Pandas: Rich Data Analysis Tools for Quant Finance
[Pages:28]pandas: Rich Data Analysis Tools for Quant Finance
Wes McKinney April 24, 2012, QWAFAFEW Boston
Tuesday, April 24,
about me
WES MCKINNEY
? MIT '07 ? AQR Capital: 2007 - 2010 ? Global Macro and Credit Research ? pandas: 2008 - Present ? wes (at) ? Twitter: @wesmckinn
Apr 24, 2012
2
Tuesday, April 24,
Upcoming book
? Python language essentials ? Core scientific libraries ? pandas ? Visualization ? Case studies ? Look out for Rough Cuts version
on
Apr 24, 2012
3
Tuesday, April 24,
Lambda Foundry
? ? Incorporated January 2012 ? Mission: Better solutions to data-driven business problems ? RapidQuant: Financial analytics libraries and research environment ? Open Source Development and Support ? Training and Consulting
Apr 24, 2012
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RapidQuant Platform
? Integrated, interactive research environment and workbench ? Analytics libraries, standard data algorithms, and transforms ? Frameworks for backtesting, risk modeling, portfolio management ? Vendor data integration ? Optimized data interfaces ? Caching and data management ? Testing tools ? Distributed computing
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Outline
? Why Python for Quants? ? Scientific Python Foundation ? Pandas essentials ? Time series ? Group-wise data manipulation ? Plotting and Visualization ? More examples
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Research vs. Production
Research needs
? Rapid iteration, exploration ? Interactive Data Analysis ? Statistical modeling tools ? Backtesting framework ? Rich Visualization ? Reporting, Excel integration ? High perf computations
Production needs
? Model and data controls, versioning ? Rigorous testing, robustness ? Large-scale process management ? Modularity, extensibility ? Productive system dev tools ? Strong interoperability ? High perf computations
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Python: one-language solution to the two-domain problem?
Tuesday, April 24,
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