| import pandas as pd | |
| import numpy as np | |
| import datetime as dt | |
| import pandas_datareader as pdr | |
| from datetime import datetime | |
| def convert_simFin2(path): | |
| df = pd.read_csv(path, sep=';') | |
| stocks = df.pivot(index="Date", columns="Ticker", values="Adj. Close") | |
| return stocks | |
| def log_of_returns2(stocks): | |
| log_returns = np.log(stocks/stocks.shift()) | |
| return log_returns | |
| # Code to Calculate and output Betas | |
| # Read in Stock csv data and convert to have each Ticker as a column. | |
| #df = pd.read_csv('D:/SimFinData/us-shareprices-daily.csv', sep=';') | |
| #stocks = df.pivot(index="Date", columns="Ticker", values="Adj. Close") | |
| #stocks | |
| #start = min(df['Date']) | |
| #end = max(df['Date']) | |
| #logRet = np.log(stocks/stocks.shift()) | |
| #SP500 = pdr.get_data_yahoo("^GSPC", start) | |
| #IXIC = pdr.get_data_yahoo("^IXIC", start) | |
| #AOK = pdr.get_data_yahoo("AOK", start) | |
| #SP500['SP500'] = SP500['Adj Close'] | |
| #IXIC['IXIC'] = IXIC['Adj Close'] | |
| #AOK['AOK'] = AOK['Adj Close'] | |
| #spAC = np.log(SP500['SP500']/SP500['SP500'].shift()) | |
| #spAC = spAC.loc[spAC.index <= end] | |
| #ixicAC = np.log(IXIC['IXIC']/IXIC['IXIC'].shift()) | |
| #ixicAC = ixicAC.loc[ixicAC.index <= end] | |
| #aokAC = np.log(AOK['AOK']/AOK['AOK'].shift()) | |
| #aokAC = aokAC.loc[aokAC.index <= end] | |
| #sp500B = logRet.join(spAC) | |
| #ixicB = logRet.join(ixicAC) | |
| #aokB = logRet.join(aokAC) | |
| #sp5Cov = sp500B.cov() | |
| #ixicCov = ixicB.cov() | |
| #aokCov = aokB.cov() | |
| #sp500Var = sp500B['SP500'].var() | |
| #ixicVar = ixicB['IXIC'].var() | |
| #aokVar = aokB['AOK'].var() | |
| #sp500Beta = sp5Cov.loc['SP500']/sp500Var | |
| #ixicBeta = ixicCov.loc['IXIC']/ixicVar | |
| #aokBeta = aokCov.loc['AOK']/aokVar | |
| #betas = pd.concat([sp500Beta,ixicBeta,aokBeta], axis=1) | |
| #betas['Ticker'] = betas.index | |
| #betas = betas[['Ticker','SP500','IXIC','AOK']] | |
| #betas.to_csv (r'betas.csv', index = None, header=True) | |