Sign In Start Free Trial
Account

Add to playlist

Create a Playlist

Modal Close icon
You need to login to use this feature.
  • Python for Finance
  • Toc
  • feedback
Python for Finance

Python for Finance

By : Yuxing Yan
3.9 (22)
close
Python for Finance

Python for Finance

3.9 (22)
By: Yuxing Yan

Overview of this book

A hands-on guide with easy-to-follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python. Python for Finance is perfect for graduate students, practitioners, and application developers who wish to learn how to utilize Python to handle their financial needs. Basic knowledge of Python will be helpful but knowledge of programming is necessary.
Table of Contents (14 chapters)
close
13
Index

Chapter 8. Statistical Analysis of Time Series

Understanding the properties of financial time series is very important in finance. In this chapter, we will discuss many issues, such as downloading historical prices, estimating returns, total risk, market risk, correlation among stocks, correlation among different countries' markets from various types of portfolios, and a portfolio variance-covariance matrix; constructing an efficient portfolio and an efficient frontier; estimating Roll (1984) spread; and also estimating the Amihud (2002) illiquidity measure, and Pastor and Stambaugh's (2003) liquidity measure for portfolios. The two related Python modules used are Pandas and statsmodels.

In this chapter, we will cover the following topics:

  • Installation of Pandas and statsmodels
  • Using Pandas and statsmodels
  • Open data sources, and retrieving data from Excel, text, CSV, and MATLAB files, and from a web page
  • Date variable, DataFrame, and merging different datasets by date
  • Term...
bookmark search playlist font-size

Change the font size

margin-width

Change margin width

day-mode

Change background colour

Close icon Search
Country selected

Close icon Your notes and bookmarks

Delete Bookmark

Modal Close icon
Are you sure you want to delete it?
Cancel
Yes, Delete