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  • Book Overview & Buying Python for Finance Cookbook – Second Edition
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Python for Finance Cookbook – Second Edition

Python for Finance Cookbook – Second Edition - Second Edition

By : Eryk Lewinson
4.9 (38)
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Python for Finance Cookbook – Second Edition

Python for Finance Cookbook – Second Edition

4.9 (38)
By: Eryk Lewinson

Overview of this book

Python is one of the most popular programming languages in the financial industry, with a huge collection of accompanying libraries. In this new edition of the Python for Finance Cookbook, you will explore classical quantitative finance approaches to data modeling, such as GARCH, CAPM, factor models, as well as modern machine learning and deep learning solutions. You will use popular Python libraries that, in a few lines of code, provide the means to quickly process, analyze, and draw conclusions from financial data. In this new edition, more emphasis was put on exploratory data analysis to help you visualize and better understand financial data. While doing so, you will also learn how to use Streamlit to create elegant, interactive web applications to present the results of technical analyses. Using the recipes in this book, you will become proficient in financial data analysis, be it for personal or professional projects. You will also understand which potential issues to expect with such analyses and, more importantly, how to overcome them.
Table of Contents (18 chapters)
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16
Other Books You May Enjoy
17
Index

Finding the best-fitting ARIMA model with auto-ARIMA

As we have seen in the previous recipe, the performance of an ARIMA model varies greatly depending on the chosen hyperparameters (p, d, and q). We can do our best to choose them based on our intuition, the statistical tests, and the ACF/PACF plots. However, this can prove to be quite difficult to do in practice.

That is why in this recipe we introduce auto-ARIMA, an automated approach to finding the best hyperparameters of the ARIMA class models (including variants such as ARIMAX and SARIMA).

Without going much into technical details of the algorithm, it first determines the number of differences using the KPSS test. Then, the algorithm uses a stepwise search to traverse the model space searching for a model that results in a better fit. A popular choice of evaluation metric used for comparing the models is the Akaike Information Criterion (AIC). The metric provides a trade-off between the goodness of fit of the model and its simplicity...

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Python for Finance Cookbook – Second Edition
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