Bài 2 – Phân tích và Quản lý đầu tư nâng cao

Cơ sở lập trình Python trong phân tích

đầu tư

TS. Đỗ Như Tài

Đại Học Kinh Tế TP.HCM
[email protected]
 NỘI DUNG

Why Python is huge in Finance? 1

Python Programming 2
Foundations of Investment Analysis in Python 3
 3

Why Python is huge in

Finance?
 Finance is …

Asset
Banking Insurance
Management

https://www.youtube.com/watch?v=kBwOy-6CtAQ
 5

Finance is Big larg part of economy impacts your life

S&P 500 - a stock market index tracking the stock performance of 500 of the largest companies listed
on stock exchanges in the United States
 6

Why should I care about finance?

In 2004-2014, it accounted
• Lost of interesting jobs for 12.5% of all employment
income and 26.1% of all
corporare profits

• B2B customers
Worldwide spending on
information technology (IT) by
financial services, $440 billion
• Your personal finances in 2018. And growing…
 7

Areas where Python is used

 8

Trading Systems
Finance Information System
• Front Arena
• Huge & complex – multi
• Python embedded since 1999
million line, PhD Math
• Used for business logic and
customization
• Expensive, $2000 • Courses to certify 1000+ in
USD/user & month range Python based development

• Need to be customized
 9

Hedge Funds / Quants

Advanced trading strategies

Workflow
• Generate ideas
• Evaluate
• Execute

Very, very data heavy

 10

Ways to be fast
 11

You can try out the quant life

Crowd sourced algo trading

Both Python powered

 12

Open Bank
We use Python to quickly develop new
Machine Learning models that power our
data-driven products
• Optimize for fast experimentation and
model development, Python enables
very fast iteration cycles
• Offer most support for ML purposes
• Enable our data scientists to build
complex model while providing a low
entry barrier
• Share code between training and
serving ML models in production.
 13

Startups
We need to…
All your Investments,
Connect and glue data
Savings and Pensions Python + Requestes +
in one app ‘batteries’

Manage complex data model

PostgreSQL + Django

Server APIs
Django + Channels / Sanic

Fast Risk Calculations

Numpy + Pandas
Celery
 Python is …
• Fast to learn
• Designed to be easy to read and learn
• Early competition was, C++/Java/VB & Perl
• Now, great education resources. It is ok to expect people to ‘pick it up’

• Batteries & Glue

• Easy to just get tings done
• Perfect Glue language (Banks need a lot of glue…)

• Native libs / embedding

• C++ traditionaly used for speed sensitive code: dead simple to drop into
Python, Speed behind Numpy etc.
• Embed Python in other applications: Like VBA for your C++ monolith
enterprise application
• Now: Cython, Numba
 15

The Quant Finance PyData Stack

Source: http://nbviewer.jupyter.org/format/slides/github/quantopian/pyfolio/blob/master/pyfolio/examples/overview_slides.ipynb#/5
 16

Yves Hilpisch (2020), Artificial Intelligence in Finance: A Python-Based Guide, O’Reilly

Source: https://github.com/yhilpisch/aiif

https://github.com/yhilpisch/aiif
 17

Yves Hilpisch (2020), Artificial Intelligence in Finance: A Python-Based Guide, O’Reilly

Source: https://github.com/yhilpisch/aiif/tree/main/code

https://github.com/yhilpisch/aiif/tree/main/code
 18

Python in Google Colab

 19

Python in Google Colab

 20

Python in Google Colab

 21

Python in Google Colab

 22

Python in Google Colab

 23

Python in Google Colab

 24

Python in Google Colab

 25

Python in Google Colab

 26

Python in Google Colab

 27

Python in Google Colab

 28

Python in Google Colab

 29

Python in Google Colab

 30

Python in Google Colab

 31

Python in Google Colab

 32

Python in Google Colab

 33

Python in Google Colab

33
 34

Python in Google Colab

34
 35

Python in Google Colab

 36

Python Programming
 37

Top Programming Languages

https://spectrum.ieee.org/the-top-programming-languages-2023
 38

Python is an
interpreted,
object-oriented,
high-level
programming language
with
dynamic semantics.
Source: https://www.python.org/doc/essays/blurb/
 39

Python Ecosystem for Data Science

Source: https://medium.com/pyfinance/why-python-is-best-choice-for-financial-data-modeling-in-2019-c0d0d1858c45
 40

Python Ecosystem for Data Science

Source:https://duchesnay.github.io/pystatsml/introduction/python_ecosystem.html
 41

The Quant Finance PyData Stack

Source: http://nbviewer.jupyter.org/format/slides/github/quantopian/pyfolio/blob/master/pyfolio/examples/overview_slides.ipynb#/5
 42

Numpy
NumPy
Base
N-dimensional array
package
 43

Python
matplotlib

Source: https://matplotlib.org/
 44

Python
Pandas

http://pandas.pydata.org/
 45

W3Schools Python

https://www.w3schools.com/python/
 46

W3Schools Python

https://www.w3schools.com/python/
 47

W3Schools Python

https://www.w3schools.com/python/
 48

W3Schools Python: Try Python

https://www.w3schools.com/python/trypython.asp?filename=demo_default
 49

LearnPython.org

https://www.learnpython.org/
 50

Google’s Python Class

https://developers.google.com/edu/python
 51

Google Colab

https://colab.research.google.com/notebooks/welcome.ipynb
 52

Connect Google Colab in Google Drive

 53

Google Colab
 54

Google Colab
 55

Connect Colaboratory to Google Drive

 56

Google Colab
 57

Google Colab
 58

Google Colab
 59

Run Jupyter Notebook

Python3 GPU
Google Colab
 60

Google Colab Python Hello World

print('Hello World')
 61

Python in Google Colab

 62

Python
Programming
 63

Python Hello World

print("Hello World")

print("Hello World")

63
 64

Python Syntax

# comment

# comment

64
 65

Python Syntax

Indentation
the spaces at the beginning of a code line
4 spaces

score = 80
if score >=60 :
print("Pass")

65
 66

Python Variables

# Python Variables
x = 2
price = 2.5
word = 'Hello'

word = 'Hello'
word = "Hello"
word = '''Hello'''
 67

Python Variables

x = 2
y = x + 1

67
 68

python_version()

# comment
from platform import python_version
print("Python Version:", python_version())

Python Version: 3.10.12

 69

Python Data Types

x = "Hello World" #str

x = 2 #int
x = 2.5 #float
x = 7j #complex

69
 70

Python Data Types

x = ["apple", "banana", "cherry"] #list

x = ("apple", "banana", "cherry") #tuple
x = range(6) #range
x = {"name" : "Tom", "age" : 20} #dict
x = {"apple", "banana", "cherry"} #set
x =
frozenset({"apple", "banana", "cherry"})
#frozenset

70
 71

Python Data Types

x = True #bool
x = b"Hello" #bytes
x = bytearray(5) #bytearray
x = memoryview(bytes(5)) #memoryview
x = None #NoneType

71
 72

Python Casting

x = str(3) # x will be '3'

y = int(3) # y will be 3
z = float(3) # z will be 3.0
print(x, type(x))
print(y, type(y))
print(z, type(z))
3 <class 'str’>
3 <class 'int’>
3.0 <class 'float'>

72
 73

Python Numbers

x = 2 # int
y = 3.4 # float
z = 7j #complex
print(x, type(x))
print(y, type(y))
print(z, type(z))
2 <class 'int’>
3.4 <class 'float’>
7j <class 'complex'>

73
 74

Python Arithmetic Operators

Operator Name Example

+ Addition 7 + 2 = 9
- Subtraction 7 - 2 = 5
* Multiplication 7 * 2 = 14
/ Division 7 / 2 = 3.5
// Floor division 7 // 2 = 3 (Quotient)
% Modulus 7 % 2 = 1 (Remainder)
** Exponentiation 7 ** 2 = 49

74
 75

Python Basic Operators

print('7 + 2 =', 7 + 2) 7 + 2 = 9
print('7 - 2 =', 7 - 2) 7 - 2 = 5
print('7 * 2 =', 7 * 2) 7 * 2 = 14
print('7 / 2 =', 7 / 2) 7 / 2 = 3.5
print('7 // 2 =', 7 // 2) 7 // 2 = 3
print('7 % 2 =', 7 % 2) 7 % 2 = 1
print('7 ** 2 =', 7 ** 2) 7 ** 2 = 49

75
 76

Python Booleans: True or False

# Python Booleans: True or False

print(3 > 2)
print(3 == 2)
print(3 < 2)

76
 77

Python BMI Calculator

# BMI Calculator in Python

height_cm = 170
weight_kg = 60
height_m = height_cm/100
BMI = (weight_kg/(height_m**2))

print("Your BMI is: " + str(round(BMI,1)))

Your BMI is: 20.8

77
 78

Future value
of a specified
principal amount,
rate of interest, and
a number of years
Source: https://www.w3resource.com/python-exercises/python-basic-exercise-39.php
 79

How much is your $100 worth after 7 years?

# How much is your $100 worth after 7 years?

fv = 100 * 1.1 ** 7
print('fv = ', round(fv, 2))
# output = 194.87

fv = 194.87

79
 80

Future Value

# Future Value
pv = 100
r = 0.1
n = 7
fv = pv * ((1 + (r)) ** n)
print(round(fv, 2))

194.87

80
 81

Future Value

# Future Value
amount = 100
interest = 10 #10% = 0.01 * 10
years = 7

future_value = amount * ((1 + (0.01 * interest)) ** years)

print(round(future_value, 2))
194.87

81
 82

Summary
• Python Syntax
• Python Comments
• Python Variables
• Python Data Types
• Python Numbers
• Python Casting
• Python Strings
• Python Operators
• Python Booleans
 83

Python
Data Structures
 84

Python Data Types

x = ["apple", "banana", "cherry"] #list

x = ("apple", "banana", "cherry") #tuple
x = {"name" : "Tom", "age" : 20} #dict
x = {"apple", "banana", "cherry"} #set

84
 85

Python Collections
• There are four collection data types in the Python programming
language
• List []
• a collection which is ordered and changeable. Allows duplicate
members.
• Tuple ()
• a collection which is ordered and unchangeable. Allows duplicate
members.
• Set {}
• a collection which is unordered, unchangeable, and unindexed. No
duplicate members.
• Dictionary {k:v}
• a collection which is ordered and changeable. No duplicate
members.

85
 86

Python Dictionaries {k:v}

• As of Python version 3.7, dictionaries are ordered.
• In Python 3.6 and earlier, dictionaries are unordered.
 87

Lists []

x = [60, 70, 80, 90]

print(len(x)) 4
print(x[0]) 60
print(x[1]) 70
print(x[-1]) 90
 88

Lists []
• len(): how many items
• type(): data type
• list() constructor: creating a new list
 89

Python List Methods

• Method Description
• append() Adds an element at the end of the list
• clear() Removes all the elements from the list
• copy() Returns a copy of the list
• count() Returns the number of elements with the specified value
• extend() Add the elements of a list (or any iterable), to the end of the
current list
• index() Returns the index of the first element with the specified value
• insert() Adds an element at the specified position
• pop() Removes the element at the specified position
• remove() Removes the item with the specified value
• reverse() Reverses the order of the list
• sort() Sorts the list
https://www.w3schools.com/python/python_lists_methods.asp
 90

Tuples ()

A tuple in Python is a collection that cannot be modified.

A tuple is defined using parenthesis.
x = (10, 20, 30, 40, 50)
print(x[0]) 10
print(x[1]) 20
print(x[2]) 30
print(x[-1]) 50

Source: http://pythonprogramminglanguage.com/tuples/
 91

Sets {}

animals = {'cat', 'dog'}

print('cat' in animals) True
print('fish' in animals) False
animals.add('fish')
print('fish' in animals) True
print(len(animals)) 3
animals.add('cat’)
print(len(animals)) 3
animals.remove('cat')
print(len(animals)) 2
Source: http://cs231n.github.io/python-numpy-tutorial/
 92

Dictionary {key : value}

Python Dictionary
Key  Value
'EN’  'English’
'FR’  'French'

k = { 'EN':'English', 'FR':'French' }
print(k['EN'])
English

Source: http://pythonprogramminglanguage.com/dictionary/
 93

Python Data Structures

fruits = ["apple", "banana", "cherry"] #lists []

colors = ("red", "green", "blue") #tuples ()
animals = {'cat', 'dog'} #sets {}
person = {"name" : "Tom", "age" : 20} #dictionaries {}
 94

Python for Finance Applications

# Python Lists
expenses = [72.50, 80.75, 50.00, 90.25]
total_expenses = sum(expenses)
print("Total expenses:", total_expenses)
Total expenses: 293.5
 95

Python for Finance Applications

# Python Tuples
accounts = (("Cash", 1001), ("Accounts Receivable", 1002),
("Inventory", 1003))
for account in accounts:
print("Account name:", account[0], "Account number:", account[1])

Account name: Cash Account number: 1001

Account name: Accounts Receivable Account number: 1002
Account name: Inventory Account number: 1003
 96

Python for Finance Applications

# Python Sets
account_numbers = {1001, 1002, 1003}
new_account_number = 1004
if new_account_number not in account_numbers:
print("Account number", new_account_number, "is not in use.")

Account number 1004 is not in use.

 97

Python for Finance Applications

# Python Dictionaries
accounts = {"1001": {"name": "Cash", "balance": 500.00, "type": "Asset"},
"1002": {"name": "Accounts Receivable", "balance": 1000.00, "type": "Asset"},
"2001": {"name": "Accounts Payable", "balance": 750.00, "type": "Liability"}}
for account_number, account_info in accounts.items():
print("Account number:", account_number)
print("Account name:", account_info["name"])
print("Account balance:", account_info["balance"])
print("Account type:", account_info["type"])
Account number: 1001
Account name: Cash Account number: 2001
Account balance: 500.0
Account type: Asset Account name: Accounts Payable
Account
Account
number: 1002
name: Accounts Receivable
Account balance: 750.0
Account
Account
balance: 1000.0
type: Asset
Account type: Liability
 98

Summary
• Python Data Structures
• Python Lists []

• Python Tuples ()

• Python Sets {}

• Python Dictionaries {k:v}

 99

Python
Control Logic
and
Loops
 100

Python Control Logic and Loops

• Python if else
• if elif else
• Booleans: True, False
• Operators: ==, !=, >, <, >=, <=, and, or, not
• Python for Loops
• for
• Python while Loops
• While
• break
• continue
 101

Python if...else
• Python if...else
• if elif else
• Booleans: True, False
• Operators: ==, !=, >, <, >=, <=, and, or, not
 102

Python Conditions and If statements

• Python supports the usual logical conditions from mathematics:
• Equals: a == b
• Not Equals: a != b
• Less than: a < b
• Less than or equal to: a <= b
• Greater than: a > b
• Greater than or equal to: a >= b
 103

Python Comparison Operators

Operator Name Example
== Equal x == y
!= Not equal x != y
> Greater than x>y
< Less than x<y
>= Greater than or equal to x >= y
<= Less than or equal to x <= y

Source: https://www.w3schools.com/python/python_operators.asp
 104

Python Logical Operators

Operator Description Example
Returns True if both
and x < 5 and x < 10
statements are true

Returns True if one of the

or x < 5 or x < 4
statements is true

Reverse the result, returns

not not(x < 5 and x < 10)
False if the result is true

Source: https://www.w3schools.com/python/python_operators.asp
 105

Python if

# Python if
score = 80
if score >=60 :
print("Pass")
 106

Python if else

# Python if else
score = 80
if score >=60 :
print("Pass")
else:
print("Fail")
 107

Python if elif else

score = 95
if score >= 90 :
print("A")
elif score >=60 :
print("Pass")
else:
print("Fail")
 108

Python if elif else

# Python if elif else

score = 90
grade = ""
if score >=90:
grade = "A"
elif score >= 80:
grade = "B"
elif score >= 70:
grade = "C"
elif score >= 60:
grade = "D"
else:
grade = "E"
print(grade)
 109

Python for Loops

for i in range(1,6):
print(i)
1
2
3
4
5
 110

Python for loops

# for loops
for i in range(1,10):
for j in range(1,10):
print(i, ' * ' , j , ' = ', i*j)
 111

Python while Loops

• while
• break
• continue
 112

Python while loops

# while loops
age = 10
while age < 20:
print(age)
age = age + 1
 113

Summary
• Python if else
• if elif else
• Booleans: True, False
• Operators: ==, !=, >, <, >=, <=, and, or, not
• Python for Loops
• for
• Python while Loops
• while
• break
• continue
 114

Python
Functions
 115

Python Functions
• A function is a block of code which only runs when it is called.
• You can pass data, known as parameters, into a function.
• A function can return data as a result.
• Creating a Function
• In Python a function is defined using the def keyword:
 116

Python Function def

# Python Function def

# indentation for blocks. four spaces
def getfv(pv, r, n):
fv = pv * ((1 + (r)) ** n)
return fv
fv = getfv(100, 0.1, 7)
print(round(fv, 2))
194.87
 117

Future value
of a specified
principal amount,
rate of interest, and
a number of years
Source: https://www.w3resource.com/python-exercises/python-basic-exercise-39.php
 118

How much is your $100 worth after 7 years?

# How much is your $100 worth after 7 years?

fv = 100 * 1.1 ** 7
print('fv = ', round(fv, 2))
# output = 194.87
fv = 194.87
 119

Future Value

# Future Value
pv = 100
r = 0.1
n = 7
fv = pv * ((1 + (r)) ** n)
print(round(fv, 2))

194.87
 120

Future Value

# Future Value
amount = 100
interest = 10 #10% = 0.01 * 10
years = 7

future_value = amount * ((1 + (0.01 * interest)) ** years)

print(round(future_value, 2))
194.87
 121

Python Function

def getfv() define get future value function

# Python Function def

# indentation for blocks. four spaces
def getfv(pv, r, n):
fv = pv * ((1 + (r)) ** n)
return fv
fv = getfv(100, 0.1, 7)
print(round(fv, 2))
194.87
 122

Python
Classes/Objects
class MyClass:
 123

Python Classes/Objects
• Python is an object oriented programming language.
• Almost everything in Python is an object, with its properties and methods.
• A Class is like an object constructor, or a "blueprint" for creating objects.
• Create a Class:
• To create a class, use the keyword class:
 Python Classes/Objects
124

class MyClass:

# Python class
class MyClass:
x = 5

c1 = MyClass()
print(c1.x)

https://www.w3schools.com/python/python_classes.asp
 125

Python Classes/Objects

class Person:
def __init__(self, name, age):
self.name = name
self.age = age

p1 = Person("Alan", 20)

print(p1.name) Alan
print(p1.age) 20
 126

Python Classes/Objects

class Person:
def __init__(self, name, age):
self.name = name
self.age = age

def myfunc(self):
print("Hello my name is " + self.name)

p1 = Person("Alan", 20)
p1.myfunc()
 127

Python Classes/Objects

class Person:
def __init__(self, name, age):
self.name = name
self.age = age

def myfunc(self):
print("Hello my name is " + self.name)

p1 = Person("Alan", 20)
p1.myfunc() Hello my name is Alan
print(p1.name) Alan
print(p1.age) 20
 128

Python Classes and Obects

class Vehicle:
name = ""
kind = "car"
color = ""
value = 100.00
def description(self):
desc_str = "%s is a %s %s worth $%.2f." %
(self.name, self.color, self.kind, self.value)
return desc_str
 129

Python Classes and Objects

car1 = Vehicle() class Vehicle:

car1.name = "Fer" name = ""
car1.color = "red" kind = "car"
car1.kind = "convertible" color = ""
value = 100.00
car1.value = 60000.00
def description(self):
desc_str = "%s is a %s %s
car2 = Vehicle() worth $%.2f." % (self.name, self.color,
car2.name = "Jump" self.kind, self.value)
car2.color = "blue" return desc_str
car2.kind = "van"
car2.value = 10000.00

print(car1.description()) Fer is a red convertible worth $60000.00.

print(car1.name) Fer
Jump is a blue van worth $10000.00.
print(car2.description()) Jump
print(car2.name)
https://www.learnpython.org/en/Classes_and_Objects
 130

Python
Modules
 131

Python Modules
• Consider a module to be the same as a code library.
• A file containing a set of functions you want to include in your application.
• Create a Module
• To create a module just save the code you want in a file with the file extension .py:
• Use a Module
• import module
 132

Python Modules

# mymodule.py
def greeting(name):
print("Hello, " + name)

import mymodule
mymodule.greeting("Alan")
mymodule.py
def greeting(name):
print("Hello, " + name)
 133

Python File Input / Output

# Python File Input / Output

with open('myfile.txt', 'w') as file:
file.write('Hello World\nThis is Python File Input Output')

with open('myfile.txt', 'r') as file:

text = file.read()
print(text)

Hello World This is Python File Input Output

 134

Python File Input / Output

# Python File Input / Output

filename = 'mymodule.py'
with open(filename, 'w') as file:
text = '''def greeting(name):
print("Hello, " + name)
'''
file.write(text)

with open(filename, 'r') as file:

text = file.read()
print(filename)
print(text)
mymodule.py
def greeting(name):
print("Hello, " + name)
 135

Python Modules

import mymodule

# mymodule.py
def greeting(name):
print("Hello, " + name)

import mymodule
mymodule.greeting("Alan")

Hello, Alan
 136

Python main() function

#Python main() function

def main():
print("Hello World!")

if __name__ == "__main__":
main()
 137

Summary
• Python Functions
• def myfunction():
• Python Classes/Objects
• class MyClass:
• Python Modules
• mymodule.py
• import mymodule
 138

Files
and
Exception Handling
 139

Files and Exception Handling

• Python Files (File Handling)
• open()

• f = open("myfile.txt")

• Python Try Except (Exception Handling)

• try:
except:
else:
finally:
 140

File Handling
• The key function for working with files in Python is the open() function.
• The open() function takes two parameters; filename, and mode.
• There are four different methods (modes) for opening a file:
• "r" - Read - Default value. Opens a file for reading, error if the file does not exist
• "a" - Append - Opens a file for appending, creates the file if it does not exist
• "w" - Write - Opens a file for writing, creates the file if it does not exist
• "x" - Create - Creates the specified file, returns an error if the file exists
 141

Python Files (File Handling)

f = open("myfile.txt", "w")
f.write("Hello World")
f.close()

f = open("myfile.txt", "r")
text = f.read()
print(text)
f.close()
Hello World
 142

Python Files (File Handling)

# Python File Input / Output

with open('myfile.txt', 'w') as file:
file.write('Hello World')

with open('myfile.txt', 'r') as file:

text = file.read()
print(text)

Hello World
 143

Python Files

# Python File Input / Output

with open('myfile.txt', 'w') as file:
file.write('Hello World\nPython File IO')

with open('myfile.txt', 'r') as file:

text = file.read()
print(text)
Hello World
Python File IO
 144

Python Files

# Python File Input / Output

with open('myfile.txt', 'a+') as file:
file.write('\n' + 'New line')

with open('myfile.txt', 'r') as file:

text = file.read()
print(text)
Hello World
Python File IO
New line
 145

Python Files

# !ls list files

!ls

myfile.txt sample_data
 146

Python OS, IO, files, and Google Drive

import os

cwd = os.getcwd()
print(cwd)

/content
 147

os.listdir()

os.listdir(cwd)

['.config',
'myfile.txt',
'sample_data']
 148

os.path.join()

path = os.path.join(cwd, 'sample_data')

print(path)
os.listdir(path)

/content/sample_data
['README.md', 'anscombe.json',
'mnist_train_small.csv',
'mnist_test.csv',
'california_housing_train.csv',
'california_housing_test.csv']
 149

from google.colab import files

from google.colab import files

with open('io_file_myday.txt', 'w') as f:

f.write('Google Colab File Write Text some content Myday')

import time
time.sleep(1) # time sleep 1 second

files.download('io_file_myday.txt')
print('downloaded')

downloaded
 150

Python Files

from google.colab import files

uploaded = files.upload()

for fn in uploaded.keys():
print('User uploaded file "{name}"
with length {length} bytes'.format(
name=fn, length=len(uploaded[fn])))

User uploaded file "io_file_myday2.txt" with length 47 bytes

 151

os.remove()

import os
if os.path.exists("myfile.txt"):
os.remove("myfile.txt")
print("myfile.txt removed")
else:
print("The file does not exist")

myfile.txt removed
 152

os.mkdir("myfolder1")
os.rmdir("myfolder1")
import os
os.listdir()
os.mkdir("myfolder1")
os.listdir()
os.rmdir("myfolder1")
os.listdir()
 153

Python Try Except

• The try block lets you test a block of code for errors.
• The except block lets you handle the error.
• The else block lets you execute code when there is no error.
• The finally block lets you execute code, regardless of the
result of the try- and except blocks.
 154

Python Try Except (Exception Handling)

try: except:

#Python try except

try:
print(x)
except:
print("Exception Error")
 155

Python try: except: finally:

#Python try except finally

try:
print("Hello")
except:
print("Exception Error")
finally:
print("Finally process")
Hello
Finally process
 156

Python try: except: else:

#Python try except else

try:
print("Hello")
except:
print("Exception Error")
else:
print("No exception")
Hello
No exception
 157

Python try: except: else: finally:

try:
print("Hello")
except:
print("Exception Error")
else:
print("No exception")
finally:
print("Finally process")
Hello
No exception
Finally process
 158

Python try: except: else: finally:

try:
price = float(input("Enter the price of the stock (e.g. 10):"))
shares = int(input("Enter the number of shares (e.g. 2):"))
total = price * shares
except Exception as e:
print("Exception error:", str(e))
else:
print("The total value of the shares is:", total)
finally:
print("Thank you.")
Enter the price of the stock (e.g. 10):10
Enter the number of shares (e.g. 2):2
The total value of the shares is: 20.0
Thank you.
 159

Python try: except: else: finally:

try:
file = open("myfile.txt")
file.write("Python write file")
print("file saved")
except:
print("Exception file Error")

Exception file Error

 160

Python try: except: else: finally:

try:
file = open("myfile.txt")
file.write("Python write file")
print("file saved")
except:
print("Exception file Error")
finally:
file.close()
print("Finally process")
Exception file Error
Finally process
 161

Python try: except: else: finally:

try:
file = open("myfile.txt", 'w’)
file.write("Python write file")
print("file saved")
except:
print("Exception file Error")
finally:
file.close()
print("Finally process")
file saved
Finally process
 162

Summary
• Python Files (File Handling)
• open()

• f = open("myfile.txt")

• Python Try Except (Exception Handling)

• try:
except:
else:
finally:
 163

Foundations of
Investment Analysis
in Python
 Outline
164

• Numpy
•Scientific computing
• Pandas
• Data structures and data analysis
tools
 165
The Quant Finance PyData Stack

Source: http://nbviewer.jupyter.org/format/slides/github/quantopian/pyfolio/blob/master/pyfolio/examples/overview_slides.ipynb#/5
166
167
 168

Python is an
interpreted,
object-oriented,
high-level
programming language
with
dynamic semantics.
Source: https://www.python.org/doc/essays/blurb/
 169

Google Colab

https://colab.research.google.com/notebooks/welcome.ipynb
Python in Google Colab (Python101) 170

https://colab.research.google.com/drive/1FEG6DnGvwfUbeo4zJ1zTunjMqf2RkCrT

https://tinyurl.com/imtkupython101
Numpy
171

NumPy
Base
N-dimensional array
package
 Python
172

matplotlib

Source: https://matplotlib.org/
 173

Python
Pandas

http://pandas.pydata.org/
 Iris flower data set
174

setosa versicolor virginica

Source: https://en.wikipedia.org/wiki/Iris_flower_data_set
Source: http://suruchifialoke.com/2016-10-13-machine-learning-tutorial-iris-classification/
Iris Classfication
175

Source: http://suruchifialoke.com/2016-10-13-machine-learning-tutorial-iris-classification/
 176
iris.data
https://archive.ics.uci.edu/ml/machine-learning-databases/iris/iris.data
5.1,3.5,1.4,0.2,Iris-setosa setosa
4.9,3.0,1.4,0.2,Iris-setosa
4.7,3.2,1.3,0.2,Iris-setosa
4.6,3.1,1.5,0.2,Iris-setosa
5.0,3.6,1.4,0.2,Iris-setosa
5.4,3.9,1.7,0.4,Iris-setosa
4.6,3.4,1.4,0.3,Iris-setosa
5.0,3.4,1.5,0.2,Iris-setosa
4.4,2.9,1.4,0.2,Iris-setosa
4.9,3.1,1.5,0.1,Iris-setosa
5.4,3.7,1.5,0.2,Iris-setosa virginica
4.8,3.4,1.6,0.2,Iris-setosa
4.8,3.0,1.4,0.1,Iris-setosa
4.3,3.0,1.1,0.1,Iris-setosa
5.8,4.0,1.2,0.2,Iris-setosa
5.7,4.4,1.5,0.4,Iris-setosa
5.4,3.9,1.3,0.4,Iris-setosa
5.1,3.5,1.4,0.3,Iris-setosa
5.7,3.8,1.7,0.3,Iris-setosa versicolor
5.1,3.8,1.5,0.3,Iris-setosa
5.4,3.4,1.7,0.2,Iris-setosa
5.1,3.7,1.5,0.4,Iris-setosa
4.6,3.6,1.0,0.2,Iris-setosa
5.1,3.3,1.7,0.5,Iris-setosa
4.8,3.4,1.9,0.2,Iris-setosa
5.0,3.0,1.6,0.2,Iris-setosa
 177
Iris Data Visualization

Source: https://seaborn.pydata.org/generated/seaborn.pairplot.html
 178
Connect Google Colab in Google Drive
 179
Google Colab
 180
Google Colab
 181
Connect Colaboratory to Google Drive
 182
Google Colab
 183
Google Colab
 184
Google Colab
 185

Run Jupyter Notebook

Python3 GPU
Google Colab
 186

Google Colab Python Hello World

print('Hello World')
 187
Data Visualization in Google Colab
https://colab.research.google.com/drive/1KRqtEUd2Hg4dM2au9bfVQKrxWnWN3O9-

Source: https://seaborn.pydata.org/generated/seaborn.pairplot.html
import seaborn as sns 188
sns.set(style="ticks", color_codes=True)
iris = sns.load_dataset("iris")
g = sns.pairplot(iris, hue="species")

Source: https://seaborn.pydata.org/generated/seaborn.pairplot.html
 https://colab.research.google.com/drive/1KRqtEUd2Hg4dM2au9bfVQKrxWnWN3O9- 189

import numpy as np
import pandas as pd
%matplotlib inline
import matplotlib.pyplot as plt
import seaborn as sns
from pandas.plotting import scatter_matrix

# Load dataset
url = "https://archive.ics.uci.edu/ml/machine-learning-databases/iris/iris.data"
names = ['sepal-length', 'sepal-width', 'petal-length', 'petal-width', 'class']
df = pd.read_csv(url, names=names)

print(df.head(10))
print(df.tail(10))
print(df.describe())
print(df.info())
print(df.shape)
print(df.groupby('class').size())

plt.rcParams["figure.figsize"] = (10,8)
df.plot(kind='box', subplots=True, layout=(2,2), sharex=False, sharey=False)
plt.show()

df.hist()
plt.show()

scatter_matrix(df)
plt.show()

sns.pairplot(df, hue="class", size=2)

Source: https://machinelearningmastery.com/machine-learning-in-python-step-by-step/
 190
import numpy as np
import pandas as pd
%matplotlib inline
import matplotlib.pyplot as plt
import seaborn as sns
from pandas.plotting import scatter_matrix
 191

url = "https://archive.ics.uci.edu/ml/machine-learning-databases/iris/iris.data"
names = ['sepal-length', 'sepal-width', 'petal-length', 'petal-width', 'class']
df = pd.read_csv(url, names=names)
print(df.head(10))
df.tail(10)
192
df.describe()
193
 194

print(df.info())
print(df.shape)
 195

df.groupby('class').size()
 196
plt.rcParams["figure.figsize"] = (10,8)
df.plot(kind='box', subplots=True, layout=(2,2), sharex=False, sharey=False)
plt.show()
df.hist()
197

plt.show()
scatter_matrix(df)
198

plt.show()
 199
sns.pairplot(df, hue="class", size=2)
 200

Anaconda
The Most Popular
Python
Data Science Platform
Source: https://www.anaconda.com/
 201

Download Anaconda

https://www.anaconda.com/download
 202

HelloWorld
Anaconda-Navigator
203

Launchpad
Anaconda Navigator
204
Jupyter Notebook
205
Jupyter Notebook 206

New Python 3
 207

print("hello, world")
 208

from platform import python_version

print("Python Version:", python_version())
 209

Big Data Analytics

with
Numpy
in Python
Numpy
210

NumPy
Base
N-dimensional array
package
 211

NumPy
is the
fundamental package
for
scientific computing
with Python.
Source: http://www.numpy.org/
 212

NumPy
NumPy

• NumPy provides a
multidimensional array object
to store homogenous or
heterogeneous data;
it also provides
optimized functions/methods to
operate on this array object.

Source: Yves Hilpisch (2014), Python for Finance: Analyze Big Financial Data, O'Reilly
 213

NumPy

http://www.numpy.org/
 214
NumPy ndarray

One-dimensional Array
NumPy

(1-D Array)
0 1 n-1

1 2 3 4 5

Two-dimensional Array
(2-D Array)
0 1 n-1
0 1 2 3 4 5
1 6 7 8 9 10
11 12 13 14 15
m-1 16 17 18 19 20
 215

NumPy
NumPy

v = list(range(1, 6))
v
2 * v
import numpy as np
v = np.arange(1, 6)
v
2 * v

Source: Yves Hilpisch (2014), Python for Finance: Analyze Big Financial Data, O'Reilly
 216

NumPy
Base
N-dimensional
array package
 217

NumPy
NumPy Create Array
import numpy as np
a = np.array([1, 2, 3])
b = np.array([4, 5, 6])
c = a * b
c

Source: Yves Hilpisch (2014), Python for Finance: Analyze Big Financial Data, O'Reilly
 218

NumPy
NumPy

Source: http://cs231n.github.io/python-numpy-tutorial/
Numpy Quickstart Tutorial
219

https://docs.scipy.org/doc/numpy-dev/user/quickstart.html
import numpy as np
220

a = np.arange(15).reshape(3, 5)

a.shape
a.ndim
a.dtype.name

Source: https://docs.scipy.org/doc/numpy-dev/user/quickstart.html
 221

Matrix

Source: https://simple.wikipedia.org/wiki/Matrix_(mathematics)
 222

NumPy ndarray:
Multidimensional Array Object
 223
NumPy ndarray

One-dimensional Array
(1-D Array)
0 1 n-1

1 2 3 4 5

Two-dimensional Array
(2-D Array)
0 1 n-1
0 1 2 3 4 5
1 6 7 8 9 10
11 12 13 14 15
m-1 16 17 18 19 20
import numpy as np
224

a = np.array([1,2,3,4,5])
One-dimensional Array
(1-D Array)
0 1 n-1

1 2 3 4 5
 225

a = np.array([[1,2,3,4,5],[6,7,8,9,10],[11,12,13,14,15],[16,17,18,19,20]])

Two-dimensional Array
(2-D Array)
0 1 n-1
0 1 2 3 4 5
1 6 7 8 9 10
11 12 13 14 15
m-1 16 17 18 19 20
 226

import numpy as np
a = np.array([[0, 1, 2, 3],
[10, 11, 12, 13],
[20, 21, 22, 23]])
a
0 1 2 3
10 11 12 13
20 21 22 23
 227

a = np.array ([[0, 1, 2, 3], [10, 11, 12, 13], [20, 21, 22, 23]])

0 1 2 3
10 11 12 13
20 21 22 23
 228

NumPy Basics:
Arrays and Vectorized
Computation

Source: https://www.safaribooksonline.com/library/view/python-for-data/9781449323592/ch04.html
 229

NumPy Array

Source: https://www.safaribooksonline.com/library/view/python-for-data/9781449323592/ch04.html
 Numpy Array 230

Source: https://www.safaribooksonline.com/library/view/python-for-data/9781449323592/ch04.html
Wes McKinney (2017), "Python for Data Analysis: Data Wrangling with Pandas,
231
NumPy, and IPython", 2nd Edition, O'Reilly Media.

https://github.com/wesm/pydata-book
Wes McKinney (2017), "Python for Data Analysis: Data Wrangling with Pandas,
232
NumPy, and IPython", 2nd Edition, O'Reilly Media.

Source: https://github.com/wesm/pydata-book/blob/2nd-edition/ch04.ipynb
 233

Python
Pandas
 234

Python Pandas
for Finance

Source: https://mapattack.wordpress.com/2017/02/12/using-python-for-stocks-1/
 235

! pip install pandas_datareader

 236

conda install pandas-datareader

237
 238

Finance Data from Yahoo Finance

# !pip install pandas_datareader

import pandas_datareader.data as web
import datetime as dt
#Read Stock Data from Yahoo Finance
end = dt.datetime(2017, 12, 31)
start = dt.datetime(2016, 1, 1)
df = web.DataReader("AAPL", 'yahoo', start, end)
df.to_csv('AAPL.csv')
df.from_csv('AAPL.csv')
df.tail()
 239

# !pip install pandas_datareader

import pandas as pd
import pandas_datareader.data as web
import matplotlib.pyplot as plt
import seaborn as sns
import datetime as dt
%matplotlib inline

#Read Stock Data from Yahoo Finance

end = dt.datetime.now()
#start = dt.datetime(end.year-2, end.month,
end.day)
start = dt.datetime(2016, 1, 1)
df = web.DataReader("AAPL", 'yahoo', start, end)
df.to_csv('AAPL.csv')
df.from_csv('AAPL.csv')
df.tail()
 240
df['Adj Close'].plot(legend=True, figsize=(12,
8), title='AAPL’, label='Adj Close')
 241
plt.figure(figsize=(12,9))
top = plt.subplot2grid((12,9), (0, 0),
rowspan=10, colspan=9)
bottom = plt.subplot2grid((12,9), (10,0),
rowspan=2, colspan=9)
top.plot(df.index, df['Adj Close'],
color='blue') #df.index gives the dates
bottom.bar(df.index, df['Volume'])
242
 243

# set the labels

top.axes.get_xaxis().set_visible(False)
top.set_title('AAPL')
top.set_ylabel('Adj Close')
bottom.set_ylabel('Volume')

plt.figure(figsize=(12,9))
sns.distplot(df['Adj Close'].dropna(),
bins=50, color='purple')
244
 245

# simple moving averages

df['MA05'] = df['Adj Close'].rolling(5).mean()
#5 days
df['MA20'] = df['Adj
Close'].rolling(20).mean() #20 days
df['MA60'] = df['Adj
Close'].rolling(60).mean() #60 days
df2 = pd.DataFrame({'Adj Close': df['Adj
Close'],'MA05': df['MA05'],'MA20': df['MA20'],
'MA60': df['MA60']})
df2.plot(figsize=(12, 9), legend=True,
title='AAPL')
df2.to_csv('AAPL_MA.csv')
fig = plt.gcf()
fig.set_size_inches(12, 9)
fig.savefig('AAPL_plot.png', dpi=300)
plt.show()
246
 247
# !pip install pandas_datareader
import pandas as pd
import pandas_datareader.data as web
import matplotlib.pyplot as plt
import seaborn as sns
import datetime as dt
%matplotlib inline

#Read Stock Data from Yahoo Finance

end = dt.datetime.now()
#start = dt.datetime(end.year-2, end.month, end.day)
start = dt.datetime(2016, 1, 1)
df = web.DataReader("AAPL", 'yahoo', start, end)
df.to_csv('AAPL.csv')
df.from_csv('AAPL.csv')
df.tail()

df['Adj Close'].plot(legend=True, figsize=(12, 8), title='AAPL', label='Adj Close')

plt.figure(figsize=(12,9))
top = plt.subplot2grid((12,9), (0, 0), rowspan=10, colspan=9)
bottom = plt.subplot2grid((12,9), (10,0), rowspan=2, colspan=9)
top.plot(df.index, df['Adj Close'], color='blue') #df.index gives the dates
bottom.bar(df.index, df['Volume'])

# set the labels

top.axes.get_xaxis().set_visible(False)
top.set_title('AAPL')
top.set_ylabel('Adj Close')
bottom.set_ylabel('Volume')

plt.figure(figsize=(12,9))
sns.distplot(df['Adj Close'].dropna(), bins=50, color='purple')

# simple moving averages

df['MA05'] = df['Adj Close'].rolling(5).mean() #5 days
df['MA20'] = df['Adj Close'].rolling(20).mean() #20 days
df['MA60'] = df['Adj Close'].rolling(60).mean() #60 days
df2 = pd.DataFrame({'Adj Close': df['Adj Close'],'MA05': df['MA05'],'MA20': df['MA20'], 'MA60': df['MA60']})
df2.plot(figsize=(12, 9), legend=True, title='AAPL')
df2.to_csv('AAPL_MA.csv')
fig = plt.gcf()
fig.set_size_inches(12, 9)
fig.savefig('AAPL_plot.png', dpi=300)
plt.show()
248
 Finance Data from Quandl
249

# ! pip install quandl

import quandl
# quandl.ApiConfig.api_key = "YOURAPIKEY"
df = quandl.get("WIKI/AAPL", start_date="2016-01-
01", end_date="2017-12-31")
df.to_csv('AAPL.csv')
df.from_csv('AAPL.csv')
df.tail()

Source: https://www.quandl.com/tools/python
 250
The Quant Finance PyData Stack

Source: http://nbviewer.jupyter.org/format/slides/github/quantopian/pyfolio/blob/master/pyfolio/examples/overview_slides.ipynb#/5
 Summary
251

• Foundations of
AI Investment Analysis in Python
• Python
• Programming language
• Numpy
• Scientific computing
• Pandas
• Data structures and data analysis
tools
 252

References
• Wes McKinney (2017), "Python for Data Analysis: Data Wrangling with Pandas,
NumPy, and IPython", 2nd Edition, O'Reilly Media.
https://github.com/wesm/pydata-book
• Ties de Kok (2017), Learn Python for Research,
https://github.com/TiesdeKok/LearnPythonforResearch
• Avinash Jain (2017), Introduction To Python Programming, Udemy,
https://www.udemy.com/pythonforbeginnersintro/
• Python Programming, https://pythonprogramming.net/
• Python, https://www.python.org/
• Python Programming Language, http://pythonprogramminglanguage.com/
• Numpy, http://www.numpy.org/
• Pandas, http://pandas.pydata.org/
• Skikit-learn, http://scikit-learn.org/
• Data School (2015), Machine learning in Python with scikit-learn,
https://www.youtube.com/playlist?list=PL5-
da3qGB5ICeMbQuqbbCOQWcS6OYBr5A
• Jason Brownlee (2016), Your First Machine Learning Project in Python Step-By-Step,
https://machinelearningmastery.com/machine-learning-in-python-step-by-step/
 253

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