没有合适的资源?快使用搜索试试~ 我知道了~
首页使用Python进行量化金融分析:深度学习与实战
"Python for Finance.pdf" 本书《Python for Finance》是一本面向金融领域的实践指南,旨在帮助读者理解和应用Python在量化金融中的关键概念和技术。通过这本书,你可以学习如何使用NumPy、pandas和Keras等流行的Python库进行金融分析。 在书中,作者首先介绍了量化金融的主要概念和技术,以及Python在这一领域的重要性。接下来,你将学习如何利用pandas进行时间序列分析,并掌握DataFrame在处理金融数据中的应用。进一步,书中的章节会指导你计算投资组合的可分散风险和非可分散风险,以及如何通过实施马科维茨投资组合理论优化投资组合。此外,你将学习回归分析方法,用于评估资产价值,探究商品价格与企业股票之间的关系。 书中还涉及了蒙特卡洛模拟在预测股票价格中的应用,以及如何通过分析价格变化来确定期权的定价。作者还介绍了深度学习在金融数据分析和预测中的应用,如使用TensorFlow和Keras构建神经网络。这些技术可以帮助你预测市场趋势,进行更精准的金融决策。 随着阅读的深入,你将具备运用Python进行各种金融分析任务的能力,无论是在风险管理、投资策略制定还是市场预测方面。这本书的内容全面且实用,适合对金融分析感兴趣的Python程序员,以及希望将编程技能应用于金融领域的专业人士。 通过本书的学习,你不仅能够理解金融市场的运作机制,还能掌握使用Python解决实际金融问题的技能,从而在金融工程和定量金融领域提升自己的专业水平。
资源详情
资源推荐
Table of Contents
[ vii ]
Buttery with calls 256
Relationship between input values and option values 257
Greek letters for options 258
The put-call parity and its graphical representation 259
Binomial tree (the CRR method) and its graphical representation 261
The binomial tree method for European options 268
The binomial tree method for American options 268
Hedging strategies 269
Summary 270
Exercises 271
Chapter 10: Python Loops and Implied Volatility 275
Denition of an implied volatility 276
Understanding a for loop 277
Estimating the implied volatility by using a for loop 278
Implied volatility function based on a European call 279
Implied volatility based on a put option model 280
The enumerate() function 281
Estimation of IRR via a for loop 282
Estimation of multiple IRRs 283
Understanding a while loop 284
Using keyboard commands to stop an innitive loop 285
Estimating implied volatility by using a while loop 286
Nested (multiple) for loops 288
Estimating implied volatility by using an American call 288
Measuring efciency by time spent in nishing a program 289
The mechanism of a binary search 290
Sequential versus random access 292
Looping through an array/DataFrame 293
Assignment through a for loop 294
Looping through a dictionary 294
Retrieving option data from CBOE 295
Retrieving option data from Yahoo! Finance 297
Different expiring dates from Yahoo! Finance 299
Retrieving the current price from Yahoo! Finance 300
The put-call ratio 300
The put-call ratio for a short period with a trend 302
Summary 303
Exercises 304
WOW! eBook
www.wowebook.org
Table of Contents
[ viii ]
Chapter 11: Monte Carlo Simulation and Options 307
Generating random numbers from a standard normal distribution 308
Drawing random samples from a normal (Gaussian) distribution 309
Generating random numbers with a seed 309
Generating n random numbers from a normal distribution 310
Histogram for a normal distribution 310
Graphical presentation of a lognormal distribution 311
Generating random numbers from a uniform distribution 312
Using simulation to estimate the pi value 313
Generating random numbers from a Poisson distribution 315
Selecting m stocks randomly from n given stocks 315
Bootstrapping with/without replacements 317
Distribution of annual returns 319
Simulation of stock price movements 320
Graphical presentation of stock prices at options' maturity dates 322
Finding an efcient portfolio and frontier 324
Finding an efcient frontier based on two stocks 324
Impact of different correlations 326
Constructing an efcient frontier with n stocks 329
Geometric versus arithmetic mean 332
Long-term return forecasting 333
Pricing a call using simulation 334
Exotic options 335
Using the Monte Carlo simulation to price average options 335
Pricing barrier options using the Monte Carlo simulation 337
Barrier in-and-out parity 339
Graphical presentation of an up-and-out and up-and-in parity 340
Pricing lookback options with oating strikes 342
Using the Sobol sequence to improve the efciency 344
Summary 344
Exercises 345
Chapter 12: Volatility Measures and GARCH 347
Conventional volatility measure – standard deviation 348
Tests of normality 349
Estimating fat tails 350
Lower partial standard deviation 352
Test of equivalency of volatility over two periods 354
Test of heteroskedasticity, Breusch, and Pagan (1979) 355
Retrieving option data from Yahoo! Finance 358
Volatility smile and skewness 360
Graphical presentation of volatility clustering 362
WOW! eBook
www.wowebook.org
Table of Contents
[ ix ]
The ARCH model 363
Simulating an ARCH (1) process 364
The GARCH (Generalized ARCH) model 365
Simulating a GARCH process 366
Simulating a GARCH (p,q) process using modied garchSim() 367
GJR_GARCH by Glosten, Jagannanthan, and Runkle (1993) 369
Summary 373
Exercises 373
Index 375
WOW! eBook
www.wowebook.org
WOW! eBook
www.wowebook.org
Preface
It is our rm belief that an ambitious student major in nance should learn at least
one computer language. The basic reason is that we have entered the Big Data era.
In nance, we have a huge amount of data, and most of it is publically available free
of charge. To use such rich sources of data efciently, we need a tool. Among many
potential candidates, Python is one of the best choices.
Why Python?
There are various reasons that Python should be used. Firstly, Python is free in terms
of license. Python is available for all major operating systems, such as Windows,
Linux/Unix, OS/2, Mac, and Amiga, among others. Being free has many benets.
When students graduate, they could apply what they have learned wherever they
go. This is true for the nancial community as well. In contrast, this is not true for
SAS and MATLAB. Secondly, Python is powerful, exible, and easy to learn. It is
capable of solving almost all our nancial and economic estimations. Thirdly, we
could apply Python to Big Data. Dasgupta (2013) argues that R and Python are two
of the most popular open source programming languages for data analysis. Fourthly,
there are many useful modules in Python. Each model is developed for a special
purpose. In this book, we focus on NumPy, SciPy, Matplotlib, Statsmodels, and
Pandas modules.
WOW! eBook
www.wowebook.org
剩余407页未读,继续阅读
大自然的搬運工
- 粉丝: 6
- 资源: 35
上传资源 快速赚钱
- 我的内容管理 收起
- 我的资源 快来上传第一个资源
- 我的收益 登录查看自己的收益
- 我的积分 登录查看自己的积分
- 我的C币 登录后查看C币余额
- 我的收藏
- 我的下载
- 下载帮助
会员权益专享
最新资源
- 京瓷TASKalfa系列维修手册:安全与操作指南
- 小波变换在视频压缩中的应用
- Microsoft OfficeXP详解:WordXP、ExcelXP和PowerPointXP
- 雀巢在线媒介投放策划:门户网站与广告效果分析
- 用友NC-V56供应链功能升级详解(84页)
- 计算机病毒与防御策略探索
- 企业网NAT技术实践:2022年部署互联网出口策略
- 软件测试面试必备:概念、原则与常见问题解析
- 2022年Windows IIS服务器内外网配置详解与Serv-U FTP服务器安装
- 中国联通:企业级ICT转型与创新实践
- C#图形图像编程深入解析:GDI+与多媒体应用
- Xilinx AXI Interconnect v2.1用户指南
- DIY编程电缆全攻略:接口类型与自制指南
- 电脑维护与硬盘数据恢复指南
- 计算机网络技术专业剖析:人才培养与改革
- 量化多因子指数增强策略:微观视角的实证分析
资源上传下载、课程学习等过程中有任何疑问或建议,欢迎提出宝贵意见哦~我们会及时处理!
点击此处反馈
安全验证
文档复制为VIP权益,开通VIP直接复制
信息提交成功