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

iPython notebook examples

1. Future value, Present value, Rates return
2. EventFinder + Market Simulator

More examples as .py files on the examples folder. Also note that the most most updated examples are the test of each module which I try to keep very undestandable and documented as well as the main code.

For more information (but possible un-updated) can see my blog: ctrl68.wordpress.com