The Open Quant Live Book
Preface
Description
Contribute
Working Contents
Book’s information
I The Basics
1
I/O
1.1
Importing Data
1.1.1
Text Files
1.1.2
Excel Files
1.1.3
JSON Files
1.1.4
Large Files
1.2
Data Sources
1.2.1
Alpha Vantage
1.2.2
IEX
1.2.3
Quandl
1.2.4
SEC
1.3
Conclusion
1.3.1
Further Reading
2
Stylized Facts
2.1
Introduction
2.2
Distribution of Returns
2.2.1
Fat Tails
2.2.2
Skewness
2.3
Volatility
2.3.1
Time-invariance
2.3.2
Volatility Clustering
2.3.3
Correlation with Trading Volume
2.4
Correlation
2.4.1
Time-invariance
2.4.2
Auto-correlation
II Algo Trading
III Portfolio Optimization
3
Risk Parity Portfolios
3.1
Introduction
3.2
Risk Parity Portfolio
3.3
Tangency Portfolio
3.4
Optimizing FAANG: Ray Dalio versus Markowitz
3.4.1
Single Portfolio
3.4.2
The Ray Dalio FAANG Index
3.5
Discussion and Conclusion
IV Machine Learning
V Econophysics
4
Entropy
4.1
Definition
4.2
Nonlinear Coupling
4.2.1
Simulated Systems
4.2.2
Equity-Commodities Relationship
4.3
Efficiency and Bubbles: A Case Study in the Crypto and Equity Markets
5
How to Measure Statistical Causality: A Transfer Entropy Approach with Financial Applications
5.1
A First Definition of Causality
5.2
A Probabilistic-Based Definition
5.3
Transfer Entropy and Statistical Causality
5.4
Net Information Flow
5.5
The Link Between Granger-causality and Transfer Entropy
5.6
Information Flow on Simulated Systems
5.7
Information Flow among International Stock Market Indices
5.8
Other Applications
5.8.1
Quantifying Information Flow Between Social Media and the Stock Market
5.8.2
Detecting Causal Links Between Investor Sentiment and Cryptocurrency Prices
5.9
Conclusions
6
Financial Networks
6.1
Introduction
6.2
Network Construction
6.2.1
Network Filtering: Asset Graphs
6.2.2
Network Filtering: MST
6.2.3
Network Filtering: PMFG
6.3
Applications
6.3.1
Industry Taxonomy
6.3.2
Portfolio Construction
VI Alternative Data
7
The Market, The Players and The Rules
7.1
The Market
7.2
The Data
7.3
The Buyers
7.4
Conclusion
Appendix
A
Statistical Methods
A.1
Kernel Density Estimation
B
Datasets
B.1
Log-Returns of International Stock Market Indices Prices
B.1.1
Dataset Location
B.1.2
Dataset Description
B.1.3
Data Source
B.1.4
Code
B.1.5
Dataset Scheme
B.2
Log-Returns of FAANG Prices
B.2.1
Dataset Location
B.2.2
Dataset Description
B.2.3
Data Source
B.2.4
Code
B.2.5
Dataset Scheme
References
CC-BY 4.0
See source code on Github
The Open Quant Live Book
Chapter 2
Stylized Facts
2.1
Introduction
2.2
Distribution of Returns
2.2.1
Fat Tails
2.2.2
Skewness
2.3
Volatility
2.3.1
Time-invariance
2.3.2
Volatility Clustering
2.3.3
Correlation with Trading Volume
2.4
Correlation
2.4.1
Time-invariance
2.4.2
Auto-correlation