IEOR 4500: Applications Programming for FE

Group Members

• Andrew Chen
• Asish Mahapatra
• Cathy Wang
• Samantha Lam
• Sebastian Ortega

Assignment 1

Problem Statement

For this assignment you need to first install the Yahoo finance package and then use the Python script I provided to download the Russell 1000 closing prices for a six-month period (any six month period).

Then, for each asset in the index, you should compute its daily return (one value per each day), the mean return and variance of return over the six-month period.

Finally, compute the autocorrelation of returns (not prices) using a time window of 1 day, 5 days and 10 days.

Usage

python3 myprices.py russell_1000_ticker.txt

• Assumes the file with list of ticker labels exists in the same directory

• Modify the date ranges inside the program

  89 for line in lines:
  90     ticker = line.strip()
  91     print(ticker,)
  92     if ticker:
  93         prices[ticker] = get_stats(ticker, '2010-01-01', '2010-07-01')
  94     count += 1

• Outputs daily_returns.csv which has the ticker labels as columns and dates as rows and contains the daily returns of the tickers.

  Date	A	AA	AAL	...
  2010-06-30	-0.00528	-0.00099	0.00465	...
  2010-06-29	-0.02670	-0.02708	0.00820	...
  ...	...	...	...	...

• Outputs ticker_statistics.csv which has ticker labels as rows and statistics (mean, variance, 1-day/5-day/10-day autocorrelation as columns)

  Ticker	Mean	Variance	Autocorrelation_1	Autocorrelation_5	Autocorrelation_10
  A	-0.00063	0.00038	-0.06364	-0.00812	0.06184
  AA	-0.00367	0.00072	-0.12330	-0.05315	0.05581
  ...	...	...	...	...	...