9 ms·
Python for Finance
- throwaway13qf85 13y agoDoes anyone know if this is any good? I don't think that Packt is a particularly reputable publisher. They published a similar book about Haskell (called "Haskell Financial Data Modelling and Predictive Analytics") which was absolutely terrible - useless for learning anything about Haskell, finance, data modelling or predictive analytics. You can find a commentary on that book here on Reddit[0]. I hope this book is better, but I will withhold judgement until someone comes along who's read it and is able to give an informed opinion. [0] http://www.reddit.com/r/haskell/comments/1rj2jq/book_haskell_financial_data_modeling_and/ http://www.reddit.com/r/haskell/comments/1rj2jq/book_haskell...
- alttab 13y agoThe modelling the book covers is the best of the best. Not sure about the content of the book itself, but the Finances seem straight on.
- throwaway13qf85 13y agoI don't think I would call CAPM, the Fama-French 3-factor model, VaR, Black-Scholes and GARCH "the best of the best". I would probably call the selection of topics "finance basics that no one in industry uses any more". It may be suitable as a beginner's guide if the quality of the exposition is good enough, but my suspicion is that you would be better off getting a copy of "Python for Data Analysis" and a decent quant finance textbook.
- arahuja 13y agoRecommendations on the latter?
- jevgeni 13y agoFirst of all, there's no "decent quant finance book" in existence. But there are attempts at it. Most notable are: - "An Introduction to the Mathematics of Financial Derivatives", by Neftci - Wilmott books aren't bad. - Brigo's "Interest Rate Models" is... flaky. It is a lot of material and seems to be quite rigorous, until some point most crucial for understanding, which gets skipped over. The interviews with traders at the end are good. - Only buy Choudhry books, if you want to talk good about finance.
- aet 13y agoInvestment Science by Luenberger
- wengzilla 13y agoThe gold standard for quant books: Hull's Options, Futures, and Derivatives. http://www.amazon.com/Options-Futures-Derivatives-DerivaGem-Package/dp/0132777428/ref=sr_1_1?s=books&ie=UTF8&qid=1398977502&sr=1-1&keywords=options+futures+and+derivatives http://www.amazon.com/Options-Futures-Derivatives-DerivaGem-...
- throwaway13qf85 13y agoThis is very much a beginner's book. When I interviewed for internships in the summer of 2008, the interviewers expected that I would already be familiar with a large portion of the content of this book.
- throwaway13qf85 13y agoIt really depends on what you're trying to achieve. The skills and knowledge necessary for long-term equity investment, short-term statistical arbitrage, derivative pricing and high-frequency trading are all quite different.
- digz 13y agoI dunno... Looking through the table of contents there's pretty good coverage of a lot of very specific research that goes well beyond basic capm/ff/var/bs/garch. The goal of this book is clearly not going to be to teach you finance but rather to provide you with enough of the basics and beyond so you basically have all the tools needed to move forward. Was very pleasantly surprised to see some of the stuff in the table of contents (ie. Pastor and Stambaugh's liquidity measure). Will order this as I think it'll be a great reference.
- alttab 13y ago"No one in the industry uses anymore"? Really? Fama and French are still industry leaders, and they use the three factor model as the foundation of all of their portfolio management at Dimensional Fund Advisors, hands down the most successful mutual fund in existence. http://us.dimensional.com/process/multifactor.aspx http://us.dimensional.com/process/multifactor.aspx They continue to out-perform active fund managers, and they power a boat load of the investments for many American Corporations. And those American Corporations love to watch their money grow. What makes you think these models don't still power successful financial products today?
- awkwit 13y agoI highly doubt Dimensional are using a three factor model to manage their portfolios. Typical multi-factor models these days can have anywhere from 10 to 100 factors. The concepts of the three factor model are important to learn but implementing one in practice is rarely done. These core factors are too crowded these days as all the quant funds are looking at the same factors.
- alttab 13y agoYou're talking about active management. That is not what DFA does so you clearly don't get the philosophy.
- throwaway13qf85 13y agoThe page you linked to is Dimensional explaining their five factor model, and it sounds like they only use that as a basis for a more complicated model. The very example you gave to support your point actually detracts from it.
- jareds 13y agoIs this book available in a DRM free format? I’m blind and attempting to read the book word by word on my iPhone to follow code samples and then entering them in the computer is not worth it.
- nswanberg 13y agoYes. While it costs a few dollars more than Amazon, you can buy it from the publisher here: http://www.packtpub.com/python-for-finance/book http://www.packtpub.com/python-for-finance/book Packt says that their ebooks are DRM free in the "Pactk Facts" section here: https://www.packtpub.com/about https://www.packtpub.com/about Like other tech publishers, they frequently have discount codes on their ebooks, though $20 doesn't seem expensive if the information is useful.
- a3n 13y agoI have bought two or three Packt books. They have very light DRM: they print your name (or whatever you give them as your name) in the book. There are no copy prevention measures, they're just straight pdf or other format. It's actually a nice compromise.
- dfc 13y agoCan I bother you with some accessibility questions? (Sorry HN but no contact info in profile) I am currently converting a giant (2800+ pages) government pdf[1] to markdown so that it can be converted to html/epub/latex/etc. I am casually aware of the DAISY file format but have not found any free software tools for creating DAISY files. Is there anything I can do that would be better for you than DRM free epub/mobi files and/or plain markdown text files? [1]: http://www.gpo.gov/fdsys/pkg/GPO-CONAN-2013/pdf/GPO-CONAN-2013.pdf http://www.gpo.gov/fdsys/pkg/GPO-CONAN-2013/pdf/GPO-CONAN-20... -- http://www.gpo.gov/fdsys/pkg/GPO-CONAN-2013/content-detail.html http://www.gpo.gov/fdsys/pkg/GPO-CONAN-2013/content-detail.h...
- jareds 13y agoWill try to look at that site tonight. I've updated my profile with contact info.
- loumf 13y agoI expect this one will be better: http://shop.oreilly.com/product/0636920032441.do http://shop.oreilly.com/product/0636920032441.do
- tricky 13y agoLooks interesting. Can you elaborate on why you think it will be good? Glad to see they're using Pandas.
- big_youth 13y agoThis book is written by Yves J. Hilpisch a premier figure in the big data python world and great teacher. He has another more advanced book, which I loved, called Derivative Analytics with Python[0] and has given many well known and received talks. Note, I am Continuum Analytics[1] alumni, of which is Yves J. Hilpisch is the European director and whose CEO was the lead contributer to NumPy for many years. So my endorsement is not against Packt's Python for Finance but rather for O'Reillys Python for Finance based on previous work and experience of the Author. [0] http://www.python-for-finance.com/ http://www.python-for-finance.com/ [1] http://continuum.io/ http://continuum.io/
- mynegation 13y agoThe author is pretty well known in the (very narrow I suppose) circle of quants using Python. He has a company working in the field[0] and also works for Continuum Analytics[1] which are the guys doing very interesting things in PyData community. [0] http://www.derivatives-analytics.com/ http://www.derivatives-analytics.com/ [1] http://continuum.io/our-team http://continuum.io/our-team
- a3n 13y agoContinuum make a free alternative python distribution, Anaconda, which is listed on python.org as an alternate. They also sell other python tools on top of Anaconda. In addition to the many, many libraries included with Anaconda, it installs ipython (and ipython notebook). I believe using Anaconda is among the easiest ways to get ipython on Windows, and you get all the other libs too.
- chollida1 13y agoI've ordered a copy of this book. I have a coy of Haskell Financial Data Modelling, which someone else had asked about. I don't want to be too negative, but I didn't get too much out of this book. It moves pretty slow when explaining both Haskell and the financial content. To be fair, this might be considered an advantage if you are new to both. It also doesn't really give you alot of "actionable code" that you can drop into an existing system. Each chapter is an introduction to large subjects, so I guess by definition the author can't dive very deeply. In contrast the posted book seems to cover a bit more ground and seems to include on graphing and practical applications of black scholes, which is nice. I'll post a review once I've read it.
- throwaway13qf85 13y agoI would be more forthright - the Haskell book was a travesty that never should have been published and I wouldn't want to inflict it on anyone (I have experience with all three of Haskell, quant finance and modelling & analytics and I am confident in saying that the Haskell book is useless).
- T-A 13y agoI guess the book grew out of http://papers.ssrn.com/sol3/papers.cfm?Abstract_id=2197975 http://papers.ssrn.com/sol3/papers.cfm?Abstract_id=2197975
- Bootvis 13y agoI hope not. I quote: I show how to use Python, free software, as a financial calculator to estimate PV, FV, PV of annuity, to estimate effective rates, beta and more. I can literally do that with the built in functions of pocket calculator. Doing that in Python isn't very interesting. It will take some huge steps in only 321 pages to get to proficient use of NumPy and co from there.
- reuwsaat 13y agoThis is news how? Isn't this what reviews are or on Amazon?
- gwintrob 13y agoMaybe it's news because the Kindle price is discounted? I don't know the book, but anyone interested in financial modeling in Python should check out https://datanitro.com/ https://datanitro.com/ and their Excel API https://voyager.datanitro.com/ https://voyager.datanitro.com/. Definitely a big improvement over Visual Basic macros.
- yves_quant 13y agoIn my O'Reilly book I also cover Excel integration, both without and with the DataNitro solution.
- drpancake 13y agoShameless plug: my site Tradewave would be an ideal place to try some of these techniques out. We let you write automated trading algorithms for cryptocurrencies, in the browser, with Python. https://tradewave.net https://tradewave.net
- jkbr 13y agoInteresting. I've been working on a trading bot (for Bitstamp) written in Python and this comes pretty close to what I had in mind :)
- drpancake 13y agoFeel free to drop me an email if you have any feature requests. james@tradewave.net
- brandonhsiao 13y agoHaving struggled hard with the problem of remote Python code execution before, I'm quite interested how you're doing it. Mind sharing?
- drpancake 13y agoEssentially you can't sandbox CPython at the interpreter level, it's too introspective (I do it anyway though, just as a first level of defence). You need sandboxing at the OS level. Happy to go into more details by email.
- TrainedMonkey 13y agoI took computational investing on coursera, which seems to have some overlap with the contents of the book. Course involves building and back testing stock trading strategies in python. https://www.coursera.org/course/compinvesting1 https://www.coursera.org/course/compinvesting1
- leoplct 13y agoDo you have get some profit using these strategies?
- myth_drannon 13y agono, because the prof that teaches this course still didn't make any money using these strategies, otherwise he would be on his yacht in French Riviera
- throwaway13qf85 13y agoIs that the Georgia Tech/Tucker Balch course? I'm amazed that GT let him teach that course. It's full of errors, omissions and bad habits. I vaguely followed along, and the most noticeable thing was how much the students complained about the low quality of the course. The only result of someone implementing the advice in that course is that they'd lose a lot of money quite quickly.
- dnesteruk 13y agoThat course isn't really well done. There are much better quant courses out there on Coursera.
- vlandham 13y agoI'm pretty excited about QuantStart's up-coming book+code: http://www.quantstart.com/successful-algorithmic-trading-ebook http://www.quantstart.com/successful-algorithmic-trading-ebo... It is in a similar vein: python + finance. Based on the depth of the blog posts, I expect a lot of good content.
- pge 13y agoOne of the projects on my back burner is to write a decent financial library for Python. The closest out there is numpy.financial, but it is not well done. I have contributed bug fixes to some of the functions but have not done a comprehensive overhaul, and I question whether numpy is where financial functions should live. A standalone library would be simpler, except for the fact that having access to scipy's numerical solver is handy for some functions. My proposed starting point would be a library that covered the financial functions available in Excel.
- scoofy 13y agoI've been working on a free finance application in python if anyone want's to help: https://github.com/scoofy/wxStocks https://github.com/scoofy/wxStocks It's not yet really functional, but i've been working on it for a while, and it scrapes yql and some morningstar pretty well.
- danielforsyth 13y agoAny suggestions for a intro to finance text? I am pretty good with python already, should I wait for the oreily book?
- gavinh 13y agoI have read several of Packt's titles, and their quality is inconsistent.
- longp0ke 13y ago> Python for Finance garbage post detected. confidence: 99.9999%
- deleted 13y ago[deleted]
- gretchen_204 13y agoJust went through the table of contents. There are some interesting topics in there. You can go through them here: http://www.packtpub.com/python-for-finance/book http://www.packtpub.com/python-for-finance/book