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Python Data Analysis Cookbook
book

Python Data Analysis Cookbook

by Ivan Idris
July 2016
Beginner to intermediate
462 pages
9h 14m
English
Packt Publishing
Content preview from Python Data Analysis Cookbook

Analyzing returns statistics

Returns, especially of stock indices, have been extensively studied. In the past, it was assumed that the returns are normally distributed. However, it is now clear that the returns distribution has fat tails (fatter than normal distributions). More information is available at https://en.wikipedia.org/wiki/Fat-tailed_distribution (retrieved October 2015). It is easy enough to check whether data fits the normal distribution. All we need is the mean and standard deviation of the sample.

There are a number of topics that we will explore in this recipe:

  • The skewness and kurtosis of stock returns are interesting to study. Skewness is especially important in the context of stock option models. Analysts usually limit themselves ...
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Publisher Resources

ISBN: 9781785282287