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Top training materials in quantitative finance

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quantfinance's Introduction

Self-taught training materials in quantitative finance

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Published under the Creative Commons Attribution-NonCommercial 4.0 International (CC BY-NC 4.0) license. See LICENSE.md for details.

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Sponsored by Tibra Global Services, https://tibra.com

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quantfinance's Issues

Bayes Equation error

Module 1.5.1

The Bayes equation with X, D and H is incorrect and needs to be fixed.

Variables s and k in 1.3.3

In 1.3.3, the variables s and k are used but don't seem to have been defined.

AIC Equation mistake

Module 1.3.3 towards the end:
The "s"s in the AIC equation should both be "2"

pandas.read_hdf issue with latest anaconda version

Hello!

In module 1.1.3, the pandas read_hdf function is used to read AAPL stock price data from a h5 file. Unfortunately, pandas v1.0.0 or higher does not support reading older h5 files such as the one included (according to https://github.com/pandas-dev/pandas/issues/33186). Anaconda seems to be the python distribution recommended in module 1.1.1, but the latest version of anaconda includes a version of pandas incompatible with the given h5 file. The easiest way to get around this for me was to simply install an older version of anaconda (2019.3), which comes with pandas 0.24.2, but it might be worth mentioning as this could be tricky for users to figure out.

Beta equation error in solutions/capm.py ?

beta is calculated as:
beta = stock_cov / market_variance
where: stock_cov = market.corr(coca)

But it should be: stock_cov = market.cov(coca)

Smooting in 1.2.3

In 1.2.3, I got the same autocorrelation even after smoothing, which was not what the text seemed to indicate would happen.

Issues with solutions files

The file solutions/check_normalized.py , referenced in module 1.5.2, doesn't seem to exist. There are some other issues with solutions as well. The solutions for the first exercise of 1.5.1 and the extended exercise of 1.6.4 didn't work for me. Also, some of the solutions files have queries as if they are early drafts still being written. It would be good to check that every solution file exists, is complete, and works with Python 3.

Solutions don't match in Covariance module 1.2.1

In the first exercise of module 1.2.1 is asking for a uniform distribution but the solution contains a normal distribution, which also should say: 'distribution = stats.norm(0, 1)', as 'distribution = stats.normal(0, 1)' generates an error.
In the second set of exercises asks for correlations, but the subject is about covariance. The referenced solution file "solutions/correlations.py" does not contain the solutions for this exercise.