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Mastering Python for Finance

Mastering Python for Finance

By : James Ma Weiming
2.8 (9)
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Mastering Python for Finance

Mastering Python for Finance

2.8 (9)
By: James Ma Weiming

Overview of this book

The second edition of Mastering Python for Finance will guide you through carrying out complex financial calculations practiced in the industry of finance by using next-generation methodologies. You will master the Python ecosystem by leveraging publicly available tools to successfully perform research studies and modeling, and learn to manage risks with the help of advanced examples. You will start by setting up your Jupyter notebook to implement the tasks throughout the book. You will learn to make efficient and powerful data-driven financial decisions using popular libraries such as TensorFlow, Keras, Numpy, SciPy, and scikit-learn. You will also learn how to build financial applications by mastering concepts such as stocks, options, interest rates and their derivatives, and risk analytics using computational methods. With these foundations, you will learn to apply statistical analysis to time series data, and understand how time series data is useful for implementing an event-driven backtesting system and for working with high-frequency data in building an algorithmic trading platform. Finally, you will explore machine learning and deep learning techniques that are applied in finance. By the end of this book, you will be able to apply Python to different paradigms in the financial industry and perform efficient data analysis.
Table of Contents (16 chapters)
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1
Section 1: Getting Started with Python
3
Section 2: Financial Concepts
9
Section 3: A Hands-On Approach

Calculating the VIX Index

In this section, we will perform a step-by-step replication of the VIX Index. Calculation of the VIX Index is documented on the CBOE website. You may obtain a copy of the CBOE VIX white paper at http://www.cboe.com/micro/vix/vixwhite.pdf.

Importing SPX options data

Suppose you had gathered SPX options data from your broker or purchased historical data from an external source such as the CBOE website. For the purpose of this chapter, the end-of-day SPX option chain prices are observed from Monday, October 15, 2018 to Friday, October 19, 2018 and saved into Comma-separated Values (CSV) files. Sample copies of these files are provided under the files folder of the source codes repository.

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