warlomak / quant

Reproduce boris's repo w/ structured codes

BorisQunat

About

This repo aims to reproduce the repo authored by Boris Banushev

Dependencies

yfinance

This repo currently relies on yfinance which is the most recent active fin data retrieving API.

pip install yfinance --upgrade --no-cache-dir

qunadl

This repo currently relies on quandl to retrieve data such as LIBOR, a kind of interest rate.

pip install quandl

git-lfs

This repo also relies on git-lfs tracking to track *.png file extensions. It's not mandatory for you to install/use git-lfs but it's recommended.

simple reproduce

conda env create -f env.yml

Goldman Sachs NYSE

The repo uses the NYSE:GS data. Please run plots/Goldman_Sachs_stock_price.py to reroduce the following result

Techinical Indicator

Please run plots/Techinical_indicators_for_Goldman_Sachs_last_400_days.py to reproduce the result

Simple Import of BERT

The repo uses MXNet/Gluon API to leverage BERT which is available after installation using following command

pip install --upgrade mxnet>=1.4.1
pip install gluonnlp

Fourier Transforms

Please run plots/Goldman_Sachs_(close)_stock_prices_&_Fourier_Transforms.py to reproduce the result

Components of Fourier Transforms

Please run plots/Components_of_Fourier_transforms.py to reproduce the result

ARIMA as a Feature

Please run plots/ARIMA_as_a_feature.pyto reproduce the result_1 and result_2

                             ARIMA Model Results                              
==============================================================================
Dep. Variable:                D.price   No. Observations:                 2402
Model:                 ARIMA(5, 1, 0)   Log Likelihood               -5675.514
Method:                       css-mle   S.D. of innovations              2.570
Date:                Sun, 21 Jul 2019   AIC                          11365.027
Time:                        10:45:03   BIC                          11405.516
Sample:                             1   HQIC                         11379.756
                                                                              
=================================================================================
                    coef    std err          z      P>|z|      [0.025      0.975]
---------------------------------------------------------------------------------
const             0.0269      0.050      0.537      0.591      -0.071       0.125
ar.L1.D.price    -0.0171      0.020     -0.839      0.401      -0.057       0.023
ar.L2.D.price     0.0145      0.020      0.711      0.477      -0.025       0.054
ar.L3.D.price     0.0019      0.020      0.092      0.927      -0.038       0.042
ar.L4.D.price    -0.0005      0.020     -0.024      0.981      -0.040       0.040
ar.L5.D.price    -0.0454      0.020     -2.225      0.026      -0.085      -0.005
                                    Roots                                    
=============================================================================
                  Real          Imaginary           Modulus         Frequency
-----------------------------------------------------------------------------
AR.1           -1.8320           -0.0000j            1.8320           -0.5000
AR.2           -0.6016           -1.7650j            1.8647           -0.3023
AR.3           -0.6016           +1.7650j            1.8647            0.3023
AR.4            1.5123           -1.0819j            1.8594           -0.0988
AR.5            1.5123           +1.0819j            1.8594            0.0988