Python for Finance

Sources of Data
3. Manually download monthly and daily price data for CitiGroup.
4. Convert daily price data for the CitiGroup to daily returns.
5. Convert monthly prices to monthly returns and convert daily returns to
monthly returns. Are they the same?
6. Are the following two lines equivalent?
>>>ret = p.aclose[1:]/p.aclose[:-1]-1
>>>ret = (p.aclose[1:]-p.aclose[:-1]/p.aclose[1:]
7. What are advantages and disadvantages of using public stock data versus
private stock data, for example, from some financial databases?
8. Find the annual cost of subscribing Compustat, related to accounting
information and CRSP, related to trading data.
9. Download IBM monthly data from Yahoo Finance. Estimate its standard
deviation and Sharpe ratio from January 2000 to December 2004.
10. What is the annual beta for IBM, DELL, and MSFT from 2001 to 2010?
11. What is the correlation between IBM and DELL from 2006 to 2010?
12. Estimate the mean weekday returns for IBM. Do you observe a
weekday effect?
13. Does the volatility decline over the years? For example, you could select IBM,
DELL, and MSFT to investigate this hypothesis.
14. What is the correlation between S&P500 and DJI (Dow Jones Industrial
average)?Note: S&P500 Index ticker in Yahoo Finance is ^GSPC and for
DJIit's^DJI.
15. How do you download data for n given tickers?
16. Write an R program to input n tickers from an input file.
17. What is the correlation coefficient between the US stock market (S&P500) and
the Hong Kong market (Hang Seng Index)?
18. Is it true that the Singaporean equity market is more strongly correlated with
the Japanese equitymarket than with the American equity market?
19. How would you download daily price data for 50 stocks and save to just one
text file?
20. After downloading data from Yahoo!Finance,assume that p vector contains
all the daily price data. What is the meaning of the following two lines of
code? When should we apply them?
>>> ret = p.aclose[1:]/p.aclose[:-1]-1
>>> ret = p.aclose[:-1]/p.aclose[1:]-1
[ 146 ]