modfin 0.1.3

The modfin is a Python library, containing a set of tools useful to perform quantitative analysis of financial assets.

ModFin

     

The ModFin project aims to provide users with the necessary tools for modeling and analyzing individual assets and portfolios. This package contains various modules that provide a variety of useful functions and algorithms. Here is a list of the modules:

• Analysis of Financial Time Series
• Asset Screening
• Bet Sizing
• Data Structures
• Filtering
• Online Portfolio
• Option Pricing
• Portfolio Optimization

Note: Not all modules are fully implemented on live libraries.

Installation

Requirements

ModFin requires Python 3.8 or later and C++ build tools.

If needed, you can install the C++ build tools on Visual Studio.

Methods

The project is available on PyPI, and can be installed with pip package manager with the following command:

$ pip install modfin

Or, you can install the project with conda package manager with the following command:

conda install -c conda-forge modfin

Alternatively, install the package from the source using the following command:

git clone https://github.com/GabrielAbra/modfin
python setup.py install

Analysis of Financial Time Series

Risk Matrix

The Risk Matrix Module provides multiple functions for analyzing time series data and generating risk matrices. There are two different types of algorithms that can be distinguished as Sample, Estimator and Shrinkage algorithms.

Sample Algorithms

• Covariance
• SemiCovariance

Estimator Algorithms

• Minimum Covariance Determinant
• Empirical Covariance

Shrinkage Algorithms

• Shrinkage (Basic Shrinkage)
• LedoitWolf (Ledoit-Wolf Shrinkage Method)
• Oracle (Oracle Approximating Shrinkage)

Asset Screening

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Portfolio Optimization

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License

ModFin is released under the MIT license, so the code is open source and can be used in any project, provided that the original author is credited.