Python for Finance: Analyze Big Financial Data

next eight third Fridays of the month. At the end of March, there are futures with maturities ranging from the t ...

imp_vol = bsm_call_imp_vol( V0, # VSTOXX value options_data.loc[option][‘STRIKE’], options_data.loc[option][‘TTM’], r, ...

volatility smile, which is most pronounced for the shortest maturity and which becomes a bit less pronounc ...

group_data.head() Out[17]: PRICE IMP_VO ...

Monte Carlo Simulation Monte Carlo simulation is one of the most important algorithms in finance and numerical ...

The variable z is a standard normally distributed random variable, 0 < t < T, a (small enou ...

Example 3-2. Monte Carlo valuation of European call option with pure Python Monte Carlo valuation ...

Vectorization with NumPy NumPy provides a powerful multidimensional array class, called ndarray, as wel ...

In [ 23 ]: 2 * v Out[23]: [1, 2, 3, 4, 5, 1, 2, 3, 4, 5] Naive scalar multiplication does not return the ...

the outer loop in Example 3-2 are now delegated to NumPy, avoiding the outer loop completely on the Python l ...

There might also be a trade-off between compactness and readability in that this implementation approach makes ...

Figure 3-3. Histogram of all simulated end-of-period index level values Figure 3-4. Histogram of all s ...

Technical Analysis Technical analysis based on historical price information is a typical task finance professi ...

Figure 3-5. Historical levels of the S&P 500 index The trend strategy we want to implement is based ...

Figure 3-6. The S&P 500 index with 42d and 252d trend lines Our basic data set is mainly complete, ...

assume a value of 50 for the signal threshold: In [ 41 ]: SD = 50 sp500[‘Regime’] = np.where(sp500[‘42-252’] &g ...

The strategy pays off well; the investor is able to lock in a much higher return over the relev ...

Conclusions Without going into too much detail, this chapter illustrates the use of Python by the means of conc ...

Further Reading The major references used in this chapter are: Black, Fischer and Myron Scholes (1973): “The P ...

Part II. Financial Analytics and Development This part of the book represents its core. It introduces the most ...