Delaney Granizo-Mackenzie

Delaney Granizo-Mackenzie

Audience level:
Intermediate
Saturday
9 a.m.–1 p.m.

Using Jupyter Notebooks for Quantitative Finance

Description

Learn how to use Jupyter, plus data analysis tools such as Pandas and NumPy, to perform some basic analyses on financial data. We'll also discuss a few ways in which time series analysis differs from regular statistics, and what Python tools to use for the job.

Abstract

We'll use Jupyter, Pandas, NumPy, and a few statistical libraries to perform time series analysis on financial data. All of the tools are hosted on Quantopian's platform, so no setup or downloads are required. Here is the schedule:

  • 30 Minutes: Introduction to Jupyter Notebooks in Quantitative Finance
  • 30 Minutes: Introduction to Pairs Trading
  • 45 Minutes: Introduction to Running a Backtest Simulation and Walkthrough
  • 15 Minutes: Break
  • 30 Minutes: Overfitting in Financial Analysis with Python Examples
  • 60 Minutes: Exercise to Find Your Own Asset Pairs and Evaluate Performance
  • 30 Minutes: Wrap-up/Buffer Time

You can find material to study in advance here, although no understanding of it is expected. The notebooks can all be accessed offline on the attendees own machines, however, the data will be unaccessible in this case and a local data source would have to be swapped in.

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