813958 & 0.29268889 &  0.26606867 & 0.207454079 & 0.45348018 &  0.371161130 & -0.1031998953 &  0.049188757 &  0.41444866 &  0.22034691 &  0.2000524703 & 0.34902288 &  0.20167059 &  0.036887861 &  0.26720844 & 0.28296124\\\\\n",
       "\tCONSSERV &  0.11297086 &  0.087637623 & 0.31919346 &  0.111789408 & 0.17656034 & 0.155814887 &  0.268650089 &  0.14510568 &  0.23657352 &  0.14412979 &  1.00000000 &  0.02788559 &  0.32689685 &  0.23646695 &  0.32126774 &  0.295155680 &  0.21706916 & 0.36455095 &  0.14246636 & 0.086793057 & 0.34478292 &  0.298294554 &  0.1618686592 & -0.032764398 &  0.33172972 &  0.24985249 &  0.2692007473 & 0.16842273 &  0.16614954 &  0.153876732 &  0.23020937 & 0.28685104\\\\\n",
       "\tDVFININS &  0.01369501 &  0.192232189 & 0.21495658 &  0.053597753 & 0.13048470 & 0.064916331 &  0.094324976 &  0.08631749 &  0.04854374 &  0.06329608 &  0.02788559 &  1.00000000 &  0.14321035 &  0.04324013 &  0.14938524 & -0.028400361 &  0.21129703 & 0.07347422 &  0.11072670 & 0.091704859 & 0.15573858 &  0.128920653 & -0.0515074573 & -0.040323466 &  0.14313587 &  0.11022932 &  0.1218068834 & 0.07402121 &  0.73489964 & -0.042094727 &  0.18858352 & 0.20519289\\\\\n",
       "\tELECEQP &  0.30196572 &  0.176011583 & 0.57693184 &  0.086505952 & 0.32525817 & 0.446683763 &  0.358986818 &  0.23230698 &  0.50535510 &  0.34522601 &  0.32689685 &  0.14321035 &  1.00000000 &  0.27010402 &  0.51521059 &  0.358780447 &  0.33021026 & 0.50515529 &  0.31349298 & 0.365394996 & 0.57290277 &  0.434710039 & -0.0479078612 &  0.063065375 &  0.39932477 &  0.43242936 &  0.4247862780 & 0.37828442 &  0.28629719 &  0.143321556 &  0.34224552 & 0.45700360\\\\\n",
       "\tENERGY &  0.17877849 &  0.162215531 & 0.29922311 &  0.094105572 & 0.17552439 & 0.152215713 &  0.098006624 &  0.08579322 &  0.07935910 &  0.23472573 &  0.23646695 &  0.04324013 &  0.27010402 &  1.00000000 &  0.27917762 &  0.100129436 &  0.23694611 & 0.26063597 &  0.04253398 & 0.100461302 & 0.22710827 &  0.282463416 & -0.0340976622 &  0.044127664 &  0.29808939 &  0.09290753 &  0.0964736149 & 0.11974124 &  0.11481197 &  0.207162402 &  0.23382538 & 0.32374300\\\\\n",
       "\tFOODPROD &  0.30762795 &  0.099552347 & 0.50194441 &  0.295438666 & 0.36860819 & 0.357125341 &  0.289944631 &  0.21945387 &  0.41915731 &  0.40125022 &  0.32126774 &  0.14938524 &  0.51521059 &  0.27917762 &  1.00000000 &  0.342653563 &  0.41053014 & 0.46283392 &  0.42359676 & 0.397774529 & 0.46042303 &  0.289300638 & -0.1013838764 &  0.153969055 &  0.42324536 &  0.30676909 &  0.3394673224 & 0.30578373 &  0.41205988 &  0.358767142 &  0.41757126 & 0.55473572\\\\\n",
       "\tHDWRSEMI &  0.33062582 &  0.074747268 & 0.30044406 & -0.004923666 & 0.18187032 & 0.347008807 &  0.264482173 &  0.27315442 &  0.26587465 &  0.25450719 &  0.29515568 & -0.02840036 &  0.35878045 &  0.10012944 &  0.34265356 &  1.000000000 &  0.20439825 & 0.36308000 &  0.24686791 & 0.245796798 & 0.42818658 &  0.198821956 &  0.2974241138 &  0.067493972 &  0.23978888 &  0.25847127 &  0.2533827866 & 0.27816220 &  0.28676225 &  0.428783609 &  0.25802312 & 0.27621855\\\\\n",
       "\tHEALTH &  0.23920229 &  0.069270268 & 0.23104961 &  0.131421218 & 0.08810612 & 0.230648971 &  0.112738907 &  0.13842439 &  0.25771766 &  0.19813958 &  0.21706916 &  0.21129703 &  0.33021026 &  0.23694611 &  0.41053014 &  0.204398248 &  1.00000000 & 0.30832337 &  0.21284399 & 0.170532781 & 0.39518057 &  0.186337262 & -0.0763350900 &  0.081821446 &  0.21618250 &  0.09774156 &  0.2002964022 & 0.12644068 &  0.20842816 &  0.227604012 &  0.18366172 & 0.41812763\\\\\n",
       "\tHOUSEDUR &  0.24757194 &  0.183494266 & 0.38918610 &  0.209887436 & 0.19061349 & 0.302235660 &  0.397810010 &  0.26118818 &  0.28925025 &  0.29268889 &  0.36455095 &  0.07347422 &  0.50515529 &  0.26063597 &  0.46283392 &  0.363079998 &  0.30832337 & 1.00000000 &  0.28059583 & 0.369885025 & 0.54440432 &  0.264346444 &  0.0211246025 &  0.089544112 &  0.36505828 &  0.33732932 &  0.3383660439 & 0.44503861 &  0.35713818 &  0.239227686 &  0.35118448 & 0.49292289\\\\\n",
       "\tINDCONG &  0.27926700 &  0.314191768 & 0.30155887 &  0.058520394 & 0.23305855 & 0.305690370 &  0.265354779 &  0.26152284 &  0.26394065 &  0.26606867 &  0.14246636 &  0.11072670 &  0.31349298 &  0.04253398 &  0.42359676 &  0.246867910 &  0.21284399 & 0.28059583 &  1.00000000 & 0.317280936 & 0.36719143 &  0.182145966 & -0.0801750580 &  0.094028076 &  0.15554650 &  0.29895839 &  0.1854531907 & 0.40728349 &  0.39748806 &  0.161583264 &  0.37802310 & 0.31927549\\\\\n",
       "\tLEISLUX &  0.15275914 &  0.126433021 & 0.32873411 &  0.191776412 & 0.15507468 & 0.283086442 &  0.265261870 &  0.19818607 &  0.21347609 &  0.20745408 &  0.08679306 &  0.09170486 &  0.36539500 &  0.10046130 &  0.39777453 &  0.245796798 &  0.17053278 & 0.36988503 &  0.31728094 & 1.000000000 & 0.44851673 &  0.224438358 &  0.0054693723 &  0.112526467 &  0.24604661 &  0.27796449 &  0.2199076301 & 0.30314932 &  0.26027836 &  0.141355659 &  0.19334719 & 0.37727167\\\\\n",
       "\tMACH &  0.48770340 &  0.294600657 & 0.55710027 &  0.136457925 & 0.22504088 & 0.456650127 &  0.376591905 &  0.32304725 &  0.44191817 &  0.45348018 &  0.34478292 &  0.15573858 &  0.57290277 &  0.22710827 &  0.46042303 &  0.428186579 &  0.39518057 & 0.54440432 &  0.36719143 & 0.448516732 & 1.00000000 &  0.343465866 &  0.0525974780 &  0.077861674 &  0.51698059 &  0.37566254 &  0.5041604527 & 0.42570442 &  0.34748699 &  0.236721166 &  0.40769527 & 0.43197965\\\\\n",
       "\tMARINE &  0.13902129 &  0.269741063 & 0.39895666 &  0.138151589 & 0.09139896 & 0.157740244 &  0.362684236 &  0.17824141 &  0.27501842 &  0.37116113 &  0.29829455 &  0.12892065 &  0.43471004 &  0.28246342 &  0.28930064 &  0.198821956 &  0.18633726 & 0.26434644 &  0.18214597 & 0.224438358 & 0.34346587 &  1.000000000 & -0.0053282859 &  0.044119294 &  0.18424798 &  0.22545496 &  0.3369820427 & 0.34427214 &  0.29191299 &  0.059437453 &  0.31170123 & 0.24010765\\\\\n",
       "\tMATERIAL & -0.03947496 & -0.065845390 & 0.12034283 & -0.038267767 & 0.10111566 & 0.044678553 &  0.025712084 &  0.00894301 & -0.03383478 & -0.10319990 &  0.16186866 & -0.05150746 & -0.04790786 & -0.03409766 & -0.10138388 &  0.297424114 & -0.07633509 & 0.02112460 & -0.08017506 & 0.005469372 & 0.05259748 & -0.005328286 &  1.0000000000 & -0.006598075 & -0.07935771 & -0.00104267 & -0.0008643525 & 0.05218751 & -0.04897329 &  0.048226057 & -0.08134950 & 0.03233838\\\\\n",
       "\tMEDIA &  0.05502238 &  0.004517255 & 0.10136629 & -0.038437239 & 0.15469874 & 0.002654193 & -0.002682042 &  0.02013278 &  0.06487074 &  0.04918876 & -0.03276440 & -0.04032347 &  0.06306537 &  0.04412766 &  0.15396906 &  0.067493972 &  0.08182145 & 0.08954411 &  0.09402808 & 0.112526467 & 0.07786167 &  0.044119294 & -0.0065980749 &  1.000000000 &  0.06329629 &  0.04311762 & -0.0412062432 & 0.07041827 &  0.05668593 &  0.016342226 &  0.09583577 & 0.06346854\\\\\n",
       "\tMTLMIN &  0.23774679 &  0.153299788 & 0.34657502 &  0.137093757 & 0.36789630 & 0.384144233 &  0.338835591 &  0.21898239 &  0.32010187 &  0.41444866 &  0.33172972 &  0.14313587 &  0.39932477 &  0.29808939 &  0.42324536 &  0.239788882 &  0.21618250 & 0.36505828 &  0.15554650 & 0.246046615 & 0.51698059 &  0.184247982 & -0.0793577111 &  0.063296288 &  1.00000000 &  0.28152789 &  0.3476364214 & 0.25302144 &  0.31698967 &  0.181767723 &  0.36404633 & 0.47183842\\\\\n",
       "\tPERSPRD &  0.07375119 &  0.207793114 & 0.40223562 &  0.149524462 & 0.19861833 & 0.277337886 &  0.189410912 &  0.24345692 &  0.29391535 &  0.22034691 &  0.24985249 &  0.11022932 &  0.43242936 &  0.09290753 &  0.30676909 &  0.258471272 &  0.09774156 & 0.33732932 &  0.29895839 & 0.277964485 & 0.37566254 &  0.225454957 & -0.0010426695 &  0.043117616 &  0.28152789 &  1.00000000 &  0.3366136346 & 0.39407210 &  0.36093266 &  0.205371786 &  0.33678367 & 0.28689197\\\\\n",
       "\tRDRLTRAN &  0.23462005 &  0.238502314 & 0.46037769 &  0.132156277 & 0.05384761 & 0.405852574 &  0.542983409 &  0.25507710 &  0.31997560 &  0.20005247 &  0.26920075 &  0.12180688 &  0.42478628 &  0.09647361 &  0.33946732 &  0.253382787 &  0.20029640 & 0.33836604 &  0.18545319 & 0.219907630 & 0.50416045 &  0.336982043 & -0.0008643525 & -0.041206243 &  0.34763642 &  0.33661363 &  1.0000000000 & 0.49215714 &  0.30643786 &  0.085292874 &  0.50001768 & 0.33082070\\\\\n",
       "\tREALEST &  0.24081523 &  0.234944780 & 0.45936853 &  0.192628279 & 0.07943199 & 0.321022446 &  0.364188932 &  0.21471730 &  0.24826972 &  0.34902288 &  0.16842273 &  0.07402121 &  0.37828442 &  0.11974124 &  0.30578373 &  0.278162199 &  0.12644068 & 0.44503861 &  0.40728349 & 0.303149325 & 0.42570442 &  0.344272135 &  0.0521875146 &  0.070418270 &  0.25302144 &  0.39407210 &  0.4921571403 & 1.00000000 &  0.38883983 &  0.108763186 &  0.49872854 & 0.35754741\\\\\n",
       "\tRETAIL &  0.19727892 &  0.275787347 & 0.42896230 &  0.116732462 & 0.20594709 & 0.275536250 &  0.309889145 &  0.29267410 &  0.16413563 &  0.20167059 &  0.16614954 &  0.73489964 &  0.28629719 &  0.11481197 &  0.41205988 &  0.286762253 &  0.20842816 & 0.35713818 &  0.39748806 & 0.260278361 & 0.34748699 &  0.291912987 & -0.0489732884 &  0.056685934 &  0.31698967 &  0.36093266 &  0.3064378633 & 0.38883983 &  1.00000000 &  0.182027296 &  0.38137477 & 0.38584503\\\\\n",
       "\tSOFTWARE &  0.46143277 &  0.009783945 & 0.20891854 & -0.042061979 & 0.12278077 & 0.222124330 &  0.149509809 &  0.16988841 &  0.16965413 &  0.03688786 &  0.15387673 & -0.04209473 &  0.14332156 &  0.20716240 &  0.35876714 &  0.428783609 &  0.22760401 & 0.23922769 &  0.16158326 & 0.141355659 & 0.23672117 &  0.059437453 &  0.0482260573 &  0.016342226 &  0.18176772 &  0.20537179 &  0.0852928740 & 0.10876319 &  0.18202730 &  1.000000000 &  0.16782166 & 0.26739834\\\\\n",
       "\tTRDDIST &  0.12838253 &  0.320399234 & 0.36367545 &  0.072881526 & 0.16235076 & 0.272960300 &  0.421166501 &  0.27961681 &  0.21244947 &  0.26720844 &  0.23020937 &  0.18858352 &  0.34224552 &  0.23382538 &  0.41757126 &  0.258023120 &  0.18366172 & 0.35118448 &  0.37802310 & 0.193347191 & 0.40769527 &  0.311701230 & -0.0813495009 &  0.095835773 &  0.36404633 &  0.33678367 &  0.5000176841 & 0.49872854 &  0.38137477 &  0.167821665 &  1.00000000 & 0.36097951\\\\\n",
       "\tUTILITIE &  0.25716471 &  0.132328957 & 0.32279054 &  0.263462873 & 0.17341258 & 0.349810050 &  0.236074957 &  0.23962900 &  0.32080986 &  0.28296124 &  0.28685104 &  0.20519289 &  0.45700360 &  0.32374300 &  0.55473572 &  0.276218551 &  0.41812763 & 0.49292289 &  0.31927549 & 0.377271666 & 0.43197965 &  0.240107649 &  0.0323383847 &  0.063468537 &  0.47183842 &  0.28689197 &  0.3308207020 & 0.35754741 &  0.38584503 &  0.267398342 &  0.36097951 & 1.00000000\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A matrix: 32 × 32 of type dbl\n",
       "\n",
       "| <!--/--> | AERODEF | AIRLINE | AUTO | BANKS | BEV | BLDPROD | CHEM | CNSTENG | COMSERV | CONMAT | ... | MATERIAL | MEDIA | MTLMIN | PERSPRD | RDRLTRAN | REALEST | RETAIL | SOFTWARE | TRDDIST | UTILITIE |\n",
       "|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|\n",
       "| AERODEF |  1.00000000 |  0.115230313 | 0.33195634 |  0.080215236 | 0.02497865 | 0.235179203 |  0.188611021 |  0.21682816 |  0.25731553 |  0.39057378 | ... | -0.0394749594 |  0.055022380 |  0.23774679 |  0.07375119 |  0.2346200480 | 0.24081523 |  0.19727892 |  0.461432767 |  0.12838253 | 0.25716471 |\n",
       "| AIRLINE |  0.11523031 |  1.000000000 | 0.22235548 |  0.024461977 | 0.02250268 | 0.119219798 |  0.167029633 |  0.30127020 |  0.12523655 |  0.17059602 | ... | -0.0658453902 |  0.004517255 |  0.15329979 |  0.20779311 |  0.2385023137 | 0.23494478 |  0.27578735 |  0.009783945 |  0.32039923 | 0.13232896 |\n",
       "| AUTO |  0.33195634 |  0.222355484 | 1.00000000 |  0.072839622 | 0.26374233 | 0.520673263 |  0.369540478 |  0.32496927 |  0.57458415 |  0.28974566 | ... |  0.1203428296 |  0.101366286 |  0.34657502 |  0.40223562 |  0.4603776921 | 0.45936853 |  0.42896230 |  0.208918543 |  0.36367545 | 0.32279054 |\n",
       "| BANKS |  0.08021524 |  0.024461977 | 0.07283962 |  1.000000000 | 0.06073737 | 0.160753394 |  0.157010691 | -0.01045057 |  0.01772396 |  0.20336602 | ... | -0.0382677674 | -0.038437239 |  0.13709376 |  0.14952446 |  0.1321562769 | 0.19262828 |  0.11673246 | -0.042061979 |  0.07288153 | 0.26346287 |\n",
       "| BEV |  0.02497865 |  0.022502678 | 0.26374233 |  0.060737370 | 1.00000000 | 0.352289128 |  0.114482730 |  0.21168533 |  0.13948967 |  0.11835709 | ... |  0.1011156571 |  0.154698742 |  0.36789630 |  0.19861833 |  0.0538476134 | 0.07943199 |  0.20594709 |  0.122780772 |  0.16235076 | 0.17341258 |\n",
       "| BLDPROD |  0.23517920 |  0.119219798 | 0.52067326 |  0.160753394 | 0.35228913 | 1.000000000 |  0.414073336 |  0.31393958 |  0.36599040 |  0.21024854 | ... |  0.0446785532 |  0.002654193 |  0.38414423 |  0.27733789 |  0.4058525744 | 0.32102245 |  0.27553625 |  0.222124330 |  0.27296030 | 0.34981005 |\n",
       "| CHEM |  0.18861102 |  0.167029633 | 0.36954048 |  0.157010691 | 0.11448273 | 0.414073336 |  1.000000000 |  0.16145852 |  0.12885738 |  0.14622828 | ... |  0.0257120843 | -0.002682042 |  0.33883559 |  0.18941091 |  0.5429834091 | 0.36418893 |  0.30988914 |  0.149509809 |  0.42116650 | 0.23607496 |\n",
       "| CNSTENG |  0.21682816 |  0.301270197 | 0.32496927 | -0.010450569 | 0.21168533 | 0.313939577 |  0.161458518 |  1.00000000 |  0.20157868 |  0.23481372 | ... |  0.0089430100 |  0.020132783 |  0.21898239 |  0.24345692 |  0.2550771013 | 0.21471730 |  0.29267410 |  0.169888413 |  0.27961681 | 0.23962900 |\n",
       "| COMSERV |  0.25731553 |  0.125236551 | 0.57458415 |  0.017723962 | 0.13948967 | 0.365990400 |  0.128857378 |  0.20157868 |  1.00000000 |  0.28805764 | ... | -0.0338347782 |  0.064870736 |  0.32010187 |  0.29391535 |  0.3199755964 | 0.24826972 |  0.16413563 |  0.169654134 |  0.21244947 | 0.32080986 |\n",
       "| CONMAT |  0.39057378 |  0.170596020 | 0.28974566 |  0.203366025 | 0.11835709 | 0.210248543 |  0.146228278 |  0.23481372 |  0.28805764 |  1.00000000 | ... | -0.1031998953 |  0.049188757 |  0.41444866 |  0.22034691 |  0.2000524703 | 0.34902288 |  0.20167059 |  0.036887861 |  0.26720844 | 0.28296124 |\n",
       "| CONSSERV |  0.11297086 |  0.087637623 | 0.31919346 |  0.111789408 | 0.17656034 | 0.155814887 |  0.268650089 |  0.14510568 |  0.23657352 |  0.14412979 | ... |  0.1618686592 | -0.032764398 |  0.33172972 |  0.24985249 |  0.2692007473 | 0.16842273 |  0.16614954 |  0.153876732 |  0.23020937 | 0.28685104 |\n",
       "| DVFININS |  0.01369501 |  0.192232189 | 0.21495658 |  0.053597753 | 0.13048470 | 0.064916331 |  0.094324976 |  0.08631749 |  0.04854374 |  0.06329608 | ... | -0.0515074573 | -0.040323466 |  0.14313587 |  0.11022932 |  0.1218068834 | 0.07402121 |  0.73489964 | -0.042094727 |  0.18858352 | 0.20519289 |\n",
       "| ELECEQP |  0.30196572 |  0.176011583 | 0.57693184 |  0.086505952 | 0.32525817 | 0.446683763 |  0.358986818 |  0.23230698 |  0.50535510 |  0.34522601 | ... | -0.0479078612 |  0.063065375 |  0.39932477 |  0.43242936 |  0.4247862780 | 0.37828442 |  0.28629719 |  0.143321556 |  0.34224552 | 0.45700360 |\n",
       "| ENERGY |  0.17877849 |  0.162215531 | 0.29922311 |  0.094105572 | 0.17552439 | 0.152215713 |  0.098006624 |  0.08579322 |  0.07935910 |  0.23472573 | ... | -0.0340976622 |  0.044127664 |  0.29808939 |  0.09290753 |  0.0964736149 | 0.11974124 |  0.11481197 |  0.207162402 |  0.23382538 | 0.32374300 |\n",
       "| FOODPROD |  0.30762795 |  0.099552347 | 0.50194441 |  0.295438666 | 0.36860819 | 0.357125341 |  0.289944631 |  0.21945387 |  0.41915731 |  0.40125022 | ... | -0.1013838764 |  0.153969055 |  0.42324536 |  0.30676909 |  0.3394673224 | 0.30578373 |  0.41205988 |  0.358767142 |  0.41757126 | 0.55473572 |\n",
       "| HDWRSEMI |  0.33062582 |  0.074747268 | 0.30044406 | -0.004923666 | 0.18187032 | 0.347008807 |  0.264482173 |  0.27315442 |  0.26587465 |  0.25450719 | ... |  0.2974241138 |  0.067493972 |  0.23978888 |  0.25847127 |  0.2533827866 | 0.27816220 |  0.28676225 |  0.428783609 |  0.25802312 | 0.27621855 |\n",
       "| HEALTH |  0.23920229 |  0.069270268 | 0.23104961 |  0.131421218 | 0.08810612 | 0.230648971 |  0.112738907 |  0.13842439 |  0.25771766 |  0.19813958 | ... | -0.0763350900 |  0.081821446 |  0.21618250 |  0.09774156 |  0.2002964022 | 0.12644068 |  0.20842816 |  0.227604012 |  0.18366172 | 0.41812763 |\n",
       "| HOUSEDUR |  0.24757194 |  0.183494266 | 0.38918610 |  0.209887436 | 0.19061349 | 0.302235660 |  0.397810010 |  0.26118818 |  0.28925025 |  0.29268889 | ... |  0.0211246025 |  0.089544112 |  0.36505828 |  0.33732932 |  0.3383660439 | 0.44503861 |  0.35713818 |  0.239227686 |  0.35118448 | 0.49292289 |\n",
       "| INDCONG |  0.27926700 |  0.314191768 | 0.30155887 |  0.058520394 | 0.23305855 | 0.305690370 |  0.265354779 |  0.26152284 |  0.26394065 |  0.26606867 | ... | -0.0801750580 |  0.094028076 |  0.15554650 |  0.29895839 |  0.1854531907 | 0.40728349 |  0.39748806 |  0.161583264 |  0.37802310 | 0.31927549 |\n",
       "| LEISLUX |  0.15275914 |  0.126433021 | 0.32873411 |  0.191776412 | 0.15507468 | 0.283086442 |  0.265261870 |  0.19818607 |  0.21347609 |  0.20745408 | ... |  0.0054693723 |  0.112526467 |  0.24604661 |  0.27796449 |  0.2199076301 | 0.30314932 |  0.26027836 |  0.141355659 |  0.19334719 | 0.37727167 |\n",
       "| MACH |  0.48770340 |  0.294600657 | 0.55710027 |  0.136457925 | 0.22504088 | 0.456650127 |  0.376591905 |  0.32304725 |  0.44191817 |  0.45348018 | ... |  0.0525974780 |  0.077861674 |  0.51698059 |  0.37566254 |  0.5041604527 | 0.42570442 |  0.34748699 |  0.236721166 |  0.40769527 | 0.43197965 |\n",
       "| MARINE |  0.13902129 |  0.269741063 | 0.39895666 |  0.138151589 | 0.09139896 | 0.157740244 |  0.362684236 |  0.17824141 |  0.27501842 |  0.37116113 | ... | -0.0053282859 |  0.044119294 |  0.18424798 |  0.22545496 |  0.3369820427 | 0.34427214 |  0.29191299 |  0.059437453 |  0.31170123 | 0.24010765 |\n",
       "| MATERIAL | -0.03947496 | -0.065845390 | 0.12034283 | -0.038267767 | 0.10111566 | 0.044678553 |  0.025712084 |  0.00894301 | -0.03383478 | -0.10319990 | ... |  1.0000000000 | -0.006598075 | -0.07935771 | -0.00104267 | -0.0008643525 | 0.05218751 | -0.04897329 |  0.048226057 | -0.08134950 | 0.03233838 |\n",
       "| MEDIA |  0.05502238 |  0.004517255 | 0.10136629 | -0.038437239 | 0.15469874 | 0.002654193 | -0.002682042 |  0.02013278 |  0.06487074 |  0.04918876 | ... | -0.0065980749 |  1.000000000 |  0.06329629 |  0.04311762 | -0.0412062432 | 0.07041827 |  0.05668593 |  0.016342226 |  0.09583577 | 0.06346854 |\n",
       "| MTLMIN |  0.23774679 |  0.153299788 | 0.34657502 |  0.137093757 | 0.36789630 | 0.384144233 |  0.338835591 |  0.21898239 |  0.32010187 |  0.41444866 | ... | -0.0793577111 |  0.063296288 |  1.00000000 |  0.28152789 |  0.3476364214 | 0.25302144 |  0.31698967 |  0.181767723 |  0.36404633 | 0.47183842 |\n",
       "| PERSPRD |  0.07375119 |  0.207793114 | 0.40223562 |  0.149524462 | 0.19861833 | 0.277337886 |  0.189410912 |  0.24345692 |  0.29391535 |  0.22034691 | ... | -0.0010426695 |  0.043117616 |  0.28152789 |  1.00000000 |  0.3366136346 | 0.39407210 |  0.36093266 |  0.205371786 |  0.33678367 | 0.28689197 |\n",
       "| RDRLTRAN |  0.23462005 |  0.238502314 | 0.46037769 |  0.132156277 | 0.05384761 | 0.405852574 |  0.542983409 |  0.25507710 |  0.31997560 |  0.20005247 | ... | -0.0008643525 | -0.041206243 |  0.34763642 |  0.33661363 |  1.0000000000 | 0.49215714 |  0.30643786 |  0.085292874 |  0.50001768 | 0.33082070 |\n",
       "| REALEST |  0.24081523 |  0.234944780 | 0.45936853 |  0.192628279 | 0.07943199 | 0.321022446 |  0.364188932 |  0.21471730 |  0.24826972 |  0.34902288 | ... |  0.0521875146 |  0.070418270 |  0.25302144 |  0.39407210 |  0.4921571403 | 1.00000000 |  0.38883983 |  0.108763186 |  0.49872854 | 0.35754741 |\n",
       "| RETAIL |  0.19727892 |  0.275787347 | 0.42896230 |  0.116732462 | 0.20594709 | 0.275536250 |  0.309889145 |  0.29267410 |  0.16413563 |  0.20167059 | ... | -0.0489732884 |  0.056685934 |  0.31698967 |  0.36093266 |  0.3064378633 | 0.38883983 |  1.00000000 |  0.182027296 |  0.38137477 | 0.38584503 |\n",
       "| SOFTWARE |  0.46143277 |  0.009783945 | 0.20891854 | -0.042061979 | 0.12278077 | 0.222124330 |  0.149509809 |  0.16988841 |  0.16965413 |  0.03688786 | ... |  0.0482260573 |  0.016342226 |  0.18176772 |  0.20537179 |  0.0852928740 | 0.10876319 |  0.18202730 |  1.000000000 |  0.16782166 | 0.26739834 |\n",
       "| TRDDIST |  0.12838253 |  0.320399234 | 0.36367545 |  0.072881526 | 0.16235076 | 0.272960300 |  0.421166501 |  0.27961681 |  0.21244947 |  0.26720844 | ... | -0.0813495009 |  0.095835773 |  0.36404633 |  0.33678367 |  0.5000176841 | 0.49872854 |  0.38137477 |  0.167821665 |  1.00000000 | 0.36097951 |\n",
       "| UTILITIE |  0.25716471 |  0.132328957 | 0.32279054 |  0.263462873 | 0.17341258 | 0.349810050 |  0.236074957 |  0.23962900 |  0.32080986 |  0.28296124 | ... |  0.0323383847 |  0.063468537 |  0.47183842 |  0.28689197 |  0.3308207020 | 0.35754741 |  0.38584503 |  0.267398342 |  0.36097951 | 1.00000000 |\n",
       "\n"
      ],
      "text/plain": [
       "         AERODEF     AIRLINE      AUTO       BANKS        BEV       \n",
       "AERODEF   1.00000000  0.115230313 0.33195634  0.080215236 0.02497865\n",
       "AIRLINE   0.11523031  1.000000000 0.22235548  0.024461977 0.02250268\n",
       "AUTO      0.33195634  0.222355484 1.00000000  0.072839622 0.26374233\n",
       "BANKS     0.08021524  0.024461977 0.07283962  1.000000000 0.06073737\n",
       "BEV       0.02497865  0.022502678 0.26374233  0.060737370 1.00000000\n",
       "BLDPROD   0.23517920  0.119219798 0.52067326  0.160753394 0.35228913\n",
       "CHEM      0.18861102  0.167029633 0.36954048  0.157010691 0.11448273\n",
       "CNSTENG   0.21682816  0.301270197 0.32496927 -0.010450569 0.21168533\n",
       "COMSERV   0.25731553  0.125236551 0.57458415  0.017723962 0.13948967\n",
       "CONMAT    0.39057378  0.170596020 0.28974566  0.203366025 0.11835709\n",
       "CONSSERV  0.11297086  0.087637623 0.31919346  0.111789408 0.17656034\n",
       "DVFININS  0.01369501  0.192232189 0.21495658  0.053597753 0.13048470\n",
       "ELECEQP   0.30196572  0.176011583 0.57693184  0.086505952 0.32525817\n",
       "ENERGY    0.17877849  0.162215531 0.29922311  0.094105572 0.17552439\n",
       "FOODPROD  0.30762795  0.099552347 0.50194441  0.295438666 0.36860819\n",
       "HDWRSEMI  0.33062582  0.074747268 0.30044406 -0.004923666 0.18187032\n",
       "HEALTH    0.23920229  0.069270268 0.23104961  0.131421218 0.08810612\n",
       "HOUSEDUR  0.24757194  0.183494266 0.38918610  0.209887436 0.19061349\n",
       "INDCONG   0.27926700  0.314191768 0.30155887  0.058520394 0.23305855\n",
       "LEISLUX   0.15275914  0.126433021 0.32873411  0.191776412 0.15507468\n",
       "MACH      0.48770340  0.294600657 0.55710027  0.136457925 0.22504088\n",
       "MARINE    0.13902129  0.269741063 0.39895666  0.138151589 0.09139896\n",
       "MATERIAL -0.03947496 -0.065845390 0.12034283 -0.038267767 0.10111566\n",
       "MEDIA     0.05502238  0.004517255 0.10136629 -0.038437239 0.15469874\n",
       "MTLMIN    0.23774679  0.153299788 0.34657502  0.137093757 0.36789630\n",
       "PERSPRD   0.07375119  0.207793114 0.40223562  0.149524462 0.19861833\n",
       "RDRLTRAN  0.23462005  0.238502314 0.46037769  0.132156277 0.05384761\n",
       "REALEST   0.24081523  0.234944780 0.45936853  0.192628279 0.07943199\n",
       "RETAIL    0.19727892  0.275787347 0.42896230  0.116732462 0.20594709\n",
       "SOFTWARE  0.46143277  0.009783945 0.20891854 -0.042061979 0.12278077\n",
       "TRDDIST   0.12838253  0.320399234 0.36367545  0.072881526 0.16235076\n",
       "UTILITIE  0.25716471  0.132328957 0.32279054  0.263462873 0.17341258\n",
       "         BLDPROD     CHEM         CNSTENG     COMSERV     CONMAT      ...\n",
       "AERODEF  0.235179203  0.188611021  0.21682816  0.25731553  0.39057378 ...\n",
       "AIRLINE  0.119219798  0.167029633  0.30127020  0.12523655  0.17059602 ...\n",
       "AUTO     0.520673263  0.369540478  0.32496927  0.57458415  0.28974566 ...\n",
       "BANKS    0.160753394  0.157010691 -0.01045057  0.01772396  0.20336602 ...\n",
       "BEV      0.352289128  0.114482730  0.21168533  0.13948967  0.11835709 ...\n",
       "BLDPROD  1.000000000  0.414073336  0.31393958  0.36599040  0.21024854 ...\n",
       "CHEM     0.414073336  1.000000000  0.16145852  0.12885738  0.14622828 ...\n",
       "CNSTENG  0.313939577  0.161458518  1.00000000  0.20157868  0.23481372 ...\n",
       "COMSERV  0.365990400  0.128857378  0.20157868  1.00000000  0.28805764 ...\n",
       "CONMAT   0.210248543  0.146228278  0.23481372  0.28805764  1.00000000 ...\n",
       "CONSSERV 0.155814887  0.268650089  0.14510568  0.23657352  0.14412979 ...\n",
       "DVFININS 0.064916331  0.094324976  0.08631749  0.04854374  0.06329608 ...\n",
       "ELECEQP  0.446683763  0.358986818  0.23230698  0.50535510  0.34522601 ...\n",
       "ENERGY   0.152215713  0.098006624  0.08579322  0.07935910  0.23472573 ...\n",
       "FOODPROD 0.357125341  0.289944631  0.21945387  0.41915731  0.40125022 ...\n",
       "HDWRSEMI 0.347008807  0.264482173  0.27315442  0.26587465  0.25450719 ...\n",
       "HEALTH   0.230648971  0.112738907  0.13842439  0.25771766  0.19813958 ...\n",
       "HOUSEDUR 0.302235660  0.397810010  0.26118818  0.28925025  0.29268889 ...\n",
       "INDCONG  0.305690370  0.265354779  0.26152284  0.26394065  0.26606867 ...\n",
       "LEISLUX  0.283086442  0.265261870  0.19818607  0.21347609  0.20745408 ...\n",
       "MACH     0.456650127  0.376591905  0.32304725  0.44191817  0.45348018 ...\n",
       "MARINE   0.157740244  0.362684236  0.17824141  0.27501842  0.37116113 ...\n",
       "MATERIAL 0.044678553  0.025712084  0.00894301 -0.03383478 -0.10319990 ...\n",
       "MEDIA    0.002654193 -0.002682042  0.02013278  0.06487074  0.04918876 ...\n",
       "MTLMIN   0.384144233  0.338835591  0.21898239  0.32010187  0.41444866 ...\n",
       "PERSPRD  0.277337886  0.189410912  0.24345692  0.29391535  0.22034691 ...\n",
       "RDRLTRAN 0.405852574  0.542983409  0.25507710  0.31997560  0.20005247 ...\n",
       "REALEST  0.321022446  0.364188932  0.21471730  0.24826972  0.34902288 ...\n",
       "RETAIL   0.275536250  0.309889145  0.29267410  0.16413563  0.20167059 ...\n",
       "SOFTWARE 0.222124330  0.149509809  0.16988841  0.16965413  0.03688786 ...\n",
       "TRDDIST  0.272960300  0.421166501  0.27961681  0.21244947  0.26720844 ...\n",
       "UTILITIE 0.349810050  0.236074957  0.23962900  0.32080986  0.28296124 ...\n",
       "         MATERIAL      MEDIA        MTLMIN      PERSPRD     RDRLTRAN     \n",
       "AERODEF  -0.0394749594  0.055022380  0.23774679  0.07375119  0.2346200480\n",
       "AIRLINE  -0.0658453902  0.004517255  0.15329979  0.20779311  0.2385023137\n",
       "AUTO      0.1203428296  0.101366286  0.34657502  0.40223562  0.4603776921\n",
       "BANKS    -0.0382677674 -0.038437239  0.13709376  0.14952446  0.1321562769\n",
       "BEV       0.1011156571  0.154698742  0.36789630  0.19861833  0.0538476134\n",
       "BLDPROD   0.0446785532  0.002654193  0.38414423  0.27733789  0.4058525744\n",
       "CHEM      0.0257120843 -0.002682042  0.33883559  0.18941091  0.5429834091\n",
       "CNSTENG   0.0089430100  0.020132783  0.21898239  0.24345692  0.2550771013\n",
       "COMSERV  -0.0338347782  0.064870736  0.32010187  0.29391535  0.3199755964\n",
       "CONMAT   -0.1031998953  0.049188757  0.41444866  0.22034691  0.2000524703\n",
       "CONSSERV  0.1618686592 -0.032764398  0.33172972  0.24985249  0.2692007473\n",
       "DVFININS -0.0515074573 -0.040323466  0.14313587  0.11022932  0.1218068834\n",
       "ELECEQP  -0.0479078612  0.063065375  0.39932477  0.43242936  0.4247862780\n",
       "ENERGY   -0.0340976622  0.044127664  0.29808939  0.09290753  0.0964736149\n",
       "FOODPROD -0.1013838764  0.153969055  0.42324536  0.30676909  0.3394673224\n",
       "HDWRSEMI  0.2974241138  0.067493972  0.23978888  0.25847127  0.2533827866\n",
       "HEALTH   -0.0763350900  0.081821446  0.21618250  0.09774156  0.2002964022\n",
       "HOUSEDUR  0.0211246025  0.089544112  0.36505828  0.33732932  0.3383660439\n",
       "INDCONG  -0.0801750580  0.094028076  0.15554650  0.29895839  0.1854531907\n",
       "LEISLUX   0.0054693723  0.112526467  0.24604661  0.27796449  0.2199076301\n",
       "MACH      0.0525974780  0.077861674  0.51698059  0.37566254  0.5041604527\n",
       "MARINE   -0.0053282859  0.044119294  0.18424798  0.22545496  0.3369820427\n",
       "MATERIAL  1.0000000000 -0.006598075 -0.07935771 -0.00104267 -0.0008643525\n",
       "MEDIA    -0.0065980749  1.000000000  0.06329629  0.04311762 -0.0412062432\n",
       "MTLMIN   -0.0793577111  0.063296288  1.00000000  0.28152789  0.3476364214\n",
       "PERSPRD  -0.0010426695  0.043117616  0.28152789  1.00000000  0.3366136346\n",
       "RDRLTRAN -0.0008643525 -0.041206243  0.34763642  0.33661363  1.0000000000\n",
       "REALEST   0.0521875146  0.070418270  0.25302144  0.39407210  0.4921571403\n",
       "RETAIL   -0.0489732884  0.056685934  0.31698967  0.36093266  0.3064378633\n",
       "SOFTWARE  0.0482260573  0.016342226  0.18176772  0.20537179  0.0852928740\n",
       "TRDDIST  -0.0813495009  0.095835773  0.36404633  0.33678367  0.5000176841\n",
       "UTILITIE  0.0323383847  0.063468537  0.47183842  0.28689197  0.3308207020\n",
       "         REALEST    RETAIL      SOFTWARE     TRDDIST     UTILITIE  \n",
       "AERODEF  0.24081523  0.19727892  0.461432767  0.12838253 0.25716471\n",
       "AIRLINE  0.23494478  0.27578735  0.009783945  0.32039923 0.13232896\n",
       "AUTO     0.45936853  0.42896230  0.208918543  0.36367545 0.32279054\n",
       "BANKS    0.19262828  0.11673246 -0.042061979  0.07288153 0.26346287\n",
       "BEV      0.07943199  0.20594709  0.122780772  0.16235076 0.17341258\n",
       "BLDPROD  0.32102245  0.27553625  0.222124330  0.27296030 0.34981005\n",
       "CHEM     0.36418893  0.30988914  0.149509809  0.42116650 0.23607496\n",
       "CNSTENG  0.21471730  0.29267410  0.169888413  0.27961681 0.23962900\n",
       "COMSERV  0.24826972  0.16413563  0.169654134  0.21244947 0.32080986\n",
       "CONMAT   0.34902288  0.20167059  0.036887861  0.26720844 0.28296124\n",
       "CONSSERV 0.16842273  0.16614954  0.153876732  0.23020937 0.28685104\n",
       "DVFININS 0.07402121  0.73489964 -0.042094727  0.18858352 0.20519289\n",
       "ELECEQP  0.37828442  0.28629719  0.143321556  0.34224552 0.45700360\n",
       "ENERGY   0.11974124  0.11481197  0.207162402  0.23382538 0.32374300\n",
       "FOODPROD 0.30578373  0.41205988  0.358767142  0.41757126 0.55473572\n",
       "HDWRSEMI 0.27816220  0.28676225  0.428783609  0.25802312 0.27621855\n",
       "HEALTH   0.12644068  0.20842816  0.227604012  0.18366172 0.41812763\n",
       "HOUSEDUR 0.44503861  0.35713818  0.239227686  0.35118448 0.49292289\n",
       "INDCONG  0.40728349  0.39748806  0.161583264  0.37802310 0.31927549\n",
       "LEISLUX  0.30314932  0.26027836  0.141355659  0.19334719 0.37727167\n",
       "MACH     0.42570442  0.34748699  0.236721166  0.40769527 0.43197965\n",
       "MARINE   0.34427214  0.29191299  0.059437453  0.31170123 0.24010765\n",
       "MATERIAL 0.05218751 -0.04897329  0.048226057 -0.08134950 0.03233838\n",
       "MEDIA    0.07041827  0.05668593  0.016342226  0.09583577 0.06346854\n",
       "MTLMIN   0.25302144  0.31698967  0.181767723  0.36404633 0.47183842\n",
       "PERSPRD  0.39407210  0.36093266  0.205371786  0.33678367 0.28689197\n",
       "RDRLTRAN 0.49215714  0.30643786  0.085292874  0.50001768 0.33082070\n",
       "REALEST  1.00000000  0.38883983  0.108763186  0.49872854 0.35754741\n",
       "RETAIL   0.38883983  1.00000000  0.182027296  0.38137477 0.38584503\n",
       "SOFTWARE 0.10876319  0.18202730  1.000000000  0.16782166 0.26739834\n",
       "TRDDIST  0.49872854  0.38137477  0.167821665  1.00000000 0.36097951\n",
       "UTILITIE 0.35754741  0.38584503  0.267398342  0.36097951 1.00000000"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1), keyby = .(symbol, industry, date)\n",
    "    ][, .(ret_sd = sd(stkcd_ret)), keyby = .(industry, date)\n",
    "    ][, dcast(.SD, date ~ industry, value.var = \"ret_sd\")\n",
    "    ][, cor(.SD[, -1])]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *59. 每天计算出成交额的 z-score （减去均值除以标准差）, 该指标能解释下一天个股超额收益率的多少比例？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 73,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "0.000331348729460984"
      ],
      "text/latex": [
       "0.000331348729460984"
      ],
      "text/markdown": [
       "0.000331348729460984"
      ],
      "text/plain": [
       "[1] 0.0003313487"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, weight = capt/sum(capt), symbol, amount), keyby = date\n",
    "    ][, .(mkt_ret = sum(weight*stkcd_ret), stkcd_ret, symbol, amount), keyby = date\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ mkt_ret))[1], beta = coef(lm(stkcd_ret ~ mkt_ret))[2], mkt_ret, stkcd_ret, symbol, date, amount)\n",
    "    ][, .(abnr_ret = stkcd_ret - alpha - beta * mkt_ret, amount), keyby = .(date, symbol)\n",
    "    ][, .(abnr_ret, zscore = (amount - mean(amount))/ sd(amount), symbol), keyby = date\n",
    "    ][, .(abnr_lead_ret = shift(abnr_ret, n = 1L, type = \"lead\"), zscore, symbol), keyby = symbol\n",
    "    ][, summary(lm(abnr_lead_ret ~ zscore))$r.squared]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *60. 每个股票的收益率和300、500指数收益率可以回归出一个截距项和2个beta，这两个beta的分布如何？*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 74,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 2 × 3</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>tag</th><th scope=col>sample_mean</th><th scope=col>sample_sd</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;dbl&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>ind_w300_ret</td><td>-0.1583057</td><td>0.9317869</td></tr>\n",
       "\t<tr><td>ind_w500_ret</td><td> 1.1264276</td><td>0.8311509</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 2 × 3\n",
       "\\begin{tabular}{r|lll}\n",
       " tag & sample\\_mean & sample\\_sd\\\\\n",
       " <chr> & <dbl> & <dbl>\\\\\n",
       "\\hline\n",
       "\t ind\\_w300\\_ret & -0.1583057 & 0.9317869\\\\\n",
       "\t ind\\_w500\\_ret &  1.1264276 & 0.8311509\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 2 × 3\n",
       "\n",
       "| tag &lt;chr&gt; | sample_mean &lt;dbl&gt; | sample_sd &lt;dbl&gt; |\n",
       "|---|---|---|\n",
       "| ind_w300_ret | -0.1583057 | 0.9317869 |\n",
       "| ind_w500_ret |  1.1264276 | 0.8311509 |\n",
       "\n"
      ],
      "text/plain": [
       "  tag          sample_mean sample_sd\n",
       "1 ind_w300_ret -0.1583057  0.9317869\n",
       "2 ind_w500_ret  1.1264276  0.8311509"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, ind_w300_ret = sum((close/pre_close - 1) * index_w300), ind_w500_ret = sum((close/pre_close - 1) * index_w500), symbol), keyby = date\n",
    "    ][, .(coef_beta = coef(lm(stkcd_ret ~ ind_w300_ret + ind_w500_ret))[-1], tag = c(\"ind_w300_ret\", \"ind_w500_ret\")), keyby = symbol\n",
    "    ][!is.na(coef_beta), .(sample_mean = mean(coef_beta), sample_sd = sd(coef_beta)), keyby = tag]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *61. 每天开盘后到最高价涨幅最大的100只股票同样也是全天(昨收到今收)涨幅最大的100只股票的比例是多少?*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 75,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 117 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>date</th><th scope=col>ratio</th></tr>\n",
       "\t<tr><th scope=col>&lt;int&gt;</th><th scope=col>&lt;dbl&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>20120104</td><td>0.52</td></tr>\n",
       "\t<tr><td>20120105</td><td>0.52</td></tr>\n",
       "\t<tr><td>20120106</td><td>0.61</td></tr>\n",
       "\t<tr><td>20120109</td><td>0.70</td></tr>\n",
       "\t<tr><td>20120110</td><td>0.59</td></tr>\n",
       "\t<tr><td>20120111</td><td>0.55</td></tr>\n",
       "\t<tr><td>20120112</td><td>0.51</td></tr>\n",
       "\t<tr><td>20120113</td><td>0.63</td></tr>\n",
       "\t<tr><td>20120116</td><td>0.46</td></tr>\n",
       "\t<tr><td>20120117</td><td>0.32</td></tr>\n",
       "\t<tr><td>20120118</td><td>0.36</td></tr>\n",
       "\t<tr><td>20120119</td><td>0.61</td></tr>\n",
       "\t<tr><td>20120120</td><td>0.65</td></tr>\n",
       "\t<tr><td>20120130</td><td>0.64</td></tr>\n",
       "\t<tr><td>20120131</td><td>0.60</td></tr>\n",
       "\t<tr><td>20120201</td><td>0.63</td></tr>\n",
       "\t<tr><td>20120202</td><td>0.73</td></tr>\n",
       "\t<tr><td>20120203</td><td>0.70</td></tr>\n",
       "\t<tr><td>20120206</td><td>0.58</td></tr>\n",
       "\t<tr><td>20120207</td><td>0.65</td></tr>\n",
       "\t<tr><td>20120208</td><td>0.73</td></tr>\n",
       "\t<tr><td>20120209</td><td>0.58</td></tr>\n",
       "\t<tr><td>20120210</td><td>0.64</td></tr>\n",
       "\t<tr><td>20120213</td><td>0.66</td></tr>\n",
       "\t<tr><td>20120214</td><td>0.57</td></tr>\n",
       "\t<tr><td>20120215</td><td>0.63</td></tr>\n",
       "\t<tr><td>20120216</td><td>0.69</td></tr>\n",
       "\t<tr><td>20120217</td><td>0.61</td></tr>\n",
       "\t<tr><td>20120220</td><td>0.63</td></tr>\n",
       "\t<tr><td>20120221</td><td>0.73</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>20120518</td><td>0.58</td></tr>\n",
       "\t<tr><td>20120521</td><td>0.65</td></tr>\n",
       "\t<tr><td>20120522</td><td>0.67</td></tr>\n",
       "\t<tr><td>20120523</td><td>0.68</td></tr>\n",
       "\t<tr><td>20120524</td><td>0.72</td></tr>\n",
       "\t<tr><td>20120525</td><td>0.67</td></tr>\n",
       "\t<tr><td>20120528</td><td>0.80</td></tr>\n",
       "\t<tr><td>20120529</td><td>0.65</td></tr>\n",
       "\t<tr><td>20120530</td><td>0.67</td></tr>\n",
       "\t<tr><td>20120531</td><td>0.70</td></tr>\n",
       "\t<tr><td>20120601</td><td>0.66</td></tr>\n",
       "\t<tr><td>20120604</td><td>0.59</td></tr>\n",
       "\t<tr><td>20120605</td><td>0.61</td></tr>\n",
       "\t<tr><td>20120606</td><td>0.72</td></tr>\n",
       "\t<tr><td>20120607</td><td>0.63</td></tr>\n",
       "\t<tr><td>20120608</td><td>0.67</td></tr>\n",
       "\t<tr><td>20120611</td><td>0.78</td></tr>\n",
       "\t<tr><td>20120612</td><td>0.64</td></tr>\n",
       "\t<tr><td>20120613</td><td>0.77</td></tr>\n",
       "\t<tr><td>20120614</td><td>0.71</td></tr>\n",
       "\t<tr><td>20120615</td><td>0.63</td></tr>\n",
       "\t<tr><td>20120618</td><td>0.64</td></tr>\n",
       "\t<tr><td>20120619</td><td>0.65</td></tr>\n",
       "\t<tr><td>20120620</td><td>0.73</td></tr>\n",
       "\t<tr><td>20120621</td><td>0.65</td></tr>\n",
       "\t<tr><td>20120625</td><td>0.68</td></tr>\n",
       "\t<tr><td>20120626</td><td>0.67</td></tr>\n",
       "\t<tr><td>20120627</td><td>0.64</td></tr>\n",
       "\t<tr><td>20120628</td><td>0.58</td></tr>\n",
       "\t<tr><td>20120629</td><td>0.68</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 117 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " date & ratio\\\\\n",
       " <int> & <dbl>\\\\\n",
       "\\hline\n",
       "\t 20120104 & 0.52\\\\\n",
       "\t 20120105 & 0.52\\\\\n",
       "\t 20120106 & 0.61\\\\\n",
       "\t 20120109 & 0.70\\\\\n",
       "\t 20120110 & 0.59\\\\\n",
       "\t 20120111 & 0.55\\\\\n",
       "\t 20120112 & 0.51\\\\\n",
       "\t 20120113 & 0.63\\\\\n",
       "\t 20120116 & 0.46\\\\\n",
       "\t 20120117 & 0.32\\\\\n",
       "\t 20120118 & 0.36\\\\\n",
       "\t 20120119 & 0.61\\\\\n",
       "\t 20120120 & 0.65\\\\\n",
       "\t 20120130 & 0.64\\\\\n",
       "\t 20120131 & 0.60\\\\\n",
       "\t 20120201 & 0.63\\\\\n",
       "\t 20120202 & 0.73\\\\\n",
       "\t 20120203 & 0.70\\\\\n",
       "\t 20120206 & 0.58\\\\\n",
       "\t 20120207 & 0.65\\\\\n",
       "\t 20120208 & 0.73\\\\\n",
       "\t 20120209 & 0.58\\\\\n",
       "\t 20120210 & 0.64\\\\\n",
       "\t 20120213 & 0.66\\\\\n",
       "\t 20120214 & 0.57\\\\\n",
       "\t 20120215 & 0.63\\\\\n",
       "\t 20120216 & 0.69\\\\\n",
       "\t 20120217 & 0.61\\\\\n",
       "\t 20120220 & 0.63\\\\\n",
       "\t 20120221 & 0.73\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 20120518 & 0.58\\\\\n",
       "\t 20120521 & 0.65\\\\\n",
       "\t 20120522 & 0.67\\\\\n",
       "\t 20120523 & 0.68\\\\\n",
       "\t 20120524 & 0.72\\\\\n",
       "\t 20120525 & 0.67\\\\\n",
       "\t 20120528 & 0.80\\\\\n",
       "\t 20120529 & 0.65\\\\\n",
       "\t 20120530 & 0.67\\\\\n",
       "\t 20120531 & 0.70\\\\\n",
       "\t 20120601 & 0.66\\\\\n",
       "\t 20120604 & 0.59\\\\\n",
       "\t 20120605 & 0.61\\\\\n",
       "\t 20120606 & 0.72\\\\\n",
       "\t 20120607 & 0.63\\\\\n",
       "\t 20120608 & 0.67\\\\\n",
       "\t 20120611 & 0.78\\\\\n",
       "\t 20120612 & 0.64\\\\\n",
       "\t 20120613 & 0.77\\\\\n",
       "\t 20120614 & 0.71\\\\\n",
       "\t 20120615 & 0.63\\\\\n",
       "\t 20120618 & 0.64\\\\\n",
       "\t 20120619 & 0.65\\\\\n",
       "\t 20120620 & 0.73\\\\\n",
       "\t 20120621 & 0.65\\\\\n",
       "\t 20120625 & 0.68\\\\\n",
       "\t 20120626 & 0.67\\\\\n",
       "\t 20120627 & 0.64\\\\\n",
       "\t 20120628 & 0.58\\\\\n",
       "\t 20120629 & 0.68\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 117 × 2\n",
       "\n",
       "| date &lt;int&gt; | ratio &lt;dbl&gt; |\n",
       "|---|---|\n",
       "| 20120104 | 0.52 |\n",
       "| 20120105 | 0.52 |\n",
       "| 20120106 | 0.61 |\n",
       "| 20120109 | 0.70 |\n",
       "| 20120110 | 0.59 |\n",
       "| 20120111 | 0.55 |\n",
       "| 20120112 | 0.51 |\n",
       "| 20120113 | 0.63 |\n",
       "| 20120116 | 0.46 |\n",
       "| 20120117 | 0.32 |\n",
       "| 20120118 | 0.36 |\n",
       "| 20120119 | 0.61 |\n",
       "| 20120120 | 0.65 |\n",
       "| 20120130 | 0.64 |\n",
       "| 20120131 | 0.60 |\n",
       "| 20120201 | 0.63 |\n",
       "| 20120202 | 0.73 |\n",
       "| 20120203 | 0.70 |\n",
       "| 20120206 | 0.58 |\n",
       "| 20120207 | 0.65 |\n",
       "| 20120208 | 0.73 |\n",
       "| 20120209 | 0.58 |\n",
       "| 20120210 | 0.64 |\n",
       "| 20120213 | 0.66 |\n",
       "| 20120214 | 0.57 |\n",
       "| 20120215 | 0.63 |\n",
       "| 20120216 | 0.69 |\n",
       "| 20120217 | 0.61 |\n",
       "| 20120220 | 0.63 |\n",
       "| 20120221 | 0.73 |\n",
       "| ... | ... |\n",
       "| 20120518 | 0.58 |\n",
       "| 20120521 | 0.65 |\n",
       "| 20120522 | 0.67 |\n",
       "| 20120523 | 0.68 |\n",
       "| 20120524 | 0.72 |\n",
       "| 20120525 | 0.67 |\n",
       "| 20120528 | 0.80 |\n",
       "| 20120529 | 0.65 |\n",
       "| 20120530 | 0.67 |\n",
       "| 20120531 | 0.70 |\n",
       "| 20120601 | 0.66 |\n",
       "| 20120604 | 0.59 |\n",
       "| 20120605 | 0.61 |\n",
       "| 20120606 | 0.72 |\n",
       "| 20120607 | 0.63 |\n",
       "| 20120608 | 0.67 |\n",
       "| 20120611 | 0.78 |\n",
       "| 20120612 | 0.64 |\n",
       "| 20120613 | 0.77 |\n",
       "| 20120614 | 0.71 |\n",
       "| 20120615 | 0.63 |\n",
       "| 20120618 | 0.64 |\n",
       "| 20120619 | 0.65 |\n",
       "| 20120620 | 0.73 |\n",
       "| 20120621 | 0.65 |\n",
       "| 20120625 | 0.68 |\n",
       "| 20120626 | 0.67 |\n",
       "| 20120627 | 0.64 |\n",
       "| 20120628 | 0.58 |\n",
       "| 20120629 | 0.68 |\n",
       "\n"
      ],
      "text/plain": [
       "    date     ratio\n",
       "1   20120104 0.52 \n",
       "2   20120105 0.52 \n",
       "3   20120106 0.61 \n",
       "4   20120109 0.70 \n",
       "5   20120110 0.59 \n",
       "6   20120111 0.55 \n",
       "7   20120112 0.51 \n",
       "8   20120113 0.63 \n",
       "9   20120116 0.46 \n",
       "10  20120117 0.32 \n",
       "11  20120118 0.36 \n",
       "12  20120119 0.61 \n",
       "13  20120120 0.65 \n",
       "14  20120130 0.64 \n",
       "15  20120131 0.60 \n",
       "16  20120201 0.63 \n",
       "17  20120202 0.73 \n",
       "18  20120203 0.70 \n",
       "19  20120206 0.58 \n",
       "20  20120207 0.65 \n",
       "21  20120208 0.73 \n",
       "22  20120209 0.58 \n",
       "23  20120210 0.64 \n",
       "24  20120213 0.66 \n",
       "25  20120214 0.57 \n",
       "26  20120215 0.63 \n",
       "27  20120216 0.69 \n",
       "28  20120217 0.61 \n",
       "29  20120220 0.63 \n",
       "30  20120221 0.73 \n",
       "... ...      ...  \n",
       "88  20120518 0.58 \n",
       "89  20120521 0.65 \n",
       "90  20120522 0.67 \n",
       "91  20120523 0.68 \n",
       "92  20120524 0.72 \n",
       "93  20120525 0.67 \n",
       "94  20120528 0.80 \n",
       "95  20120529 0.65 \n",
       "96  20120530 0.67 \n",
       "97  20120531 0.70 \n",
       "98  20120601 0.66 \n",
       "99  20120604 0.59 \n",
       "100 20120605 0.61 \n",
       "101 20120606 0.72 \n",
       "102 20120607 0.63 \n",
       "103 20120608 0.67 \n",
       "104 20120611 0.78 \n",
       "105 20120612 0.64 \n",
       "106 20120613 0.77 \n",
       "107 20120614 0.71 \n",
       "108 20120615 0.63 \n",
       "109 20120618 0.64 \n",
       "110 20120619 0.65 \n",
       "111 20120620 0.73 \n",
       "112 20120621 0.65 \n",
       "113 20120625 0.68 \n",
       "114 20120626 0.67 \n",
       "115 20120627 0.64 \n",
       "116 20120628 0.58 \n",
       "117 20120629 0.68 "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(high_open = high/open - 1, clo_pre = close/pre_close - 1), by = .(symbol, date)\n",
    "    ][order(date, -high_open), .(ho_symbol = list(symbol[1:100])), keyby = date\n",
    "    ][data[, .(high_open = high/open - 1, clo_pre = close/pre_close - 1), by = .(symbol, date)    \n",
    "        ][order(date, -clo_pre), .(cp_symbol = list(symbol[1:100])), keyby = date], on = .(date)\n",
    "    ][, {\n",
    "        l <- list()\n",
    "        for (i in 1:.N) {\n",
    "            l[[i]] <- list(intec = intersect(cp_symbol[[i]], ho_symbol[[i]]))\n",
    "        }\n",
    "        rbindlist(l)\n",
    "    }, keyby = date\n",
    "    ][, .(ratio = .N/100), keyby = date]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *62. 每天计算最近三天每天对市场的超额收益率都排进当天前100的股票有哪些?*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 76,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "Warning message in rbindlist(l):\n",
      "\"Column 1 ['symbol'] of item 4 is length 0. This (and 10 others like it) has been filled with NA (NULL for list columns) to make each item uniform.\""
     ]
    },
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 334 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>symbol</th><th scope=col>date</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>NA       </td><td>20120109</td></tr>\n",
       "\t<tr><td>000791.SZ</td><td>20120110</td></tr>\n",
       "\t<tr><td>002118.SZ</td><td>20120111</td></tr>\n",
       "\t<tr><td>600971.SH</td><td>20120111</td></tr>\n",
       "\t<tr><td>000791.SZ</td><td>20120111</td></tr>\n",
       "\t<tr><td>000552.SZ</td><td>20120111</td></tr>\n",
       "\t<tr><td>600792.SH</td><td>20120111</td></tr>\n",
       "\t<tr><td>600740.SH</td><td>20120111</td></tr>\n",
       "\t<tr><td>000034.SZ</td><td>20120111</td></tr>\n",
       "\t<tr><td>000835.SZ</td><td>20120111</td></tr>\n",
       "\t<tr><td>600696.SH</td><td>20120111</td></tr>\n",
       "\t<tr><td>600629.SH</td><td>20120111</td></tr>\n",
       "\t<tr><td>000034.SZ</td><td>20120112</td></tr>\n",
       "\t<tr><td>000552.SZ</td><td>20120112</td></tr>\n",
       "\t<tr><td>002118.SZ</td><td>20120112</td></tr>\n",
       "\t<tr><td>000791.SZ</td><td>20120112</td></tr>\n",
       "\t<tr><td>600131.SH</td><td>20120112</td></tr>\n",
       "\t<tr><td>600792.SH</td><td>20120112</td></tr>\n",
       "\t<tr><td>000552.SZ</td><td>20120113</td></tr>\n",
       "\t<tr><td>600515.SH</td><td>20120113</td></tr>\n",
       "\t<tr><td>000856.SZ</td><td>20120113</td></tr>\n",
       "\t<tr><td>000603.SZ</td><td>20120113</td></tr>\n",
       "\t<tr><td>600448.SH</td><td>20120113</td></tr>\n",
       "\t<tr><td>600515.SH</td><td>20120116</td></tr>\n",
       "\t<tr><td>000603.SZ</td><td>20120116</td></tr>\n",
       "\t<tr><td>NA       </td><td>20120117</td></tr>\n",
       "\t<tr><td>600568.SH</td><td>20120118</td></tr>\n",
       "\t<tr><td>002428.SZ</td><td>20120119</td></tr>\n",
       "\t<tr><td>002149.SZ</td><td>20120119</td></tr>\n",
       "\t<tr><td>600549.SH</td><td>20120119</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>000669.SZ</td><td>20120618</td></tr>\n",
       "\t<tr><td>002349.SZ</td><td>20120619</td></tr>\n",
       "\t<tr><td>300181.SZ</td><td>20120619</td></tr>\n",
       "\t<tr><td>000056.SZ</td><td>20120619</td></tr>\n",
       "\t<tr><td>002114.SZ</td><td>20120619</td></tr>\n",
       "\t<tr><td>000669.SZ</td><td>20120619</td></tr>\n",
       "\t<tr><td>000669.SZ</td><td>20120620</td></tr>\n",
       "\t<tr><td>300252.SZ</td><td>20120620</td></tr>\n",
       "\t<tr><td>002180.SZ</td><td>20120621</td></tr>\n",
       "\t<tr><td>300205.SZ</td><td>20120621</td></tr>\n",
       "\t<tr><td>300328.SZ</td><td>20120621</td></tr>\n",
       "\t<tr><td>002684.SZ</td><td>20120625</td></tr>\n",
       "\t<tr><td>300250.SZ</td><td>20120625</td></tr>\n",
       "\t<tr><td>002180.SZ</td><td>20120625</td></tr>\n",
       "\t<tr><td>002684.SZ</td><td>20120626</td></tr>\n",
       "\t<tr><td>600613.SH</td><td>20120627</td></tr>\n",
       "\t<tr><td>300319.SZ</td><td>20120627</td></tr>\n",
       "\t<tr><td>002596.SZ</td><td>20120627</td></tr>\n",
       "\t<tr><td>300084.SZ</td><td>20120627</td></tr>\n",
       "\t<tr><td>002320.SZ</td><td>20120627</td></tr>\n",
       "\t<tr><td>002586.SZ</td><td>20120627</td></tr>\n",
       "\t<tr><td>600679.SH</td><td>20120627</td></tr>\n",
       "\t<tr><td>000971.SZ</td><td>20120627</td></tr>\n",
       "\t<tr><td>600896.SH</td><td>20120627</td></tr>\n",
       "\t<tr><td>002596.SZ</td><td>20120628</td></tr>\n",
       "\t<tr><td>300084.SZ</td><td>20120628</td></tr>\n",
       "\t<tr><td>600687.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600702.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>002653.SZ</td><td>20120629</td></tr>\n",
       "\t<tr><td>300191.SZ</td><td>20120629</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 334 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " symbol & date\\\\\n",
       " <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t NA        & 20120109\\\\\n",
       "\t 000791.SZ & 20120110\\\\\n",
       "\t 002118.SZ & 20120111\\\\\n",
       "\t 600971.SH & 20120111\\\\\n",
       "\t 000791.SZ & 20120111\\\\\n",
       "\t 000552.SZ & 20120111\\\\\n",
       "\t 600792.SH & 20120111\\\\\n",
       "\t 600740.SH & 20120111\\\\\n",
       "\t 000034.SZ & 20120111\\\\\n",
       "\t 000835.SZ & 20120111\\\\\n",
       "\t 600696.SH & 20120111\\\\\n",
       "\t 600629.SH & 20120111\\\\\n",
       "\t 000034.SZ & 20120112\\\\\n",
       "\t 000552.SZ & 20120112\\\\\n",
       "\t 002118.SZ & 20120112\\\\\n",
       "\t 000791.SZ & 20120112\\\\\n",
       "\t 600131.SH & 20120112\\\\\n",
       "\t 600792.SH & 20120112\\\\\n",
       "\t 000552.SZ & 20120113\\\\\n",
       "\t 600515.SH & 20120113\\\\\n",
       "\t 000856.SZ & 20120113\\\\\n",
       "\t 000603.SZ & 20120113\\\\\n",
       "\t 600448.SH & 20120113\\\\\n",
       "\t 600515.SH & 20120116\\\\\n",
       "\t 000603.SZ & 20120116\\\\\n",
       "\t NA        & 20120117\\\\\n",
       "\t 600568.SH & 20120118\\\\\n",
       "\t 002428.SZ & 20120119\\\\\n",
       "\t 002149.SZ & 20120119\\\\\n",
       "\t 600549.SH & 20120119\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 000669.SZ & 20120618\\\\\n",
       "\t 002349.SZ & 20120619\\\\\n",
       "\t 300181.SZ & 20120619\\\\\n",
       "\t 000056.SZ & 20120619\\\\\n",
       "\t 002114.SZ & 20120619\\\\\n",
       "\t 000669.SZ & 20120619\\\\\n",
       "\t 000669.SZ & 20120620\\\\\n",
       "\t 300252.SZ & 20120620\\\\\n",
       "\t 002180.SZ & 20120621\\\\\n",
       "\t 300205.SZ & 20120621\\\\\n",
       "\t 300328.SZ & 20120621\\\\\n",
       "\t 002684.SZ & 20120625\\\\\n",
       "\t 300250.SZ & 20120625\\\\\n",
       "\t 002180.SZ & 20120625\\\\\n",
       "\t 002684.SZ & 20120626\\\\\n",
       "\t 600613.SH & 20120627\\\\\n",
       "\t 300319.SZ & 20120627\\\\\n",
       "\t 002596.SZ & 20120627\\\\\n",
       "\t 300084.SZ & 20120627\\\\\n",
       "\t 002320.SZ & 20120627\\\\\n",
       "\t 002586.SZ & 20120627\\\\\n",
       "\t 600679.SH & 20120627\\\\\n",
       "\t 000971.SZ & 20120627\\\\\n",
       "\t 600896.SH & 20120627\\\\\n",
       "\t 002596.SZ & 20120628\\\\\n",
       "\t 300084.SZ & 20120628\\\\\n",
       "\t 600687.SH & 20120629\\\\\n",
       "\t 600702.SH & 20120629\\\\\n",
       "\t 002653.SZ & 20120629\\\\\n",
       "\t 300191.SZ & 20120629\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 334 × 2\n",
       "\n",
       "| symbol &lt;chr&gt; | date &lt;int&gt; |\n",
       "|---|---|\n",
       "| NA        | 20120109 |\n",
       "| 000791.SZ | 20120110 |\n",
       "| 002118.SZ | 20120111 |\n",
       "| 600971.SH | 20120111 |\n",
       "| 000791.SZ | 20120111 |\n",
       "| 000552.SZ | 20120111 |\n",
       "| 600792.SH | 20120111 |\n",
       "| 600740.SH | 20120111 |\n",
       "| 000034.SZ | 20120111 |\n",
       "| 000835.SZ | 20120111 |\n",
       "| 600696.SH | 20120111 |\n",
       "| 600629.SH | 20120111 |\n",
       "| 000034.SZ | 20120112 |\n",
       "| 000552.SZ | 20120112 |\n",
       "| 002118.SZ | 20120112 |\n",
       "| 000791.SZ | 20120112 |\n",
       "| 600131.SH | 20120112 |\n",
       "| 600792.SH | 20120112 |\n",
       "| 000552.SZ | 20120113 |\n",
       "| 600515.SH | 20120113 |\n",
       "| 000856.SZ | 20120113 |\n",
       "| 000603.SZ | 20120113 |\n",
       "| 600448.SH | 20120113 |\n",
       "| 600515.SH | 20120116 |\n",
       "| 000603.SZ | 20120116 |\n",
       "| NA        | 20120117 |\n",
       "| 600568.SH | 20120118 |\n",
       "| 002428.SZ | 20120119 |\n",
       "| 002149.SZ | 20120119 |\n",
       "| 600549.SH | 20120119 |\n",
       "| ... | ... |\n",
       "| 000669.SZ | 20120618 |\n",
       "| 002349.SZ | 20120619 |\n",
       "| 300181.SZ | 20120619 |\n",
       "| 000056.SZ | 20120619 |\n",
       "| 002114.SZ | 20120619 |\n",
       "| 000669.SZ | 20120619 |\n",
       "| 000669.SZ | 20120620 |\n",
       "| 300252.SZ | 20120620 |\n",
       "| 002180.SZ | 20120621 |\n",
       "| 300205.SZ | 20120621 |\n",
       "| 300328.SZ | 20120621 |\n",
       "| 002684.SZ | 20120625 |\n",
       "| 300250.SZ | 20120625 |\n",
       "| 002180.SZ | 20120625 |\n",
       "| 002684.SZ | 20120626 |\n",
       "| 600613.SH | 20120627 |\n",
       "| 300319.SZ | 20120627 |\n",
       "| 002596.SZ | 20120627 |\n",
       "| 300084.SZ | 20120627 |\n",
       "| 002320.SZ | 20120627 |\n",
       "| 002586.SZ | 20120627 |\n",
       "| 600679.SH | 20120627 |\n",
       "| 000971.SZ | 20120627 |\n",
       "| 600896.SH | 20120627 |\n",
       "| 002596.SZ | 20120628 |\n",
       "| 300084.SZ | 20120628 |\n",
       "| 600687.SH | 20120629 |\n",
       "| 600702.SH | 20120629 |\n",
       "| 002653.SZ | 20120629 |\n",
       "| 300191.SZ | 20120629 |\n",
       "\n"
      ],
      "text/plain": [
       "    symbol    date    \n",
       "1   NA        20120109\n",
       "2   000791.SZ 20120110\n",
       "3   002118.SZ 20120111\n",
       "4   600971.SH 20120111\n",
       "5   000791.SZ 20120111\n",
       "6   000552.SZ 20120111\n",
       "7   600792.SH 20120111\n",
       "8   600740.SH 20120111\n",
       "9   000034.SZ 20120111\n",
       "10  000835.SZ 20120111\n",
       "11  600696.SH 20120111\n",
       "12  600629.SH 20120111\n",
       "13  000034.SZ 20120112\n",
       "14  000552.SZ 20120112\n",
       "15  002118.SZ 20120112\n",
       "16  000791.SZ 20120112\n",
       "17  600131.SH 20120112\n",
       "18  600792.SH 20120112\n",
       "19  000552.SZ 20120113\n",
       "20  600515.SH 20120113\n",
       "21  000856.SZ 20120113\n",
       "22  000603.SZ 20120113\n",
       "23  600448.SH 20120113\n",
       "24  600515.SH 20120116\n",
       "25  000603.SZ 20120116\n",
       "26  NA        20120117\n",
       "27  600568.SH 20120118\n",
       "28  002428.SZ 20120119\n",
       "29  002149.SZ 20120119\n",
       "30  600549.SH 20120119\n",
       "... ...       ...     \n",
       "305 000669.SZ 20120618\n",
       "306 002349.SZ 20120619\n",
       "307 300181.SZ 20120619\n",
       "308 000056.SZ 20120619\n",
       "309 002114.SZ 20120619\n",
       "310 000669.SZ 20120619\n",
       "311 000669.SZ 20120620\n",
       "312 300252.SZ 20120620\n",
       "313 002180.SZ 20120621\n",
       "314 300205.SZ 20120621\n",
       "315 300328.SZ 20120621\n",
       "316 002684.SZ 20120625\n",
       "317 300250.SZ 20120625\n",
       "318 002180.SZ 20120625\n",
       "319 002684.SZ 20120626\n",
       "320 600613.SH 20120627\n",
       "321 300319.SZ 20120627\n",
       "322 002596.SZ 20120627\n",
       "323 300084.SZ 20120627\n",
       "324 002320.SZ 20120627\n",
       "325 002586.SZ 20120627\n",
       "326 600679.SH 20120627\n",
       "327 000971.SZ 20120627\n",
       "328 600896.SH 20120627\n",
       "329 002596.SZ 20120628\n",
       "330 300084.SZ 20120628\n",
       "331 600687.SH 20120629\n",
       "332 600702.SH 20120629\n",
       "333 002653.SZ 20120629\n",
       "334 300191.SZ 20120629"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, weight = capt/sum(capt), symbol), keyby = date\n",
    "    ][, .(mkt_ret = sum(weight*stkcd_ret), stkcd_ret, symbol), keyby = date\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ mkt_ret))[1], beta = coef(lm(stkcd_ret ~ mkt_ret))[2], mkt_ret, stkcd_ret, symbol, date)\n",
    "    ][, .(abnr_ret = stkcd_ret - alpha - beta * mkt_ret), keyby = .(date, symbol)\n",
    "    ][order(date, -abnr_ret), .(symbol = list(symbol[1:100])), keyby = date\n",
    "    ][, {\n",
    "        l <- list()\n",
    "        for (t in 4:.N) {\n",
    "            l[[t]] <- list(symbol = Reduce(intersect, list(symbol[[t]], symbol[[t-1]], symbol[[t-2]])), date = date[[t]])\n",
    "        }\n",
    "        rbindlist(l)\n",
    "    }]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "#### *63. 每天计算最近三天每天对行业的超额收益率都排进当天行业前30%的股票有哪些?*"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 77,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<table>\n",
       "<caption>A data.table: 7801 × 2</caption>\n",
       "<thead>\n",
       "\t<tr><th scope=col>symbol</th><th scope=col>date</th></tr>\n",
       "\t<tr><th scope=col>&lt;chr&gt;</th><th scope=col>&lt;int&gt;</th></tr>\n",
       "</thead>\n",
       "<tbody>\n",
       "\t<tr><td>000039.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000045.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000411.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000422.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000518.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000528.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000607.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000623.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000666.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000707.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000735.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>000982.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002022.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002056.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002083.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002136.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002141.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002155.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002164.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002200.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002280.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002379.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002404.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002480.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002627.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>002628.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>300002.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>300149.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>300209.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>300245.SZ</td><td>20120109</td></tr>\n",
       "\t<tr><td>...</td><td>...</td></tr>\n",
       "\t<tr><td>300282.SZ</td><td>20120629</td></tr>\n",
       "\t<tr><td>300285.SZ</td><td>20120629</td></tr>\n",
       "\t<tr><td>300290.SZ</td><td>20120629</td></tr>\n",
       "\t<tr><td>300293.SZ</td><td>20120629</td></tr>\n",
       "\t<tr><td>300294.SZ</td><td>20120629</td></tr>\n",
       "\t<tr><td>300296.SZ</td><td>20120629</td></tr>\n",
       "\t<tr><td>300322.SZ</td><td>20120629</td></tr>\n",
       "\t<tr><td>600051.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600072.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600073.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600082.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600085.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600097.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600199.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600260.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600285.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600290.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600478.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600498.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600543.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600559.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600663.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600687.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600702.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600873.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>600981.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>601231.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>601633.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>601886.SH</td><td>20120629</td></tr>\n",
       "\t<tr><td>601928.SH</td><td>20120629</td></tr>\n",
       "</tbody>\n",
       "</table>\n"
      ],
      "text/latex": [
       "A data.table: 7801 × 2\n",
       "\\begin{tabular}{r|ll}\n",
       " symbol & date\\\\\n",
       " <chr> & <int>\\\\\n",
       "\\hline\n",
       "\t 000039.SZ & 20120109\\\\\n",
       "\t 000045.SZ & 20120109\\\\\n",
       "\t 000411.SZ & 20120109\\\\\n",
       "\t 000422.SZ & 20120109\\\\\n",
       "\t 000518.SZ & 20120109\\\\\n",
       "\t 000528.SZ & 20120109\\\\\n",
       "\t 000607.SZ & 20120109\\\\\n",
       "\t 000623.SZ & 20120109\\\\\n",
       "\t 000666.SZ & 20120109\\\\\n",
       "\t 000707.SZ & 20120109\\\\\n",
       "\t 000735.SZ & 20120109\\\\\n",
       "\t 000982.SZ & 20120109\\\\\n",
       "\t 002022.SZ & 20120109\\\\\n",
       "\t 002056.SZ & 20120109\\\\\n",
       "\t 002083.SZ & 20120109\\\\\n",
       "\t 002136.SZ & 20120109\\\\\n",
       "\t 002141.SZ & 20120109\\\\\n",
       "\t 002155.SZ & 20120109\\\\\n",
       "\t 002164.SZ & 20120109\\\\\n",
       "\t 002200.SZ & 20120109\\\\\n",
       "\t 002280.SZ & 20120109\\\\\n",
       "\t 002379.SZ & 20120109\\\\\n",
       "\t 002404.SZ & 20120109\\\\\n",
       "\t 002480.SZ & 20120109\\\\\n",
       "\t 002627.SZ & 20120109\\\\\n",
       "\t 002628.SZ & 20120109\\\\\n",
       "\t 300002.SZ & 20120109\\\\\n",
       "\t 300149.SZ & 20120109\\\\\n",
       "\t 300209.SZ & 20120109\\\\\n",
       "\t 300245.SZ & 20120109\\\\\n",
       "\t ... & ...\\\\\n",
       "\t 300282.SZ & 20120629\\\\\n",
       "\t 300285.SZ & 20120629\\\\\n",
       "\t 300290.SZ & 20120629\\\\\n",
       "\t 300293.SZ & 20120629\\\\\n",
       "\t 300294.SZ & 20120629\\\\\n",
       "\t 300296.SZ & 20120629\\\\\n",
       "\t 300322.SZ & 20120629\\\\\n",
       "\t 600051.SH & 20120629\\\\\n",
       "\t 600072.SH & 20120629\\\\\n",
       "\t 600073.SH & 20120629\\\\\n",
       "\t 600082.SH & 20120629\\\\\n",
       "\t 600085.SH & 20120629\\\\\n",
       "\t 600097.SH & 20120629\\\\\n",
       "\t 600199.SH & 20120629\\\\\n",
       "\t 600260.SH & 20120629\\\\\n",
       "\t 600285.SH & 20120629\\\\\n",
       "\t 600290.SH & 20120629\\\\\n",
       "\t 600478.SH & 20120629\\\\\n",
       "\t 600498.SH & 20120629\\\\\n",
       "\t 600543.SH & 20120629\\\\\n",
       "\t 600559.SH & 20120629\\\\\n",
       "\t 600663.SH & 20120629\\\\\n",
       "\t 600687.SH & 20120629\\\\\n",
       "\t 600702.SH & 20120629\\\\\n",
       "\t 600873.SH & 20120629\\\\\n",
       "\t 600981.SH & 20120629\\\\\n",
       "\t 601231.SH & 20120629\\\\\n",
       "\t 601633.SH & 20120629\\\\\n",
       "\t 601886.SH & 20120629\\\\\n",
       "\t 601928.SH & 20120629\\\\\n",
       "\\end{tabular}\n"
      ],
      "text/markdown": [
       "\n",
       "A data.table: 7801 × 2\n",
       "\n",
       "| symbol &lt;chr&gt; | date &lt;int&gt; |\n",
       "|---|---|\n",
       "| 000039.SZ | 20120109 |\n",
       "| 000045.SZ | 20120109 |\n",
       "| 000411.SZ | 20120109 |\n",
       "| 000422.SZ | 20120109 |\n",
       "| 000518.SZ | 20120109 |\n",
       "| 000528.SZ | 20120109 |\n",
       "| 000607.SZ | 20120109 |\n",
       "| 000623.SZ | 20120109 |\n",
       "| 000666.SZ | 20120109 |\n",
       "| 000707.SZ | 20120109 |\n",
       "| 000735.SZ | 20120109 |\n",
       "| 000982.SZ | 20120109 |\n",
       "| 002022.SZ | 20120109 |\n",
       "| 002056.SZ | 20120109 |\n",
       "| 002083.SZ | 20120109 |\n",
       "| 002136.SZ | 20120109 |\n",
       "| 002141.SZ | 20120109 |\n",
       "| 002155.SZ | 20120109 |\n",
       "| 002164.SZ | 20120109 |\n",
       "| 002200.SZ | 20120109 |\n",
       "| 002280.SZ | 20120109 |\n",
       "| 002379.SZ | 20120109 |\n",
       "| 002404.SZ | 20120109 |\n",
       "| 002480.SZ | 20120109 |\n",
       "| 002627.SZ | 20120109 |\n",
       "| 002628.SZ | 20120109 |\n",
       "| 300002.SZ | 20120109 |\n",
       "| 300149.SZ | 20120109 |\n",
       "| 300209.SZ | 20120109 |\n",
       "| 300245.SZ | 20120109 |\n",
       "| ... | ... |\n",
       "| 300282.SZ | 20120629 |\n",
       "| 300285.SZ | 20120629 |\n",
       "| 300290.SZ | 20120629 |\n",
       "| 300293.SZ | 20120629 |\n",
       "| 300294.SZ | 20120629 |\n",
       "| 300296.SZ | 20120629 |\n",
       "| 300322.SZ | 20120629 |\n",
       "| 600051.SH | 20120629 |\n",
       "| 600072.SH | 20120629 |\n",
       "| 600073.SH | 20120629 |\n",
       "| 600082.SH | 20120629 |\n",
       "| 600085.SH | 20120629 |\n",
       "| 600097.SH | 20120629 |\n",
       "| 600199.SH | 20120629 |\n",
       "| 600260.SH | 20120629 |\n",
       "| 600285.SH | 20120629 |\n",
       "| 600290.SH | 20120629 |\n",
       "| 600478.SH | 20120629 |\n",
       "| 600498.SH | 20120629 |\n",
       "| 600543.SH | 20120629 |\n",
       "| 600559.SH | 20120629 |\n",
       "| 600663.SH | 20120629 |\n",
       "| 600687.SH | 20120629 |\n",
       "| 600702.SH | 20120629 |\n",
       "| 600873.SH | 20120629 |\n",
       "| 600981.SH | 20120629 |\n",
       "| 601231.SH | 20120629 |\n",
       "| 601633.SH | 20120629 |\n",
       "| 601886.SH | 20120629 |\n",
       "| 601928.SH | 20120629 |\n",
       "\n"
      ],
      "text/plain": [
       "     symbol    date    \n",
       "1    000039.SZ 20120109\n",
       "2    000045.SZ 20120109\n",
       "3    000411.SZ 20120109\n",
       "4    000422.SZ 20120109\n",
       "5    000518.SZ 20120109\n",
       "6    000528.SZ 20120109\n",
       "7    000607.SZ 20120109\n",
       "8    000623.SZ 20120109\n",
       "9    000666.SZ 20120109\n",
       "10   000707.SZ 20120109\n",
       "11   000735.SZ 20120109\n",
       "12   000982.SZ 20120109\n",
       "13   002022.SZ 20120109\n",
       "14   002056.SZ 20120109\n",
       "15   002083.SZ 20120109\n",
       "16   002136.SZ 20120109\n",
       "17   002141.SZ 20120109\n",
       "18   002155.SZ 20120109\n",
       "19   002164.SZ 20120109\n",
       "20   002200.SZ 20120109\n",
       "21   002280.SZ 20120109\n",
       "22   002379.SZ 20120109\n",
       "23   002404.SZ 20120109\n",
       "24   002480.SZ 20120109\n",
       "25   002627.SZ 20120109\n",
       "26   002628.SZ 20120109\n",
       "27   300002.SZ 20120109\n",
       "28   300149.SZ 20120109\n",
       "29   300209.SZ 20120109\n",
       "30   300245.SZ 20120109\n",
       "...  ...       ...     \n",
       "7772 300282.SZ 20120629\n",
       "7773 300285.SZ 20120629\n",
       "7774 300290.SZ 20120629\n",
       "7775 300293.SZ 20120629\n",
       "7776 300294.SZ 20120629\n",
       "7777 300296.SZ 20120629\n",
       "7778 300322.SZ 20120629\n",
       "7779 600051.SH 20120629\n",
       "7780 600072.SH 20120629\n",
       "7781 600073.SH 20120629\n",
       "7782 600082.SH 20120629\n",
       "7783 600085.SH 20120629\n",
       "7784 600097.SH 20120629\n",
       "7785 600199.SH 20120629\n",
       "7786 600260.SH 20120629\n",
       "7787 600285.SH 20120629\n",
       "7788 600290.SH 20120629\n",
       "7789 600478.SH 20120629\n",
       "7790 600498.SH 20120629\n",
       "7791 600543.SH 20120629\n",
       "7792 600559.SH 20120629\n",
       "7793 600663.SH 20120629\n",
       "7794 600687.SH 20120629\n",
       "7795 600702.SH 20120629\n",
       "7796 600873.SH 20120629\n",
       "7797 600981.SH 20120629\n",
       "7798 601231.SH 20120629\n",
       "7799 601633.SH 20120629\n",
       "7800 601886.SH 20120629\n",
       "7801 601928.SH 20120629"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data[, .(stkcd_ret = close/pre_close - 1, symbol, weight = capt/sum(capt)), keyby = .(industry,date)\n",
    "    ][, .(ind_ret = sum(weight*stkcd_ret), stkcd_ret, symbol), keyby = .(industry, date)\n",
    "    ][, .(alpha = coef(lm(stkcd_ret ~ ind_ret))[1], beta = coef(lm(stkcd_ret ~ ind_ret))[2], ind_ret, stkcd_ret, symbol, date), keyby = .(industry)\n",
    "    ][, .(abnr_ret = stkcd_ret - alpha - beta * ind_ret), keyby = .(date, symbol)\n",
    "    ][order(date, -abnr_ret) & abnr_ret > quantile(abnr_ret, 0.7), .(symbol = list(symbol)), keyby = date\n",
    "    ][, {\n",
    "        l <- list()\n",
    "        for (t in 4:.N) {\n",
    "            l[[t]] <- list(symbol = Reduce(intersect, list(symbol[[t]], symbol[[t-1]], symbol[[t-2]])), date = date[[t]])\n",
    "        }\n",
    "        rbindlist(l)\n",
    "    }]"
   ]
  }
 ],
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