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 rolling three-factor model in Python.
- Import the libraries:
import pandas as pdimport yfinance as yfimport statsmodels.formula.api as smfimport pandas_datareader.data as web
- Define the parameters:
ASSETS = ['AMZN', 'GOOG', 'AAPL', 'MSFT']WEIGHTS = [0.25, 0.25, 0.25, 0.25]START_DATE = '2009-12-31'END_DATE = '2018-12-31'
- Download the factor-related data:
df_three_factor = web.DataReader('F-F_Research_Data_Factors', 'famafrench', start=START_DATE)[0]df_three_factor = df_three_factor.div(100)df_three_factor.index = df_three_factor.index.format()
- Download the prices of risky assets from Yahoo Finance:
asset_df = yf.download(ASSETS, start=START_DATE, end=END_DATE, adjusted=True, progress=False) ...
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