![\"Open](\"https://colab.research.google.com/assets/colab-badge.svg\"){kind=icon}
"
]
},
{
"cell_type": "markdown",
"id": "a6be4a95",
"metadata": {
"id": "a6be4a95"
},
"source": [
"# Running the First Regression in Python"
]
},
{
"cell_type": "markdown",
"id": "b7890b49",
"metadata": {
"id": "b7890b49"
},
"source": [
"Suppose this is your first time to write the code. Perhaps, you want to run a simple regression using two series of asset prices to fin the equity beta. Let's use a step-by-step approach to complete the task.\n",
"\n",
" Step 1: Download two assets' prices from the web\n",
" Step 2: Put them onto a matrix form\n",
" Step 3: Run the OLS\n",
" Step 4: Plot data"
]
},
{
"cell_type": "markdown",
"id": "d844db66",
"metadata": {
"id": "d844db66"
},
"source": [
"### Step 1: Download data\n",
"We will use yahoo finance package (https://pypi.org/project/yfinance/) to download Yahoo Finance data from the web. We need to (1) install and (2) import this package."
]
},
{
"cell_type": "code",
"source": [
"!pip install yfinance -q # to install, remove # and run the cell"
],
"metadata": {
"id": "6I0gK2-tfCtd"
},
"id": "6I0gK2-tfCtd",
"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": "e1b27e1a-e472-4178-f594-bbe6f1d9f6e9"
},
"execution_count": null,
"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",
"2020-12-24 128.905807\n",
"2020-12-28 133.516205\n",
"2020-12-29 131.738480\n",
"2020-12-30 130.615128\n",
"2020-12-31 129.609100"
],
"text/html": [
"\n",
" | \n", " | Close | \n", "
|---|---|
| Date | \n", "\n", " |
| 2020-12-24 | \n", "128.905807 | \n", "
| 2020-12-28 | \n", "133.516205 | \n", "
| 2020-12-29 | \n", "131.738480 | \n", "
| 2020-12-30 | \n", "130.615128 | \n", "
| 2020-12-31 | \n", "129.609100 | \n", "
| \n", " | TSLA | \n", "
|---|---|
| Date | \n", "\n", " |
| 2022-01-01 | \n", "312.239990 | \n", "
| 2022-02-01 | \n", "290.143341 | \n", "
| 2022-03-01 | \n", "359.200012 | \n", "
| 2022-04-01 | \n", "290.253326 | \n", "
| 2022-05-01 | \n", "252.753326 | \n", "
| \n", " | SPY | \n", "
|---|---|
| Date | \n", "\n", " |
| 2022-01-01 | \n", "430.576294 | \n", "
| 2022-02-01 | \n", "417.866943 | \n", "
| 2022-03-01 | \n", "432.231934 | \n", "
| 2022-04-01 | \n", "395.520233 | \n", "
| 2022-05-01 | \n", "396.413055 | \n", "
| \n", " | TSLA | \n", "SPY | \n", "
|---|---|---|
| Date | \n", "\n", " | \n", " |
| 2011-02-01 | \n", "-0.008714 | \n", "0.034737 | \n", "
| 2011-03-01 | \n", "0.161574 | \n", "-0.004205 | \n", "
| 2011-04-01 | \n", "-0.005405 | \n", "0.033431 | \n", "
| 2011-05-01 | \n", "0.092029 | \n", "-0.011215 | \n", "
| 2011-06-01 | \n", "-0.033510 | \n", "-0.021720 | \n", "
| ... | \n", "... | \n", "... | \n", "
| 2022-01-01 | \n", "-0.113609 | \n", "-0.049413 | \n", "
| 2022-02-01 | \n", "-0.070768 | \n", "-0.029517 | \n", "
| 2022-03-01 | \n", "0.238009 | \n", "0.034377 | \n", "
| 2022-04-01 | \n", "-0.191945 | \n", "-0.084935 | \n", "
| 2022-05-01 | \n", "-0.129197 | \n", "0.002257 | \n", "
136 rows × 2 columns
\n", "