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License: Other
Top training materials in quantitative finance
License: Other
In 1.3.3, the variables s and k are used but don't seem to have been defined.
Module 1.3.3 towards the end:
The "s"s in the AIC equation should both be "2"
beta is calculated as:
beta = stock_cov / market_variance
where: stock_cov = market.corr(coca)
But it should be: stock_cov = market.cov(coca)
The file solutions/check_normalized.py , referenced in module 1.5.2, doesn't seem to exist. There are some other issues with solutions as well. The solutions for the first exercise of 1.5.1 and the extended exercise of 1.6.4 didn't work for me. Also, some of the solutions files have queries as if they are early drafts still being written. It would be good to check that every solution file exists, is complete, and works with Python 3.
Hello!
In module 1.1.3, the pandas read_hdf function is used to read AAPL stock price data from a h5 file. Unfortunately, pandas v1.0.0 or higher does not support reading older h5 files such as the one included (according to https://github.com/pandas-dev/pandas/issues/33186). Anaconda seems to be the python distribution recommended in module 1.1.1, but the latest version of anaconda includes a version of pandas incompatible with the given h5 file. The easiest way to get around this for me was to simply install an older version of anaconda (2019.3), which comes with pandas 0.24.2, but it might be worth mentioning as this could be tricky for users to figure out.
In 1.2.3, I got the same autocorrelation even after smoothing, which was not what the text seemed to indicate would happen.
In the first exercise of module 1.2.1 is asking for a uniform distribution but the solution contains a normal distribution, which also should say: 'distribution = stats.norm(0, 1)', as 'distribution = stats.normal(0, 1)' generates an error.
In the second set of exercises asks for correlations, but the subject is about covariance. The referenced solution file "solutions/correlations.py" does not contain the solutions for this exercise.
Module 1.5.1
The Bayes equation with X, D and H is incorrect and needs to be fixed.
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