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
_stock_prices_&_Fourier_Transforms.png){kind=spacer}
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
