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Resources for developers using Python for scientific computing and quantitative analysis

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under Trading

The Alpaca brokerage service is very useful for algorithmic traders that comes with an API to retrieve data and execute trades in a paper or live environment. While you can also check the status and returns of your positions through the API, Alpaca has spent some time creating a frontend where users can visually check their live and paper accounts. Seeing that Alpaca is more focused on building out robust API’s for its users, the frontend is very simple and provides the bare necessities.

under Data Science

In this article the author uses Reddit sentiment data to inform trading strategies. He derives market sentiment in two ways using the wallstreetbets subreddit:

  1. Collecting comments from daily discussion submissions then running the VADER sentiment model to assess overall daily positive/negative sentiment.
  2. Collecting all submission titles per day then assessing daily bullish/bearish sentiment using keyword analysis.

under Trading

When trading in markets such as equities or currencies it is important to identify value areas to inform our trading decisions. One way to do this is by looking at the volume profile.

In this post, we explore quantitative methods for examining the distribution of volume over a period of time.

More specifically, we’ll be using Python and statistical and signal processing tools in SciPy’s suite of modules. Data plots are rendered with Plotly.

under Quant Finance

This library provides high-performance components leveraging the hardware acceleration support and automatic differentiation of TensorFlow. The library will provide TensorFlow support for foundational mathematical methods, mid-level methods, and specific pricing models. The coverage is being expanded over the next few months.

The library is structured along three tiers:

  1. Foundational methods. Core mathematical methods – optimisation, interpolation, root finders, linear algebra, random and quasi-random number generation, etc.
  2. Mid-level methods. ODE & PDE solvers, Ito process framework, Diffusion Path Generators, Copula samplers etc.
  3. Pricing methods and other quant finance specific utilities. Specific Pricing models (e.g Local Vol (LV), Stochastic Vol (SV), Stochastic Local Vol (SLV), Hull-White (HW)) and their calibration. Rate curve building, payoff descriptions and schedule generation.

We aim for the library components to be easily accessible at each level. Each layer will be accompanied by many examples which can be run independently of higher level components.

under Machine Learning

In this tutorial, you will be learning how to build powerful time-series forecasting model of your own using various kinds of deep learning algorithms such as Dense Neural Networks (DNN), Convolutional Neural Network (CNN) and Recurrent Neural Networks (RNN). Also, this course is an elaboration of the time-series forecasting tutorial by TensorFlow.

under Investing

Since its emergence in Asia late 2019, the coronavirus COVID-19 pandemic has been devastating. The virus spread to most countries causing severe respiratory infections and many human casualties. The virus also put half of the world population in lockdown which resulted in a slowdown of the world economy and a fall in stock prices.

The goal of this tutorial is to introduce the steps for collecting and analyzing stock data in the context of the coronavirus pandemic. To do this, we will use Python, Google Sheets and Google Finance.

under Machine Learning

The experience while accessing the AI platform and running machine learning (ML) training code on the platform must be smooth and easy for the researchers. Migrating any ML code from a local environment to the platform should not require any refactoring of the code at all. Infrastructure configuration overhead should be minimal. Our mission while developing PyKrylov was to abstract the ML logic from the infrastructure and Krylov core components as much as possible in order to achieve the best experience for the platform users.

under Machine Learning

Bayesian Optimization provides a principled technique based on Bayes Theorem to direct a search of a global optimization problem that is efficient and effective. It works by building a probabilistic model of the objective function, called the surrogate function, that is then searched efficiently with an acquisition function before candidate samples are chosen for evaluation on the real objective function.

under Machine Learning

TensorFlow 2 is now live! This tutorial walks you through the process of building a simple CIFAR-10 image classifier using deep learning. In this tutorial, we will:

  • Define a model
  • Set up a data pipeline
  • Train the model
  • Accelerate training speed with multiple GPUs
  • Add callbacks for monitoring progress/updating learning schedules

The code in this tutorial is available here.

under Statistics

If you think Bayes’ theorem is counter-intuitive and Bayesian statistics, which builds upon Baye’s theorem, can be very hard to understand. I am with you.

There are countless reasons why we should learn Bayesian statistics, in particular, Bayesian statistics is emerging as a powerful framework to express and understand next-generation deep neural networks.

under Data Science

Machine learning is pretty undeniably the hottest topic in data science right now. It’s also the basic concept that underpins some of the most exciting areas in technology, like self-driving cars and predictive analytics. Searches for Machine Learning on Google hit an all-time-high in April of 2019, and they interest hasn’t declined much since.

under Computer Vision

But like in most cities, finding a parking space here is always frustrating. Spots get snapped up quickly and even if you have a dedicated parking space for yourself, it’s hard for friends to drop by since they can’t find a place to park.

My solution was to point a camera out the window and use deep learning to have my computer text me when a new parking spot opens up.

under Machine Learning

People often complain about important subjects being covered too little in the news. One such subject is climate change. The scientific consensus is that this is an important problem, and it stands to reason that the more people are aware of it, the better our chances may be of solving it. But how can we assess how widely covered climate change is by various media outlets? We can use Python to do some text analysis!

under Neural Networks

There’s been a lot of buzz about Convolution Neural Networks (CNNs) in the past few years, especially because of how they’ve revolutionized the field of Computer Vision. In this post, we’ll build on a basic background knowledge of neural networks and explore what CNNs are, understand how they work, and build a real one from scratch (using only numpy) in Python.

When to ‘Buy the Dip’ towardsdatascience.com

under Trading

“Buy the dip” — it’s a frustratingly simple piece of advice. Like most pieces of advice, it’s easier said than done and the giver of such advice has probably not attempted to practice what they preach. It induces FOMO, which leads to the “hope trade”, when the “hope trade” goes awry you’re stuck as the “long term investor” who “really believes in the company’s mission”.

under Books

Get a comprehensive, in-depth introduction to the core Python language with this hands-on book. Based on author Mark Lutz’s popular training course, this updated fifth edition will help you quickly write efficient, high-quality code with Python. It’s an ideal way to begin, whether you’re new to programming or a professional developer versed in other languages.