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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

Building a mean-reverting algorithmic trading system

With our broker now accepting orders and responding to our requests, we can begin to design a fully-automated trading system. In this section, we will explore how to design and implement a mean-reverting algorithmic trading system.

Designing the mean-reversion algorithm

Suppose we believe that in normal market conditions, prices fluctuate, but tend to revert back to some short-term level, such as the average of the most recent prices. In this example, we assume that the EUR/USD currency pair is exhibiting a mean-reversion property in the near short-term period. First, we resample the raw tick-level data into standard time series intervals, for example, at one-minute intervals...

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