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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

Applying a kernel PCA

In this section, we will perform kernel PCA to find eigenvectors and eigenvalues so that we can reconstruct the Dow index.

Finding eigenvectors and eigenvalues

We can perform a kernel PCA using the KernelPCA class of the sklearn.decomposition module in Python. The default kernel method is linear. The dataset that's used in PCA is required to be normalized, which we can perform with z-scoring. The following code do this:

In [ ]:
from sklearn.decomposition import KernelPCA

fn_z_score = lambda x: (x - x.mean()) / x.std()

df_z_components = daily_df_components.apply(fn_z_score)
fitted_pca = KernelPCA().fit(df_z_components)

The fn_z_score variable is an inline function to perform...

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