Financial Data Science Lab

Notes

  • Week 1: Data and Statistics

  • Week 2: Global Markets: A Brief Introduction

  • Week 3: Random Walk and Variance Ratio Test

  • Week 4: Asset Pricing Models

  • Week 5: Stationary Processes

  • Week 6: Project Briefing     Data and Python code to help you start

  • Week 7: Presentations

    • Python codes

  • Download daily prices from yahoo!finance

  • Plot downloaded daily adjusted close prices

  • Distributions:
  • Plot adjusted returns and compute the t statistic with null hypothesis of mu=0

  • Obtain the stock information from yahoo!finance with yfinance-0.2.20

  • Variance Ratio Test     Data: csv file

  • Ordinary Least Squares 1     OLS 2

  • AR1 Simulation     AR2 Simulation     MA1 Simulation

  • ARMA(1,1) Simulation