Mastering Python for Finance

Book Image

Mastering Python for Finance

Book Image

Mastering Python for Finance

Overview of this book

Mastering Python for Finance

Mastering Python for Finance

Credits

About the Author

About the Author

About the Reviewers

About the Reviewers

www.PacktPub.com

www.PacktPub.com

Preface

Free Chapter

Python for Financial Applications

Python for Financial Applications

Is Python for me?

Objected-oriented versus functional programming

Which Python version should I use?

Introducing IPython

The Importance of Linearity in Finance

The Importance of Linearity in Finance

The capital asset pricing model and the security market line

The Arbitrage Pricing Theory model

Multivariate linear regression of factor models

Linear optimization

Solving linear equations using matrices

The LU decomposition

The Cholesky decomposition

The QR decomposition

Nonlinearity in Finance

Nonlinearity in Finance

Nonlinearity modeling

Examples of nonlinear models

An introduction to root-finding

Incremental search

The bisection method

Newton's method

The secant method

Combining root-finding methods

SciPy implementations

Numerical Procedures

Numerical Procedures

Introduction to options

Binomial trees in options pricing

The Greeks for free

Trinomial trees in options pricing

Lattices in options pricing

Finite differences in options pricing

Putting it all together – implied volatility modeling

Interest Rates and Derivatives

Interest Rates and Derivatives

Fixed-income securities

Valuing a zero-coupon bond

Bootstrapping a yield curve

Calculating the yield to maturity

Calculating the price of a bond

Short-rate modeling

Pricing a callable bond option

Interactive Financial Analytics with Python and VSTOXX

Interactive Financial Analytics with Python and VSTOXX

Volatility derivatives

Gathering the EUROX STOXX 50 Index and VSTOXX data

Merging the data

Financial analytics of SX5E and V2TX

Correlation between SX5E and V2TX

Calculating the VSTOXX sub-indices

Calculating the VSTOXX main index

Big Data with Python

Big Data with Python

Introducing big data

Hadoop for big data

Is big data for me?

Getting Apache Hadoop

A word count program in Hadoop

Going deeper – Hadoop for finance

Introducing NoSQL

Algorithmic Trading

Algorithmic Trading

Introduction to algorithmic trading

List of trading platforms with public API

Which is the best programming language to use?

System functionalities

Algorithmic trading with Interactive Brokers and IbPy

Building a mean-reverting algorithmic trading system

Forex trading with OANDA API

Building a trend-following forex trading platform

VaR for risk management

Backtesting

An introduction to backtesting

Designing and implementing a backtesting system

Ten considerations for a backtesting model

Discussion of algorithms in backtesting

Excel with Python

Excel with Python

Overview of COM

Excel for finance

Building a COM server

Building the COM client in Excel

What else can I do with COM?

Index

Customer Reviews

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List of trading platforms with public API

The following table lists some brokers and trading platform vendors who have their API documentation publicly available:

Broker/vendor	URL	Programming languages supported
Interactive Brokers	https://www.interactivebrokers.com/en/index.php?f=1325	C++, Posix C++, Java, and Visual Basic for ActiveX
E*Trade	https://developer.etrade.com	Java, PHP, and C++
IG	http://labs.ig.com/	REST, Java, FIX, and Microsoft .NET Framework 4.0
Tradier	https://developer.tradier.com	Java, Perl, Python, and Ruby
TradeKing	https://developers.tradeking.com	Java, Node.js, PHP, R, and Ruby
Cunningham trading systems	http://www.ctsfutures.com/wiki/T4%20API%2040.MainPage.ashx	Microsoft .NET Framework 4.0
CQG	http://cqg.com/Products/CQG-API.aspx	C#, C++, Excel, MATLAB, and VB.NET
Trading technologies	https://developer.tradingtechnologies.com	Microsoft .NET Framework 4.0
OANDA	http://developer.oanda.com	REST, Java, FIX, and MT4