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Adriano
@rsvp
Hi, starting up a new room which will also include notifications from fecon235.
Adriano
@rsvp
Cleaning up fecon235 is so laborious: eating spaghetti and ravioli code :smile:
Adriano
@rsvp
Completed spin-off of fecon235 source code to fecon236 -- more info at https://git.io/econ -- your review and feedback would be much appreciated!
Adriano
@rsvp
We need help to produce nice documentation: MathSci/fecon236#4
Adriano
@rsvp

New notebook for fecon236 >= 10.7.1

Bootstrapping has two benefits: small-sample statistics and simulation from controlled population. We simulate alternate histories: to visualize sample price paths, and for estimating probabilities of events such as investment loss. Bootstrapping facilitates study of small-sample behaviour for which asymptotic statistical theory is unsuitable, or where closed-form mathematical analysis is intractable, for example, geovolatility which is the volatility of the geometric mean rate. Shortcut to notebook: https://git.io/bootspx
Connor Sanders
@JECSand
Hi all, thanks for the invite
Connor Sanders
@JECSand
@rsvp
I looked through the dependencies listed in pandas-datareader and the only dependency YahooFinancials relies on that pandas-datareader does not is BeautifulSoup4. I plan on releasing the full version 1.0 of YF early next week. Is this something that needs to be addressed from my end to make a possible integration between the two modules easier?
Adriano
@rsvp
@JECSand hi, sorry for the delay, been on vacation... pandas-datareader is not so keen on web scraping but maybe as a last resort if the solution is robust: best talk directly to "bashtage" over at https://github.com/pydata/pandas-datareader/issues -- check out their v0.7.0 which does not rely on Yahoo API.
Adriano
@rsvp
Noteworthy: the newest matplotlib v3.0 is only available for python3. Numpy downloads for python3 finally exceeded that for python2 in September 2018. We are ready to deprecate our 2/3 straddling bridge.
Connor Sanders
@JECSand

@rsvp
Not a problem and thank you for getting back! Actually Yahoo Financials does not rely on web-scraping anymore for technical data, I found a new Yahoo Finance API. The newest versions of my module only uses web-scraping as a backup and for fundamental data (balance sheet, income statement, cash flows, etc.). All of the pricing data for stocks, crypto's, US Treasuries, mutual funds, ETFs, commodities, etc uses this new and open Yahoo Finance API. If that API is closed for whatever reason, then my module falls back on hashing out the data-store object used in their React web-app.

I will be sure to reach out to bashtage. Thanks again!

Adriano
@rsvp

Sign that we need to add a NLP section to fecon236...

Kaggle competition: Can we use the content of news analytics to predict stock price performance?, sponsored by Two Sigma, has $100,000 prize! NLP is one of the core areas which brought success to RenTech. Keep us posted on your new developments.

Adriano
@rsvp
Elevated default risk across bond markets is indicative of a weak economy. But how can a policy maker calibrate credit spreads to assess changes in interest rates? We consider mortgage and corporate credit spreads to construct a robust Unified Credit Profile (a tutorial on MAD, Median Absolute Deviation, in rescaling non-Gaussian time-series), see https://git.io/creditprof
Adriano
@rsvp
It seems that Nasdaq take-over of Quandl has shut-off access to the freely available data: see MathSci/fecon236#7
Adriano
@rsvp

Is credit risk signaling a weak economy? Nah.

>>> cprof = fe.creditprof()
>>> fe.tail(cprof)
2018-12-04  0.706186
2018-12-05  0.685567
2018-12-06  0.806503
2018-12-07  0.805115
2018-12-10  0.732950
2018-12-11  0.509615
2018-12-12  0.366673

The Fed can start worrying when that measure zooms past +2.0. Their next presser is Dec 19, by the way, expecting a 25 bp rate hike.

armchairtrader
@armchairtrader1_twitter
Hey, are you doing a notebook on Didier Sornette's LPPL model anytime