TDC2016SP - Finanças Quantitativas com Python
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Transcript of TDC2016SP - Finanças Quantitativas com Python
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Finanças Quantitativas com
Python
Wilson FreitasTDC 2016
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● Físico● Padeiro● Corredor● Trabalha no mercado financeiro como Quant
Sobre mim
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Finanças Quantitativas ?!?
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In physics it takes 3 laws to explain 99% of the data
In finance it takes more than 99 equations to explain about 3%
Emanuel Derman
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PyMC
xlwings
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Acesso a Dados
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● Python possui 20+ bibliotecas para acesso a dados (awesome-quant)
● Bloomberg tem uma API em Python para acesso sua infraestrutura○ API é liberada, mas precisa assinar a Bloomberg $$$$
● Quandl tem o melhor serviço de acesso a dados públicos (IMHO)○ Tem dados do Banco Central do Brasil (BCB)
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Plataformas
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The Python QuantsPlataforma para modelagem de finanças quantitativas:
● Estratégias de Trading● Gestão de Risco● Modelagem e Análise de Dados
Financeiros
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QuantopianPlataforma para desenvolvimento de algoritmos e estratégias de trading:
● zipline - Pythonic algorithmic trading library
● pyfolio - Portfolio and Risk analytics in Python
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Integração com Excel
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http://www.desentupidoradenoticias.com.br/2015/03/6-alimentos-que-fazem-emagrecer-de.html
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0%É o quanto se faz sem integrar com Excel
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Não, *Office não são opções
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Python tem diversas opçõesopenpyxl - Read/Write Excel 2007 xlsx/xlsm files
xlrd - Extract data from Excel spreadsheets (.xls and .xlsx, versions 2.0 onwards) on any platform
xlsxwriter - Write files in the Excel 2007+ XLSX file format
xlwt - Generate spreadsheet files that are compatible with Excel 97/2000/XP/2003, OpenOffice.org Calc, and Gnumeric.
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Tem maisDataNitro - DataNitro also offers full-featured Python-Excel integration.
ExcelPython - ExcelPython is a free, open-source library.
ExPy - ExPy is freely available demonstration software that is simple to install. Once installed, Excel users have access to built-in Excel functions that wrap Python code. Documentation and examples are provided at the site.
PyXLL - PyXLL is a widely used tool (free for personal or educational use) that implements UDFs written in Python as add-in functions for Excel.
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