jbwhit

roarkemc

import matplotlib.pyplot as plt
from scipy import stats as scs
import statsmodels.tsa.api as smt
import statsmodels.api as sm


def tsplot(y, lags=None, figsize=(10, 8), style='bmh'):
    if not isinstance(y, pd.Series):
        y = pd.Series(y)
    with plt.style.context(style):    

josef-pkt

roarkemc

import numpy as np
import pandas as pd
import xarray as xr


def to_xarray(data: pd.DataFrame) -> xr.Dataset:
    r"""Quickly transforms a pandas DataFrame into a xarray Dataset.

    For large dataframes, much faster than the existing built-in
    "to_xarray" method.

roarkemc

add # Julia GARCH(1,1), t-GARCH(1,1) and APARCH(1,1) estimation/simulation package
# Copyright Jon Danielsson and Jia Rong Fan, June 2018
# Based on Jon Danielsson's work in Financial Risk Forecasting (FRF)

# Estimation/simulation of GARCH(1,1), t-GARCH(1,1) and APARCH(1,1) in Julia.
module FRFGarch

using Optim, Distributions

export GARCHfit, GARCHsim

jasonjkras

def ef(stocks, log_ret, m3, m4):    
    
    np.random.seed(10)
    trials = 10000
    all_weights = np.zeros((trials, len(stocks.columns)))
    
    ret_arr = np.zeros(trials)
    vol_arr = np.zeros(trials)
    coskew_arr = np.zeros(trials)
    cokurt_arr = np.zeros(trials)

jasonjkras

def cokurt(df):
    # Number of stocks
    num = len(df.columns)
    
    #First Tensor Product Matrix
    mtx1 = np.zeros(shape = (len(df), num**2))
    
    #Second Tensor Product Matrix
    mtx2 = np.zeros(shape = (len(df), num**3))
    

jasonjkras

def coskew(df):
    
    # Number of stocks
    num = len(df.columns)
    
    # Two dimionsal matrix for tensor product 
    mtx = np.zeros(shape = (len(df), num**2))
    
    v = df.values
    means = v.mean(0,keepdims=True)

josef-pkt

roarkemc

The Best of the Best Practices (BOBP) Guide for Python

A "Best of the Best Practices" (BOBP) guide to developing in Python.

In General

Values

• "Build tools for others that you want to be built for you." - Kenneth Reitz
• "Simplicity is alway better than functionality." - Pieter Hintjens