January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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How to do it...
Follow these steps to implement the four- and five-factor models in Python.
- Import the libraries:
import pandas as pdimport yfinance as yfimport statsmodels.formula.api as smfimport pandas_datareader.data as web
- Specify the risky asset and the time horizon:
RISKY_ASSET = 'AMZN'START_DATE = '2013-12-31'END_DATE = '2018-12-31'
- Download the risk factors from prof. French's website:
# three factors df_three_factor = web.DataReader('F-F_Research_Data_Factors', 'famafrench', start=START_DATE)[0]df_three_factor.index = df_three_factor.index.format()# momentum factordf_mom = web.DataReader('F-F_Momentum_Factor', 'famafrench', start=START_DATE)[0]df_mom.index = df_mom.index.format()# five factorsdf_five_factor = web.DataReader('F-F_Research_Data_5_Factors_2x3', ...Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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