Mastering Python for Finance - Second Edition

Preparing the independent and target variables

Let's obtain the datasets of GS and JPM prices from Alpha Vantage with the following code:

In [ ]:    from alpha_vantage.timeseries import TimeSeries    # Update your Alpha Vantage API key here...    ALPHA_VANTAGE_API_KEY = 'PZ2ISG9CYY379KLI'    ts = TimeSeries(key=ALPHA_VANTAGE_API_KEY, output_format='pandas')    df_jpm, meta_data = ts.get_daily_adjusted(        symbol='JPM', outputsize='full')    df_gs, meta_data = ts.get_daily_adjusted(        symbol='GS', outputsize='full')

The pandas DataFrame objects df_jpm and df_gs contain the downloaded prices of JPM and GS respectively. We will be extracting the adjusted closing prices from the fifth column of each dataset.

Let's prepare our independent variables with the following ...