Top-rated recipes by alexander baker

Simple model to predict UK Interest Rates (Python)

2014-06-13T14:29:36-07:00

Python recipe 578891 by alexander baker .

A common model used in the financial industry for modelling the short rate (think overnight rate, but actually an infinitesimally short amount of time) is the Vasicek model. # Although it is unlikely to perfectly fit the yield curve, it has some nice properties that make it a good model to work with. The dynamics of the Vasicek model are describe below.

In this model, the parameters are constants, and the random motion is generated by the Q measure Brownian motion . An important property of the Vasicek model is that the interest rate is mean reverting to , and the tendency to revert is controlled by . Also, this process is a diffusion process, hence Markovian, which will lead to some nice closed form formulas. Finally, the future value of the interest rate is normally distributed with the distribution .

A simple KD Tree example with custom Euclidean distance ball query. (Python)

2013-01-24T10:28:24-08:00

Python recipe 578434 by alexander baker (algorithms, python).

In computer science, a k-d tree (short for k-dimensional tree) is a space-partitioning data structure for organizing points in a k-dimensional space. k-d trees are a useful data structure for several applications, such as searches involving a multidimensional search key (e.g. range searches and nearest neighbor searches). k-d trees are a special case of binary space partitioning trees.

http://en.wikipedia.org/wiki/K-d_tree

zero curve bootstrapping and forward curve generation (Python)

2012-09-10T08:07:56-07:00

Python recipe 578257 by alexander baker (finance, matplotlib, sympy).

example of a bootstrapping and forward curve generation this can be used to build a set of curves for different currencies

Script that compares various Interest Rate term structure models. (Python)

2012-09-10T08:02:34-07:00

Python recipe 578256 by alexander baker (finance, matplotlib, python).

How to build dobble as a Mixed Integer program. (Python)

2016-04-13T11:53:21-07:00

Python recipe 580641 by alexander baker (integer, interface, mixed, program).

A simple script to replicate the cards and symbols for the dobble game.

Simple way to find number of perfect square numbers in a range. (Python)

2015-03-05T15:59:30-08:00

Python recipe 579031 by alexander baker (complex, fun, interview, maths, range).

The strategy here is not to iterate through the set of possible integer values and check for is_perfect_square() each time but to translate the upper and lower values to either complex or real space of square numbers.

    # O(n) complexity
    len([x for x in range(0, 100) if x!= 0 and float(math.sqrt(x)).is_integer()])

    so if a and b positive then we count the number of integer values between upper and lower sqrt() values
    if either a or b are negative then we need to use the complex number space for the sqrt() results. In this case
    we are still counting integer values either along the imaginary or real axis, the result is then a simple sum
    if both a and b are negative we need to make sure that when walking down the same imaginary axis we dont count
    the same inteters twice, in this case we can take the min(a,b) to get max distinct set of integer values.

Simple FIFO trading model for pnl (Python)

2015-02-10T13:34:48-08:00

Python recipe 579024 by alexander baker (analysis, pnl, trading). Revision 2.

Simple approach to calculating FIFO pnl.

Monte Carlo Engine : How to find the optimised wager for next bet, following a recent loss. (Python)

2014-04-28T08:41:49-07:00

Python recipe 578869 by alexander baker (finance, optimise, python, tree).

Simple Engine to help understand how to best wager your next bet, given that you just made a loss. The engine uses the modified Powell method to optimise the weight to apply to your wager on the next position.

{'My Simple Heads And Tails Model': <BackTest.Simulation object at 0x0583D410>} participants [100] survivors [90.0%] losers [10.0%] weight [0.073858] solving for r: [ 0.07385806] simulations 100, trials 100 starting pot 1000 calling initialise {'My Simple Heads And Tails Model': <BackTest.Simulation object at 0x0583D430>} participants [100] survivors [86.0%] losers [14.0%] weight [0.072220] solving for r: [ 0.07221954] Optimization terminated successfully. Current function value: 8.000000 Iterations: 2 Function evaluations: 30 highest survivability following loss, multiply wager by 7.2949 %

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Ran 2 tests in 25.545s

Monte Carlo Engine : Simple Head Tail Model (Python)

2014-04-27T17:25:25-07:00

Python recipe 578868 by alexander baker (carlo, monte, python, strategy). Revision 2.

Wanted to implement something that shows how the simple framework can be used to investigate a basic heads and tail game. The betting strategy can be varied simply by changing the logic in the ontrail() method. This currently tests the double or quits strategy. Run it to see how many

Monte Carlo Engine : Stochastic Interest Rate Predictor (Python)

2014-04-27T16:42:29-07:00

Python recipe 578867 by alexander baker (carlo, interest, model, monte, numpy, rate). Revision 2.

This is a simple Monte Carlo Engine model, based on some ideas from the Quantopian folks. The idea is that the model and the engine are separate. I have integrated a simple example from an earlier post. The idea was to try and build some game theory simulations using simple models that were separate from the Engine.

Conway's Game of Life In Python (Python)

2013-06-13T15:33:41-07:00

Python recipe 578559 by alexander baker (game, life, numpy, of, python, windows).

Conway's Game of Life In Python

Lancos Gamma Approximation (Python)

2009-05-19T05:19:15-07:00

Python recipe 576763 by alexander baker (gamma, mathematics).

Lancos Gamme Approximation

Brownian Motion of Stock (Python)

2009-05-19T05:16:29-07:00

Python recipe 576760 by alexander baker (finance).

Brownian Motion of a Stock

simple ado example (Python)

2008-08-26T01:47:34-07:00

Python recipe 576455 by alexander baker .

simple example of how to use ado from windows with python

how to create a windows service in python (Python)

2008-08-26T01:32:47-07:00

Python recipe 576451 by alexander baker .

The following code snippet shows you have to create a windows service from a python script. The most important thing here is the username and password, if you ignore supplying these the server will never start and you will get a message saying that the service has not responded in time, this is a red herring. The default account that the pythonservice wrapper uses is not permissioned to run the service.