Book Image

Python for Finance Cookbook

By : Eryk Lewinson
Book Image

Python for Finance Cookbook

By: Eryk Lewinson

Overview of this book

Python is one of the most popular programming languages used in the financial industry, with a huge set of accompanying libraries. In this book, you'll cover different ways of downloading financial data and preparing it for modeling. You'll calculate popular indicators used in technical analysis, such as Bollinger Bands, MACD, RSI, and backtest automatic trading strategies. Next, you'll cover time series analysis and models, such as exponential smoothing, ARIMA, and GARCH (including multivariate specifications), before exploring the popular CAPM and the Fama-French three-factor model. You'll then discover how to optimize asset allocation and use Monte Carlo simulations for tasks such as calculating the price of American options and estimating the Value at Risk (VaR). In later chapters, you'll work through an entire data science project in the financial domain. You'll also learn how to solve the credit card fraud and default problems using advanced classifiers such as random forest, XGBoost, LightGBM, and stacked models. You'll then be able to tune the hyperparameters of the models and handle class imbalance. Finally, you'll focus on learning how to use deep learning (PyTorch) for approaching financial tasks. By the end of this book, you’ll have learned how to effectively analyze financial data using a recipe-based approach.
Table of Contents (12 chapters)

Deep Learning in Finance

In recent years, we have seen many spectacular successes achieved by means of deep learning techniques. Deep neural networks were successfully applied to tasks in which traditional machine learning algorithms could not succeed – large-scale image classification, autonomous driving, and superhuman performance when playing traditional games such as Go or classic video games. Almost yearly, we can observe the introduction of a new type of network that achieves state-of-the-art (SOTA) results and breaks some kind of performance record.

With the constant improvement in commercially available Graphics Processing Units (GPU), the emergence of freely available processing power involving CPUs/GPUs (Google Colab, Kaggle, and so on) and the rapid development of different frameworks, deep learning continues to gain more and more attention among researchers...