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Python for Finance

You're reading from Python for Finance Apply powerful finance models and quantitative analysis with Python

Product type Paperback

Published in Jun 2017

Publisher

ISBN-13 9781787125698

Length 586 pages

Edition 2nd Edition

Languages

Python

Tools

Matplotlib

Concepts

Data Analysis

Table of Contents (17) Chapters

Preface

1. Python Basics FREE CHAPTER

2. Introduction to Python Modules

3. Time Value of Money

4. Sources of Data

Diving into deeper concepts

5. Bond and Stock Valuation

6. Capital Asset Pricing Model

7. Multifactor Models and Performance Measures

8. Time-Series Analysis

9. Portfolio Theory

10. Options and Futures

11. Value at Risk

12. Monte Carlo Simulation

13. Credit Risk Analysis

14. Exotic Options

15. Volatility, Implied Volatility, ARCH, and GARCH

Index

Exercises

What are the differences between the CAPM and Fama-French 3three-factor models?
What are the meanings of SMB and HML in the Fama-French three-factor model?
What is the meaning of MOM in the Fama-French-Carhart four-factor model?
What are the meanings of RMW and CMA in the Fama-French five-factor model?
What is the difference between R2 and adjusted R2 when running multifactor models?
How many OLS functions we could use? Please offer at least two functions from different Python modules.
Which module contains the function called rolling_kurt? How can you use the function?
Based on daily data downloaded from Yahoo! Finance, find the results for IBM based on the last 5 years by running both the CAPM and Fama-French three-factor models. Which model is better?
What is the momentum factor? How do you run a Fama-French-Carhart four-factor model? Please use a few tickers as an illustration.
What is the definition of the Fama-French 5 factor model? How do you run it for Citi Group? The ticker of...

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