![\"Open](\"https://colab.research.google.com/assets/colab-badge.svg\"){kind=icon}
"
]
},
{
"cell_type": "markdown",
"metadata": {
"id": "tSBv_Oz_mwUT"
},
"source": [
"# CAPM - Capital Asset Pricing Model"
]
},
{
"cell_type": "code",
"metadata": {
"collapsed": true,
"id": "IFH0XGudmwUf"
},
"source": [
"!pip install yfinance -q\n",
"!pip install seaborn -q"
],
"execution_count": 3,
"outputs": []
},
{
"cell_type": "code",
"metadata": {
"collapsed": true,
"id": "nySQT5GBmwUg"
},
"source": [
"import seaborn as sns\n",
"import yfinance as yf\n",
"import pandas as pd\n",
"import numpy as np\n",
"import statsmodels.api as sm\n",
"import datetime as dt\n",
"\n",
"import urllib.request # handle online files\n",
"import zipfile\n",
"import os\n",
"\n",
"import statsmodels.formula.api as smf\n",
"import statsmodels.api as sm\n",
"from scipy import stats\n",
"from sklearn.model_selection import train_test_split\n",
"from sklearn.linear_model import LinearRegression\n",
"\n",
"import matplotlib.pyplot as plt\n",
"from pylab import mpl, plt\n",
"\n",
"sns.set_theme()\n",
"plt.style.use('seaborn-v0_8')\n",
"mpl.rcParams['font.family'] = 'DejaVu Sans'\n",
"mpl.rcParams[\"savefig.dpi\"] = 500\n",
"np.set_printoptions(precision=5, suppress=True, formatter={\"float\": lambda x: f\"{x:6.3f}\"})\n",
"\n",
"%matplotlib inline"
],
"execution_count": 7,
"outputs": []
},
{
"cell_type": "code",
"metadata": {
"id": "W4f7t_LPmwUh"
},
"source": [
"#help(stats.linregress)"
],
"execution_count": null,
"outputs": []
},
{
"cell_type": "code",
"source": [
"import yfinance as yf\n",
"from requests import Session\n",
"\n",
"# As a note: In your homework, as yfinance has updated resently, you will need to install and include the 'requests' package and use this session.headers line. You can just copy this for the homework and adjust the following\n",
"# Ticker -> TSLA | ['Adj Close'] -> ['Close] | These two updates, plus adjusting the dates, will allow the code to work.\n",
"\n",
"session = Session()\n",
"session.headers.update({'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/91.0.4472.124 Safari/537.36'}) # required for the moment unfortunately\n",
"\n",
"data = yf.download('AAPL', start='2020-01-01', end='2021-01-01')['Close'] # without ['Close'] we can get OHLC + Volume data, we stick to close for now.\n",
"data.columns = ['Close']\n",
"data.index.name = 'Date'\n",
"display(data.tail())\n",
"\n",
"\n"
],
"metadata": {
"colab": {
"base_uri": "https://localhost:8080/",
"height": 272
},
"id": "PyXKlJfvLELH",
"outputId": "3fd6bc44-e88b-4aae-b3ba-8f2fe463c2b4"
},
"execution_count": 8,
"outputs": [
{
"output_type": "stream",
"name": "stdout",
"text": [
"YF.download() has changed argument auto_adjust default to True\n"
]
},
{
"output_type": "stream",
"name": "stderr",
"text": [
"\r[*********************100%***********************] 1 of 1 completed\n"
]
},
{
"output_type": "display_data",
"data": {
"text/plain": [
" Close\n",
"Date \n",
"2020-12-24 128.905823\n",
"2020-12-28 133.516220\n",
"2020-12-29 131.738480\n",
"2020-12-30 130.615143\n",
"2020-12-31 129.609085"
],
"text/html": [
"\n",
" | \n", " | Close | \n", "
|---|---|
| Date | \n", "\n", " |
| 2020-12-24 | \n", "128.905823 | \n", "
| 2020-12-28 | \n", "133.516220 | \n", "
| 2020-12-29 | \n", "131.738480 | \n", "
| 2020-12-30 | \n", "130.615143 | \n", "
| 2020-12-31 | \n", "129.609085 | \n", "
| \n", " | Your_Stock | \n", "INDEX | \n", "
|---|---|---|
| Date | \n", "\n", " | \n", " |
| 2022-01-15 | \n", "314.633331 | \n", "419.158905 | \n", "
| 2022-01-22 | \n", "282.116669 | \n", "422.958282 | \n", "
| 2022-01-29 | \n", "307.773346 | \n", "429.418274 | \n", "
| 2022-02-05 | \n", "286.666656 | \n", "421.532318 | \n", "
| 2022-02-12 | \n", "285.660004 | \n", "415.570068 | \n", "
| 2022-02-19 | \n", "269.956665 | \n", "418.938812 | \n", "
| 2022-02-26 | \n", "279.429993 | \n", "413.598602 | \n", "
| 2022-03-05 | \n", "265.116669 | \n", "402.018524 | \n", "
| 2022-03-12 | \n", "301.796661 | \n", "425.417908 | \n", "
| 2022-03-19 | \n", "336.880005 | \n", "434.582672 | \n", "
| 2022-03-26 | \n", "361.529999 | \n", "434.803497 | \n", "
| 2022-04-02 | \n", "341.829987 | \n", "429.667480 | \n", "
| 2022-04-09 | \n", "328.333344 | \n", "420.278656 | \n", "
| 2022-04-16 | \n", "335.016663 | \n", "408.998657 | \n", "
| 2022-04-23 | \n", "290.253326 | \n", "395.520233 | \n", "
| 2022-04-30 | \n", "288.549988 | \n", "394.886627 | \n", "
| 2022-05-07 | \n", "256.529999 | \n", "385.651489 | \n", "
| 2022-05-14 | \n", "221.300003 | \n", "374.045074 | \n", "
| 2022-05-21 | \n", "253.210007 | \n", "398.649872 | \n", "
| 2022-05-28 | \n", "252.753326 | \n", "396.413025 | \n", "
| \n", " | Your_Stock | \n", "INDEX | \n", "
|---|---|---|
| Date | \n", "\n", " | \n", " |
| 2011-01-08 | \n", "-0.088173 | \n", "0.016989 | \n", "
| 2011-01-15 | \n", "-0.105243 | \n", "-0.007193 | \n", "
| 2011-01-22 | \n", "0.042101 | \n", "-0.005063 | \n", "
| 2011-01-29 | \n", "-0.022907 | \n", "0.026855 | \n", "
| 2011-02-05 | \n", "-0.008951 | \n", "0.014945 | \n", "
| ... | \n", "... | \n", "... | \n", "
| 2022-04-30 | \n", "-0.005868 | \n", "-0.001602 | \n", "
| 2022-05-07 | \n", "-0.110969 | \n", "-0.023387 | \n", "
| 2022-05-14 | \n", "-0.137333 | \n", "-0.030096 | \n", "
| 2022-05-21 | \n", "0.144193 | \n", "0.065780 | \n", "
| 2022-05-28 | \n", "-0.001804 | \n", "-0.005611 | \n", "
595 rows × 2 columns
\n", "