QuantitaveFinanceExamplesPy

Financial analysis, algorithmic trading, portfolio optimization examples with Python

DISCLAIMER - No Investment Advice Provided

YASAL UYARI - Burada yer alan yatırım bilgi, yorum ve tavsiyeleri yatırım danışmanlığı kapsamında değildir.

Requirements

Please install requirements from requirements.txt.

References (for both methods and some code fragments)

Hilpisch, Y. J. (2021). Python for algorithmic trading: From idea to cloud deployment. O'Reilly.
Jansen, S. (2020). Machine learning for algorithmic trading: Predictive models to extract signals from market and alternative data for systematic trading strategies with python. Packt Publishing.
Pik, J., & Ghosh, S. (2021). Hands-on financial trading with python. Packt Publishing.
Velu, R. P., Hardy, M., & Nehren, D. (2020). Algorithmic trading and quantitative strategies. CRC Press, Taylor & Francis Group.
Brugiere, P. (2021). Quantitative portfolio management: With applications in python. Springer Nature.
Dowd, K. (2007). Measuring market risk. John Wiley & Sons.
Hilpisch, Y. J. (2020). Artificial Intelligence in Finance. O'Reilly.

Contact

Murat Koptur, LinkedIn

Email: muratkoptur@yandex.com

Examples

Note: In all examples, assumed the risk-free rate is zero.

Calculation Alpha and Beta factors

Cointegration

ARCLK.IS and TOASO.IS has cointegration, p-value: 0.04903369798110527
AYGAZ.IS and KCHOL.IS has cointegration, p-value: 0.007029900251131765
FROTO.IS and MAALT.IS has cointegration, p-value: 0.015757028038897322
FROTO.IS and OTKAR.IS has cointegration, p-value: 0.004399007493986555
KCHOL.IS and AYGAZ.IS has cointegration, p-value: 0.007101145930953294
MAALT.IS and FROTO.IS has cointegration, p-value: 0.00783799297255268
OTKAR.IS and FROTO.IS has cointegration, p-value: 0.003094678911810982
OTKAR.IS and TTRAK.IS has cointegration, p-value: 0.04185601871282213
OTKAR.IS and YKGYO.IS has cointegration, p-value: 0.00282083357242191
TTRAK.IS and OTKAR.IS has cointegration, p-value: 0.03639137062922606
TTRAK.IS and YKGYO.IS has cointegration, p-value: 0.03834839887528665
YKGYO.IS and OTKAR.IS has cointegration, p-value: 0.0017665073676291331
YKGYO.IS and TOASO.IS has cointegration, p-value: 0.046004150077470406
YKGYO.IS and TTRAK.IS has cointegration, p-value: 0.027200620035757236

PCA on Returns

Volatility calculations

Std.Dev. Estimator:          0.16988244687319595
Classical Estimator:         0.0013349197336295028
Rogers - Satchell Estimator: 0.0009643228704150725
Yang - Zang estimator:       0.0016329397449278639

Name		Name	Last commit message	Last commit date
.github		.github
imgs		imgs
.gitignore		.gitignore
00_get_stock_data.ipynb		00_get_stock_data.ipynb
01_CAPM_alpha_beta.ipynb		01_CAPM_alpha_beta.ipynb
02_cointegration.ipynb		02_cointegration.ipynb
03_principal_component_analysis_on_returns.ipynb		03_principal_component_analysis_on_returns.ipynb
04_volatility_calculation.ipynb		04_volatility_calculation.ipynb
05_volatility_volume_relationship.ipynb		05_volatility_volume_relationship.ipynb
06_ARX_and_ARCH_models_volalitility_prediction.ipynb		06_ARX_and_ARCH_models_volalitility_prediction.ipynb
07_VWAP.ipynb		07_VWAP.ipynb
08_technical_indicators.ipynb		08_technical_indicators.ipynb
09_denoising_data_with_Kalman_filter.ipynb		09_denoising_data_with_Kalman_filter.ipynb
10_trading_signals.ipynb		10_trading_signals.ipynb
11_backtesting_trading_strategies.ipynb		11_backtesting_trading_strategies.ipynb
12_pairs_trading.ipynb		12_pairs_trading.ipynb
13_MPT_efficient_frontier.ipynb		13_MPT_efficient_frontier.ipynb
14_Value_at_Risk.ipynb		14_Value_at_Risk.ipynb
15_Arbitrage_Pricing_Theory.ipynb		15_Arbitrage_Pricing_Theory.ipynb
16_Portfolio_Optimization_with_Sortino_Ratio.ipynb		16_Portfolio_Optimization_with_Sortino_Ratio.ipynb
LICENSE		LICENSE
README.md		README.md
requirements.txt		requirements.txt

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QuantitaveFinanceExamplesPy

Requirements

References (for both methods and some code fragments)

Contact