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A Share Autocorrelation

ASecurity

A股自相关/序列相关性/收益率自相关结构分析。当用户说"自相关"、"autocorrelation"、"序列相关"、"收益率预测性"、"动量还是反转"、"自相关系数"、"ACF"、"PACF"、"Ljung-Box"、"收益率是否可预测"、"随机游走检验"时触发。MUST USE when user asks about return autocorrelation, serial correlation tests, or whether a stock's returns are predictable. 量化分析收益率的自相关结构(ACF/PACF、Ljung-Box检验、随机游走检验)。支持formal和brief风格。

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  • Added September 7, 2026
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Scanned September 7, 2026

npx -y skills add aifinlab/FinClaw --skill a-share-autocorrelation --agent claude-code

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SKILL.md
---
name: a-share-autocorrelation
description: A股自相关/序列相关性/收益率自相关结构分析。当用户说"自相关"、"autocorrelation"、"序列相关"、"收益率预测性"、"动量还是反转"、"自相关系数"、"ACF"、"PACF"、"Ljung-Box"、"收益率是否可预测"、"随机游走检验"时触发。MUST USE when user asks about return autocorrelation, serial correlation tests, or whether a stock's returns are predictable. 量化分析收益率的自相关结构(ACF/PACF、Ljung-Box检验、随机游走检验)。支持formal和brief风格。
---
# A股自相关/序列相关性分析
## 数据源
```bash
SCRIPTS="$SKILLS_ROOT/cn-stock-data/scripts"
python "$SCRIPTS/cn_stock_data.py" kline --code [CODE] --freq daily --start [日期]
python "$SCRIPTS/cn_stock_data.py" quote --code [CODE]
python "$SCRIPTS/cn_stock_data.py" finance --code [CODE]
```
## Workflow
### Step 1: 获取K线收益率序列
### Step 2: 计算自相关函数(ACF)
lag 1-20的自相关系数
### Step 3: 偏自相关函数(PACF)
### Step 4: Ljung-Box检验
检验序列是否存在显著自相关
### Step 5: 输出
| 维度 | formal | brief |
|------|--------|-------|
| ACF/PACF | 完整图表 | 关键lag |
| 检验 | LB统计量+p值 | 有无自相关 |
| 含义 | 动量/反转判断 | 交易含义 |
默认风格:brief。
## 关键规则
1. 正自相关=动量效应(涨了还会涨)
2. 负自相关=反转效应(涨了会跌回)
3. A股日频负自相关较明显(T+1导致的隔日反转)
4. 周频/月频正自相关更显著(中期动量)
5. 自相关结构是时间序列策略的基础

## 使用示例

### 示例 1: 基本使用

```python
# 调用 skill
result = run_skill({
    "param1": "value1",
    "param2": "value2"
})
```

### 示例 2: 命令行使用

```bash
python scripts/run_skill.py --input data.json
```

Files in this skill

  • SKILL.md1.8 KB
  • references/autocorrelation-guide.md597 B

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