Python for Finance Cookbook

How to do it...

Execute the following steps to train a multilayer perceptron in PyTorch.

1. Import the libraries:

import yfinance as yfimport numpy as npimport torchimport torch.optim as optimimport torch.nn as nnimport torch.nn.functional as Ffrom torch.utils.data import (Dataset, TensorDataset,                              DataLoader, Subset)from sklearn.metrics import mean_squared_errordevice = 'cuda' if torch.cuda.is_available() else 'cpu'

2. Define the parameters:

# dataTICKER = 'ANF'START_DATE = '2010-01-02'END_DATE = '2019-12-31'N_LAGS = 3# neural network VALID_SIZE = 12BATCH_SIZE = 5N_EPOCHS = 1000

3. Download the stock prices of Abercrombie and Fitch and process the data:

df = yf.download(TICKER,                  start=START_DATE,                  end=END_DATE,                 progress=False)df = df.resample("M").last() ...