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<h1>Financial Data Science Notebooks</h1>
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<h2> Contents </h2>
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<h1>Financial Data Science Notebooks<a class="headerlink" href="#financial-data-science-notebooks" title="Permalink to this heading">#</a></h1>
<p><em>UNDER CONSTRUCTION</em></p>
<p><strong>30+ Projects in Financial Data Science</strong>, presented as Jupyter Notebooks, using the <em>FinDS</em> Python package</p>
<section id="topics">
<h2>Topics<a class="headerlink" href="#topics" title="Permalink to this heading">#</a></h2>
<table class="table">
<thead>
<tr class="row-odd"><th class="head text-left"><p>notebook</p></th>
<th class="head text-left"><p>Financial</p></th>
<th class="head text-left"><p>Data</p></th>
<th class="head text-left"><p>Science</p></th>
</tr>
</thead>
<tbody>
<tr class="row-even"><td class="text-left"><p>stock_prices</p></td>
<td class="text-left"><p>Stock distributions, delistings</p></td>
<td class="text-left"><p>CRSP stocks</p></td>
<td class="text-left"><p>Sample selection</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>jegadeesh_titman</p></td>
<td class="text-left"><p>Overlapping portfolios; <br> Momentum</p></td>
<td class="text-left"><p>CRSP stocks</p></td>
<td class="text-left"><p>Hypothesis testing; <br> Newey-West correction</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>fama_french</p></td>
<td class="text-left"><p>Bivariate sorts; <br> Value, Size; <br> CAPM</p></td>
<td class="text-left"><p>CRSP stocks; <br> Compustat</p></td>
<td class="text-left"><p>Linear regression; <br> Quadratic programming</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>fama_macbeth</p></td>
<td class="text-left"><p>Cross-sectional Regressions; <br> Beta</p></td>
<td class="text-left"><p>Ken French data library</p></td>
<td class="text-left"><p>Feature transformations; <br> Kernel regression, LOOCV</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>weekly_reversals</p></td>
<td class="text-left"><p>Mean reversion; <br> Implementation shortfall</p></td>
<td class="text-left"><p>CRSP stocks</p></td>
<td class="text-left"><p>Structural break tests</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>quant_factors</p></td>
<td class="text-left"><p>Factor zoo; <br> Performance evaluation</p></td>
<td class="text-left"><p>CRSP stocks; <br> Compustat; IBES</p></td>
<td class="text-left"><p>Clustering for unsupervised learning</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>event_study</p></td>
<td class="text-left"><p>Event studies</p></td>
<td class="text-left"><p>S&P key developments</p></td>
<td class="text-left"><p>Multiple testing; <br> FFT</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>economic_releases</p></td>
<td class="text-left"><p>Macroeconomic analysis; <br> Unemployment</p></td>
<td class="text-left"><p>ALFRED</p></td>
<td class="text-left"><p>Economic data revisions</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>regression_diagnostics</p></td>
<td class="text-left"><p>Regression analysis; <br> Inflation</p></td>
<td class="text-left"><p>FRED</p></td>
<td class="text-left"><p>Linear regression diagnostics; <br> Residual Analysis</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>econometric_forecast</p></td>
<td class="text-left"><p>Time series analysis; <br> National Output</p></td>
<td class="text-left"><p>FRED</p></td>
<td class="text-left"><p>Stationarity, Autocorrelation</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>approximate_factors</p></td>
<td class="text-left"><p>Approximate factor models</p></td>
<td class="text-left"><p>FRED-MD</p></td>
<td class="text-left"><p>Unit Root; <br> PCA; <br> EM Algorithm</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>economic_states</p></td>
<td class="text-left"><p>State space models</p></td>
<td class="text-left"><p>FRED-MD</p></td>
<td class="text-left"><p>Gaussian Mixture; <br> HMM; <br> Kalman Filter</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>conditional_volatility</p></td>
<td class="text-left"><p>Value at risk; <br> Conditional volatility</p></td>
<td class="text-left"><p>FRED cryptos and currencies</p></td>
<td class="text-left"><p>ARCH, GARCH; <br> VaR, TVaR</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>covariance_matrix</p></td>
<td class="text-left"><p>Covariance matrix estimation; <br> Portfolio risk</p></td>
<td class="text-left"><p>Ken French data library</p></td>
<td class="text-left"><p>Shrinkage</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>term_structure</p></td>
<td class="text-left"><p>Interest rates, yield curve</p></td>
<td class="text-left"><p>FRED</p></td>
<td class="text-left"><p>Splines, PCA</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>bond_returns</p></td>
<td class="text-left"><p>Bond portfolio returns</p></td>
<td class="text-left"><p>FRED</p></td>
<td class="text-left"><p>SVD</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>option_pricing</p></td>
<td class="text-left"><p>Binomial trees; <br> the Greeks</p></td>
<td class="text-left"><p>OptionMetrics; <br> FRED</p></td>
<td class="text-left"><p>Simulations</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>market_microstructure</p></td>
<td class="text-left"><p>Liquidity costs; <br> Bid-ask spreads</p></td>
<td class="text-left"><p>TAQ tick data</p></td>
<td class="text-left"><p>Realized volatility; Variance ratio</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>event_risk</p></td>
<td class="text-left"><p>Earnings surprises</p></td>
<td class="text-left"><p>IBES; <br> FRED-QD</p></td>
<td class="text-left"><p>Poisson regression; <br> GLM’s</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>customer_ego</p></td>
<td class="text-left"><p>Principal customers</p></td>
<td class="text-left"><p>Compustat customer segments</p></td>
<td class="text-left"><p>Graph Networks</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>bea_centrality</p></td>
<td class="text-left"><p>Input-output use tables</p></td>
<td class="text-left"><p>Bureau of Economic Analysis</p></td>
<td class="text-left"><p>Graph centrality</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>industry_community</p></td>
<td class="text-left"><p>Industry sectors</p></td>
<td class="text-left"><p>Hoberg&Phillips data library</p></td>
<td class="text-left"><p>Community detection</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>link_prediction</p></td>
<td class="text-left"><p>Product markets</p></td>
<td class="text-left"><p>Hoberg&Phillips data library</p></td>
<td class="text-left"><p>Links prediction</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>spatial_regression</p></td>
<td class="text-left"><p>Earnings surprises</p></td>
<td class="text-left"><p>IBES; <br> Hoberg&Phillips data library</p></td>
<td class="text-left"><p>Spatial regression</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>fomc_topics</p></td>
<td class="text-left"><p>Fedspeak</p></td>
<td class="text-left"><p>FOMC meeting minutes</p></td>
<td class="text-left"><p>Topic modelling</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>mda_sentiment</p></td>
<td class="text-left"><p>Company filings</p></td>
<td class="text-left"><p>SEC Edgar</p></td>
<td class="text-left"><p>Sentiment analysis</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>business_description</p></td>
<td class="text-left"><p>Growth and value stocks</p></td>
<td class="text-left"><p>SEC Edgar</p></td>
<td class="text-left"><p>Part-of-speech tagging</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>classification_models</p></td>
<td class="text-left"><p>News classification</p></td>
<td class="text-left"><p>S&P key developments</p></td>
<td class="text-left"><p>Classification for supervised learning</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>regression_models</p></td>
<td class="text-left"><p>Macroeconomic forecasting</p></td>
<td class="text-left"><p>FRED-MD</p></td>
<td class="text-left"><p>Regression for supervised learning</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>deep_classifier</p></td>
<td class="text-left"><p>News classification</p></td>
<td class="text-left"><p>S&P key developments</p></td>
<td class="text-left"><p>Feedforward neural networks; <br> Word embeddings; <br> Deep averaging</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>convolutional_net</p></td>
<td class="text-left"><p>Macroeconomic forecasting</p></td>
<td class="text-left"><p>FRED-MD</p></td>
<td class="text-left"><p>Temporal convolutional networks; <br> Vector autoregression</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>recurrent_net</p></td>
<td class="text-left"><p>Macroeconomic forecasting</p></td>
<td class="text-left"><p>FRED-MD</p></td>
<td class="text-left"><p>Elman recurrent networks; <br> Kalman filter</p></td>
</tr>
<tr class="row-even"><td class="text-left"><p>fomc_language</p></td>
<td class="text-left"><p>Fedspeak</p></td>
<td class="text-left"><p>FOMC meeting minutes</p></td>
<td class="text-left"><p>Language modelling; <br> Transformers</p></td>
</tr>
<tr class="row-odd"><td class="text-left"><p>reinforcement_learning</p></td>
<td class="text-left"><p>Spending policy</p></td>
<td class="text-left"><p>Stocks, bonds, bills, and inflation</p></td>
<td class="text-left"><p>Reinforcement learning</p></td>
</tr>
</tbody>
</table>
</section>
<section id="resources">
<h2>Resources<a class="headerlink" href="#resources" title="Permalink to this heading">#</a></h2>
<ol class="arabic simple">
<li><p><a class="reference external" href="https://terence-lim.github.io/finds-notebooks/">Online Jupyter-book</a>, or <a class="reference external" href="https://terence-lim.github.io/notes/financial-data-science.pdf">download pdf</a></p></li>
<li><p><a class="reference external" href="https://terence-lim.github.io/finds/">FinDS API reference</a></p></li>
<li><p><a class="reference external" href="https://github.com/terence-lim/financial-data-science">FinDS repo</a></p></li>
<li><p><a class="reference external" href="https://github.com/terence-lim/data-science-notebooks">Jupyter notebooks repo</a></p></li>
</ol>
</section>
<section id="contact">
<h2>Contact<a class="headerlink" href="#contact" title="Permalink to this heading">#</a></h2>
<p>Github: <a class="reference external" href="https://terence-lim.github.io">https://terence-lim.github.io</a></p>
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