Networks meet Finance in Python - July 27 2014
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1 - DAX30.ipynb
2 - DAX30 Correlations.ipynb
3 - DAX30 Network.ipynb
4 - DAX30 Baskets.ipynb
Bank Exposures.ipynb


Networks meet Finance in Python - July 27 2014

This the repository of the talk of the same name.

The talk was supported by some IPython notebooks which you are welcome to try out. To get a feeling of what is in there, you can take a look at the static version. For running the widgets and playing with the data, you'll need an IPython server running, though.

Bank Exposures

#1 DAX30 - getting and cleansing data

#2 DAX30 - historical analysis of correlation matrices

#3 DAX30 - constructing a network from correlation matrices

#4 DAX30 - construct asset baskets from network centrality


I am using anaconda as a distribution and following packages

  • ipython 2.1

  • pandas 0.14.1

  • numpy

  • pytables 3.1.

  • scikit-learn

  • matplotlib

  • seaborn

  • bokeh 0.5.1

  • networkx

  • planarity (installed through pip, if you have problems installing it on Mac OS take a look at my fork)


The main inspiration for this talk is from blog posts

and following papers:

  1. for the main results
Spread of risk across financial markets: better to invest in the peripheries  
F. Pozzi, T. Di Matteo and  T. Aste  
2013, Nature Scientific Reports 3, Article number: 1665 doi:10.1038/srep01665
  1. for looking into historical market correlations
Quantifying the Behavior of Stock Correlations Under Market Stress  
 Tobias Preis, Dror Y. Kenett, H. Eugene Stanley,	Dirk Helbing & Eshel Ben-Jacob  
 2012 Scientific Reports 2, Article number: 752 doi:10.1038/srep00752

Temporal Evolution of Financial Market Correlations  
Daniel J. Fenn, Mason A. Porter, Stacy Williams, Mark McDonald, Neil F. Johnson, Nick S. Jones
  1. for considering exposure networks
Early-warning signals of topological collapse in interbank networks  
Tiziano Squartini, Iman van Lelyveld & Diego Garlaschelli  
2013 Scientific Reports 3, Article number:  3357    doi:10.1038/srep03357

You might wish to have a look at Yves Hilpisch's talk and slides, as goes through some of the financial concepts I mention.