Search icon CANCEL
Arrow left icon
Explore Products
Best Sellers
New Releases
Books
Videos
Audiobooks
Learning Hub
Conferences
Free Learning
Arrow right icon
Arrow up icon
GO TO TOP
Python for Finance Cookbook – Second Edition

You're reading from   Python for Finance Cookbook – Second Edition Over 80 powerful recipes for effective financial data analysis

Arrow left icon
Product type Paperback
Published in Dec 2022
Publisher Packt
ISBN-13 9781803243191
Length 740 pages
Edition 2nd Edition
Languages
Tools
Arrow right icon
Author (1):
Arrow left icon
Eryk Lewinson Eryk Lewinson
Author Profile Icon Eryk Lewinson
Eryk Lewinson
Arrow right icon
View More author details
Toc

Table of Contents (18) Chapters Close

Preface 1. Acquiring Financial Data 2. Data Preprocessing FREE CHAPTER 3. Visualizing Financial Time Series 4. Exploring Financial Time Series Data 5. Technical Analysis and Building Interactive Dashboards 6. Time Series Analysis and Forecasting 7. Machine Learning-Based Approaches to Time Series Forecasting 8. Multi-Factor Models 9. Modeling Volatility with GARCH Class Models 10. Monte Carlo Simulations in Finance 11. Asset Allocation 12. Backtesting Trading Strategies 13. Applied Machine Learning: Identifying Credit Default 14. Advanced Concepts for Machine Learning Projects 15. Deep Learning in Finance 16. Other Books You May Enjoy
17. Index

Different ways of aggregating trade data

Before diving into building a machine learning model or designing a trading strategy, we not only need reliable data, but we also need to aggregate it into a format that is convenient for further analysis and appropriate for the models we choose. The term bars refers to a data representation that contains basic information about the price movements of any financial asset. We have already seen one form of bars in Chapter 1, Acquiring Financial Data, in which we have explored how to download financial data from a variety of sources. There, we downloaded OHLCV data sampled by some time period, be it a month, day, or intraday frequencies. This is the most common way of aggregating financial time series data and is known as the time bars.

There are some drawbacks of sampling financial time series by time:

  • Time bars disguise the actual rate of activity in the market - they tend to oversample low activity periods (e.g. noon) and undersample high activity...
lock icon The rest of the chapter is locked
Register for a free Packt account to unlock a world of extra content!
A free Packt account unlocks extra newsletters, articles, discounted offers, and much more. Start advancing your knowledge today.
Unlock this book and the full library FREE for 7 days
Get unlimited access to 7000+ expert-authored eBooks and videos courses covering every tech area you can think of
Renews at €18.99/month. Cancel anytime