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Python for Finance

You're reading from   Python for Finance Apply powerful finance models and quantitative analysis with Python

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Product type Paperback
Published in Jun 2017
Publisher
ISBN-13 9781787125698
Length 586 pages
Edition 2nd Edition
Languages
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Author (1):
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Yuxing Yan Yuxing Yan
Author Profile Icon Yuxing Yan
Yuxing Yan
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Table of Contents (17) Chapters Close

Preface 1. Python Basics FREE CHAPTER 2. Introduction to Python Modules 3. Time Value of Money 4. Sources of Data 5. Bond and Stock Valuation 6. Capital Asset Pricing Model 7. Multifactor Models and Performance Measures 8. Time-Series Analysis 9. Portfolio Theory 10. Options and Futures 11. Value at Risk 12. Monte Carlo Simulation 13. Credit Risk Analysis 14. Exotic Options 15. Volatility, Implied Volatility, ARCH, and GARCH Index

Chapter 6. Capital Asset Pricing Model

Capital Asset Pricing Model (CAPM) is probably the most widely used model in assets pricing. There are several reasons behind its popularity. First, it is quite simple since it is a one-factor linear model. Second, it is quite easy to implement this one-factor model. Any interested reader could download historical price data for a listed company and market index data to calculate return first, and then estimate the market risk for the stock. Third, this simplest one-factor asset pricing model could be served as the first model for other more advanced ones, such as Fama-French 3-factor, Fama-French-Carhart 4-factor, and Fama-French 5-factor models introduced in the next chapter (Chapter 7, Multifactor Models and Performance Measures). In this chapter, the following topics will be covered:

  • Introduction to CAPM
  • How to download data from Yahoo Finance
  • Rolling beta
  • Several Python programs to estimate beta for multiple stocks
  • Adjusted beta and portfolio...
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