Python for Finance: Analyze Big Financial Data

A Year end frequency BA Business year end frequency AS Year start frequency BAS Business year start frequency H ...

No2 0.049462 No3 0.570157 ...

Figure 6-1. Line plot of a DataFrame object Basically, pandas provides a wrapper around matplotplib (cf. ...

ax matplotlib axis object matplotlib axis object to use for plotting style String or list/dictionary line plo ...

2015-03-31 -0.155881 2015-04-30 -0.777546 2015-05-31 -1.763660 2015-06-30 -1.134258 2015-07- ...

Q2 -1.225155 0.918877 0.580972 -0.130118 Q3 0.465366 -0.212719 ...

Financial Data The Web today provides a wealth of financial information for free. Web giants such as Googl ...

The tail method provides us with the five last rows of the data set: In [ 49 ]: DAX.tail() Out[49]: ...

In [ 53 ]: %time DAX[‘Return’] = np.log(DAX[‘Close’] / DAX[‘Close’].shift( 1 )) Out[53]: CPU times: user 4 ms, sys ...

traders might be more interested in moving averages, or so-called trends. A moving average is easily cal ...

Figure 6-6. The DAX index and moving, annualized volatility ...

Regression Analysis The previous section introduces the leverage effect as a stylized fact of equity mark ...

In [ 65 ]: lines[: 6 ] Out[65]: [‘PriceIndices-EUROCurrency\n’, ‘Date;Blue-Chip;Blue ...

The helper column has fulfilled its purpose and can now be deleted: In [ 71 ]: del es[‘DEL’] es.info() Out[71]: < ...

object String File path, URL, or other source sep String, default “,” Delimiter to use lineterminator Stri ...

parse_dates Boolean/list, default FalseWhether to parse dates in index columns or multiple columns keep_date_ ...

tupleize_cols Boolean, default False Leave a list of tuples on columns as is To implement the regression analys ...

However, to put this on more formal ground, we want to work again with the log returns of the two financ ...

intercept -0.0001 0.0006 ...

Figure 6-10. Rolling correlation between EURO STOXX 50 and VSTOXX ...