linreg-asset-pricing-python

Live Walkthrough Repository for Linear Regression for Asset Pricing

This repository is intended to support the Manning publication of "Linear Regression for Financial Analysis with Python". It contains notebooks, powerpoints and csvs to support the learning objectives. This Live Project Walkthrough was originally conceived by Abdullah Karasan, final materials including videos and presentation developed by Jeremy Loscheider for Manning Publications.

_Contents_

Project 1: Capital Asset Pricing Model (CAPM)

CAPM_M1_getting_data.ipynb

for **Gather Financial Time Series**

CAPM_M2_preparing_data.ipynb

for **Data Preparation**

CAPM_M3_calculate_beta.ipynb

for **Fitting the CAPM Model**

CAPM_M4_SML_and_ratios.ipynb

for **Making Decisions with SML**

Project 2: Arbitrage Pricing Theory (APT)

APT_M1_call_apis.ipynb

for **Using Data Access APIs - Polygon.io **

APT_M2_build_model.ipynb

for **APT Model**

APT_M3_model_comparison.ipynb

for **Model Extended**

APT_M4_SML.ipynb

**For SML for APT and CAPM**

Data assets (to be used if online data are not available):

scen1_fred.csv

scen1_stocks.csv

scen2_fred.csv

scen2_stocks.csv