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Yan - Python for Finance

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Yan Python for Finance
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    Python for Finance
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Python for Finance

Python for Finance

Copyright 2014 Packt Publishing

All rights reserved. No part of this book may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, without the prior written permission of the publisher, except in the case of brief quotations embedded in critical articles or reviews.

Every effort has been made in the preparation of this book to ensure the accuracy of the information presented. However, the information contained in this book is sold without warranty, either express or implied. Neither the author, nor Packt Publishing, and its dealers and distributors will be held liable for any damages caused or alleged to be caused directly or indirectly by this book.

Packt Publishing has endeavored to provide trademark information about all of the companies and products mentioned in this book by the appropriate use of capitals. However, Packt Publishing cannot guarantee the accuracy of this information.

First published: April 2014

Production Reference: 1180414

Published by Packt Publishing Ltd.

Livery Place

35 Livery Street

Birmingham B3 2PB, UK.

ISBN 978-1-78328-437-5

www.packtpub.com

Cover Image by Aniket Sawant (<>)

Credits

Author

Yuxing Yan

Reviewers

Mourad MOURAFIQ

Loucas Papayiannis

Jiri Pik

Commissioning Editor

Usha Iyer

Acquisition Editors

Pramila Balan

Llewellyn Rozario

Content Development Editor

Ruchita Bhansali

Technical Editors

Shubhangi Dhamgaye

Krishnaveni Haridas

Arwa Manasawala

Ankita Thakur

Copy Editors

Roshni Banerjee

Sarang Chari

Adithi Shetty

Project Coordinator

Swati Kumari

Proofreaders

Simran Bhogal

Maria Gould

Ameesha Green

Paul Hindle

Joanna McMahon

Indexers

Mehreen Deshkmukh

Monica Ajmera Mehta

Rekha Nair

Tejal Soni

Priya Subramani

Graphics

Abhinash Sahu

Production Coordinator

Aditi Gajjar Patel

Cover Work

Aditi Gajjar Patel

About the Author

Yuxing Yan graduated from McGill university with a PhD in finance. He has taught various finance courses, such as Financial Modeling, Options and Futures, Portfolio Theory, Quantitative Financial Analysis, Corporate Finance, and Introduction to Financial Databases to undergraduate and graduate students at seven universities: two in Canada, one in Singapore, and four in the USA.

Dr. Yan has actively done research with several publications in Journal of Accounting and Finance, Journal of Banking and Finance, Journal of Empirical Finance, Real Estate Review, Pacific Basin Finance Journal, Applied Financial Economics, and Annals of Operations Research. For example, his latest publication, co-authored with Shaojun Zhang, will appear in the Journal of Banking and Finance in 2014. His research areas include investment, market microstructure, and open source finance.

He is proficient at several computer languages such as SAS, R, MATLAB, C, and Python. From 2003 to 2010, he worked as a technical director at Wharton Research Data Services (WRDS), where he debugged several hundred computer programs related to research for WRDS users. After that, he returned to teaching in 2010 and introduced R into several quantitative courses at two universities. Based on lecture notes, he has the first draft of an unpublished manuscript titled Financial Modeling using R .

In addition, he is an expert on financial data. While teaching at NTU in Singapore, he offered a course called Introduction to Financial Databases to doctoral students. While working at WRDS, he answered numerous questions related to financial databases and helped update CRSP, Compustat, IBES, and TAQ (NYSE high-frequency database). In 2007, Dr. Yan and S.W. Zhu (his co-author) published a book titled Financial Databases, Shiwu Zhu and Yuxing Yan, Tsinghua University Press. Currently, he spends considerable time and effort on public financial data. If you have any queries, you can always contact him at <>.

Acknowledgments

I would like to thank Ben Amoako-Adu, Brian Smith (who taught me the first two finance courses and offered unstinting support for many years after my graduation), George Athanassakos (one of his assignments "forced" me to learn C), Jin-Chun Duan, Wei-Hung Mao, Jerome Detemple, Bill Sealey, Chris Jacobs, Mo Chaudhury (my former professors at McGill), and Laurence Kryzanowski. (His wonderful teaching inspired me to concentrate on empirical finance and he edited my doctoral thesis word by word even though he was not my supervisor!)

There is no doubt that my experience at Wharton has shaped my thinking and enhanced my skill sets. I thank Chris Schull and Michael Boldin for offering me the job; Mark Keintz, Dong Xu, Steven Crispi, and Dave Robinson, my former colleagues, who helped me greatly during my first two years at Wharton; and Eric Zhu, Paul Ratnaraj, Premal Vora, Shuguang Zhang, Michelle Duan, Nicholle Mcniece, Russ Ney, Robin Nussbaum-Gold, and Mireia Gine for all their help.

In addition, I'd like to thank Shaobo Ji, Tong Yu, Shaoming Huang, Xing Zhang, Changwen Miao, Karyl Leggio, Lisa Fairchild, K. G. Viswanathan, Na Wang, Mark Lennon, and Qiyu (Jason) Zhang for helping me in many ways. I also want to thank Shaojun Zhang and Qian Sun, my former colleagues and co-authors on several papers, for their valuable input and discussions.

Creating a good book involves many talented publishing professionals and external reviewers in addition to the author(s). I would like to acknowledge the excellent efforts and input from the staff of my publisher, Packt Publishing, especially Llewellyn F. Rozario, Swati Kumari, Arwa Manasawala, Ruchita Bhansali, Apeksha Chitnis, and Pramila Balan as well as the external reviewers, Martin Olveyra, Mourad MOURAFIQ, and Loucas Parayiannis, for their valuable advice, suggestions, and criticism.

Finally, and most importantly, I thank my wife, Xiaoning Jin, for her strong support, my daughter, Jing Yan, and son, James Yan, for their understanding and love they have showered on me over the years.

About the Reviewers

Jiri Pik is a finance and business intelligence consultant working with major investment banks, hedge funds, and other financial players. He has architected and delivered breakthrough trading, portfolio and risk management systems, and decision-support systems across industries.

His consulting firm, WIXESYS, provides their clients with certified expertise, judgment, and execution at the speed of light. WIXESYS' power tools include revolutionary Excel and Outlook add-ons available at http://spearian.com.

Loucas Papayiannis was born and raised in Cyprus, where he graduated from the English School in Nicosia. After completing his mandatory military service at the Cyprus National Guard, Loucas left for the University of California, Berkeley, where he obtained a BSc in Electrical Engineering and Computer Science. While at Berkeley, he had the opportunity to work for the Bosch Research Center in Palo Alto, where he developed a strong interest in computer-human interface.

In an unexpected turn of events, an opportunity to work for Bloomberg LP in London came up, after he completed his studies. Despite the fact that financial software was a sharp change of direction from where Loucas was heading at the time, he moved to London and seized the opportunity. He quickly grew to enjoy this new field and consequently enrolled in an MSc program in Financial Mathematics at King's College, London while still working full time, completing this degree in 2011.

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