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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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Toc

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

Exercises

  1. What are the differences between the CAPM and Fama-French 3three-factor models?
  2. What are the meanings of SMB and HML in the Fama-French three-factor model?
  3. What is the meaning of MOM in the Fama-French-Carhart four-factor model?
  4. What are the meanings of RMW and CMA in the Fama-French five-factor model?
  5. What is the difference between R2 and adjusted R2 when running multifactor models?
  6. How many OLS functions we could use? Please offer at least two functions from different Python modules.
  7. Which module contains the function called rolling_kurt? How can you use the function?
  8. Based on daily data downloaded from Yahoo! Finance, find the results for IBM based on the last 5 years by running both the CAPM and Fama-French three-factor models. Which model is better?
  9. What is the momentum factor? How do you run a Fama-French-Carhart four-factor model? Please use a few tickers as an illustration.
  10. What is the definition of the Fama-French 5 factor model? How do you run it for Citi Group? The ticker of...
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