Design and implementation of new time series object for financial data in python
The main purpose of this project is to create a new time series object in Python software by considering date and time object. This project takes inspiration from date and time object (timeDate class) and time series object (timeSeries class) which have been implemented on Rmetrics software. A date...
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| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2009
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| Online Access: | http://hdl.handle.net/10356/18193 |
| _version_ | 1826126842101235712 |
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| author | Hardian Setiawan Winata. |
| author2 | Lim Meng Hiot |
| author_facet | Lim Meng Hiot Hardian Setiawan Winata. |
| author_sort | Hardian Setiawan Winata. |
| collection | NTU |
| description | The main purpose of this project is to create a new time series object in Python software by considering date and time object. This project takes inspiration from date and time object (timeDate class) and time series object (timeSeries class) which have been implemented on Rmetrics software. A date and time object in R has been stable because it could solve the following issues about time zones conversion, DST rules (Day light Saving Time) and holidays around the countries. A time series object in R has a lot of mathematic operations and functions which are very useful on processing the financial data.
Before starting this project, some analyses had to be done on performance of both Python and Rmetrics (benchmarking) and some existing modules from Python related to this project. After performing these analyses, it was decided that date and time object would be developed from existing module in Python which called datetime.datetime by inheritance method while time series object would be developed using existing module called Numpy which emphasize on “array” object for storing financial data.
This report explains the implemented date and time object and time series object in Python which consist of three main class objects: DateTime, TimeDelta and TimeSeries. TimeDelta class is used to perform addition and subtraction with DateTime class. This report also highlights the difference between them and the existing objects from Rmetrics. Other functions associated with these classes are called utility functions. These entire utility functions would not be explained in this report. This report explains some important and useful functions from them. The entire classes and functions list can be seen on this report. |
| first_indexed | 2024-10-01T06:59:18Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/18193 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:59:18Z |
| publishDate | 2009 |
| record_format | dspace |
| spelling | ntu-10356/181932023-07-07T16:05:31Z Design and implementation of new time series object for financial data in python Hardian Setiawan Winata. Lim Meng Hiot School of Electrical and Electronic Engineering Alvantage Investments LLC DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems The main purpose of this project is to create a new time series object in Python software by considering date and time object. This project takes inspiration from date and time object (timeDate class) and time series object (timeSeries class) which have been implemented on Rmetrics software. A date and time object in R has been stable because it could solve the following issues about time zones conversion, DST rules (Day light Saving Time) and holidays around the countries. A time series object in R has a lot of mathematic operations and functions which are very useful on processing the financial data. Before starting this project, some analyses had to be done on performance of both Python and Rmetrics (benchmarking) and some existing modules from Python related to this project. After performing these analyses, it was decided that date and time object would be developed from existing module in Python which called datetime.datetime by inheritance method while time series object would be developed using existing module called Numpy which emphasize on “array” object for storing financial data. This report explains the implemented date and time object and time series object in Python which consist of three main class objects: DateTime, TimeDelta and TimeSeries. TimeDelta class is used to perform addition and subtraction with DateTime class. This report also highlights the difference between them and the existing objects from Rmetrics. Other functions associated with these classes are called utility functions. These entire utility functions would not be explained in this report. This report explains some important and useful functions from them. The entire classes and functions list can be seen on this report. Bachelor of Engineering 2009-06-24T01:40:56Z 2009-06-24T01:40:56Z 2009 2009 Final Year Project (FYP) http://hdl.handle.net/10356/18193 en Nanyang Technological University 124 p. application/pdf |
| spellingShingle | DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems Hardian Setiawan Winata. Design and implementation of new time series object for financial data in python |
| title | Design and implementation of new time series object for financial data in python |
| title_full | Design and implementation of new time series object for financial data in python |
| title_fullStr | Design and implementation of new time series object for financial data in python |
| title_full_unstemmed | Design and implementation of new time series object for financial data in python |
| title_short | Design and implementation of new time series object for financial data in python |
| title_sort | design and implementation of new time series object for financial data in python |
| topic | DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems |
| url | http://hdl.handle.net/10356/18193 |
| work_keys_str_mv | AT hardiansetiawanwinata designandimplementationofnewtimeseriesobjectforfinancialdatainpython |