/PythonFinance

basic Python Finance Package

Primary LanguagePython

PythonFinance

basic Finance Utilities for Python

Requirements

  1. Python >= 3
  2. numpy
  3. scipy
  4. pandas

Features

  1. Data Manager
    • Automatic download data from Yahoo! Finance
    • Get only interested information: dates and fields (Adj Close, Volume, ...)
    • Serialization (pickle) of data with custom names
  2. Calculator Utils
    • Present Value, Future Value
    • Rates (Annual Rate)
    • Efective Annual Return
    • Number of Periods
    • Total return
    • Daily returns
    • Sharpe ratio
  3. Date Utils: to handle open NYSE Dates
    • open dates between two dates + back and forward windows
    • add and substract dates
  4. Market Simulator: Simulates a list of orders
    • Automatically download necessary data
    • Can load the trades from a CSV file
    • Can use custom list of orders (usually from the EventFinder)

Event Study

  1. PastEvent: Analysis of an specific event:

    • Allows specific event window and estimation period
    • Expected Returns
    • Abnormal Returns
    • Cumulative Abnormal Returns

  2. EventFinder: Find events on data

  3. MultipleEvent: Analysis of a list of events

    • Allows specific event window and estimation period
    • Expected Returns
    • Abnormal Returns
    • Cumulative Abnormal Returns
    • Plot with error bars

How to use it

Set the envvars: FINANCEPATH to where you want the data to live. ALPHAVANTAGEKEY to the Alpha Vantage API Key.