Sign In Start Free Trial
Account

Add to playlist

Create a Playlist

Modal Close icon
You need to login to use this feature.
  • Book Overview & Buying Python for Finance
  • Table Of Contents Toc
  • Feedback & Rating feedback
Python for Finance

Python for Finance

By : Yuxing Yan
3.9 (22)
close
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
close
5
5. Introduction to Modules
In Progress | 0 / 6 sections completed | 0%
13
Index
In Progress | 0 / 1 sections completed | 0%

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...

Unlock full access

Continue reading for free

A Packt free trial gives you instant online access to our library of over 7000 practical eBooks and videos, constantly updated with the latest in tech

Create a Note

Modal Close icon
You need to login to use this feature.
notes
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

Confirmation

Modal Close icon
claim successful

Buy this book with your credits?

Modal Close icon
Are you sure you want to buy this book with one of your credits?
Close
YES, BUY