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  • Book Overview & Buying Mastering Pandas for Finance
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Mastering Pandas for Finance

Mastering Pandas for Finance

By : Michael Heydt
3.7 (6)
Buy this Book
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Mastering Pandas for Finance

Mastering Pandas for Finance

3.7 (6)
By: Michael Heydt
Buy this Book

Overview of this book

If you are interested in quantitative finance, financial modeling, and trading, or simply want to learn how Python and pandas can be applied to finance, then this book is ideal for you. Some knowledge of Python and pandas is assumed. Interest in financial concepts is helpful, but no prior knowledge is expected.
Table of Contents (11 chapters)
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Preface
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Preface
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What this book covers
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What you need for this book
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Who this book is for
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Conventions
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Reader feedback
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Customer support
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1
1. Getting Started with pandas Using Wakari.io
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1. Getting Started with pandas Using Wakari.io
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What is Wakari?
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Creating a Wakari cloud account
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Installing the samples in Wakari
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Summary
2
2. Introducing the Series and DataFrame
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2. Introducing the Series and DataFrame
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Notebook setup
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The main pandas data structures – Series and DataFrame
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The basics of the Series and DataFrame objects
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Reindexing the Series and DataFrame objects
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Summary
3
3. Reshaping, Reorganizing, and Aggregating
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3. Reshaping, Reorganizing, and Aggregating
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Notebook setup
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Loading historical stock data
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Reorganizing and reshaping data
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Grouping and aggregating
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Summary
4
4. Time-series
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4. Time-series
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Notebook setup
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Time-series data and the DatetimeIndex
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Creating time-series with specific frequencies
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Representing intervals of time using periods
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Shifting and lagging time-series data
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Frequency conversion of time-series data
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Resampling of time-series
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Summary
5
5. Time-series Stock Data
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5. Time-series Stock Data
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Notebook setup
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Obtaining historical stock and index data
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Visualizing financial time-series data
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Fundamental financial calculations
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Moving windows
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Volatility calculation
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Comparing stocks to the S&P 500
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Summary
6
6. Trading Using Google Trends
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6. Trading Using Google Trends
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Notebook setup
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A brief on Quantifying Trading Behavior in Financial Markets Using Google Trends
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Data collection
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Generating order signals
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Computing returns
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Cumulative returns and the result of the strategy
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Summary
7
7. Algorithmic Trading
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7. Algorithmic Trading
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Notebook setup
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The process of algorithmic trading
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Moving averages
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Technical analysis techniques
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Algo trading with Zipline
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Summary
8
8. Working with Options
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8. Working with Options
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Introducing options
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Notebook setup
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Calculating payoff on options
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Profit and loss calculation
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The pricing of options
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Summary
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9. Portfolios and Risk
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9. Portfolios and Risk
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Notebook setup
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An overview of modern portfolio theory
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Modeling a portfolio with pandas
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Constructing an efficient portfolio
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Constructing an optimal portfolio
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Visualizing the efficient frontier
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Value at Risk
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Summary
10
Index
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Index

Calculating payoff on options

The payoff of an option is a relatively straightforward calculation based upon the type of the option and is derived from the price of the underlying security on expiry relative to the strike price. The formula for the call option payoff is as follows:

The formula for the put option payoff is as follows:

We will model both of these functions and visualize their payouts.

The call option payoff calculation

An option gives the buyer of the option the right to buy (a call option) or sell (a put option) an underlying security at a point in the future and at a predetermined price. A call option is basically a bet on whether or not the price of the underlying instrument will exceed the strike price. Your bet is the price of the option (the premium). On the expiry date of a call, the value of the option is 0 if the strike price has not been exceeded. If it has been exceeded, its value is the market value of the underlying security.

The general value of a call option can...

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Mastering Pandas for Finance
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