Topic: python

News Sentiment Analysis (Part 2)

In the previous post, I’ve replicated Fraiberger et al (2018) for the Korean market to show that Reuter Korea related news have predictive power on the next day’s KOSPI 200...

Tags: python  NLP  keras 

News Sentiment Analysis (Part I)

There are a number of studies in the Finance literature, which point to the media as a predictive indicator of stock market movement. While the the earlier set of sentiment...

Tags: python  NLP  keras  webscraping 

Topic Relevance Among Korean Stocks

The interaction between media and stock market is a hot topic, which has received a lot of attention in the finance literature. In this post, I will utilize Latent Dirichlet...

Tags: python  NLP  LDA  lasso  webscraping 

Data Server 3 (stockprice file download)

For the last part of django data server setup, I will implement a file download feature. The completed page can be previewed here. Since I’ve created a browser side (data/templates/stockprice.html)and...

Tags: python  mysql  django  html  javascript 

Building Stockprice Database 3 (adjusted stock price)

So far I’ve created a self updating stock prices of KOSPI and KOSDAQ listed prices. However, simply computing stock returns based on closing prices can lead to erroneous returns since...

Tags: python  cron_job 

Data Server 2 (stockprice history with handsontable)

In the previous post, I’ve discussed setting up a django based webserver. In this post, I will build a simple webpage, which displays historical stockprices for selected stocks. The completed...

Tags: python  mysql  django  html  javascript 

Data Server 1 (django setup)

In previous posts I’ve discussed building a self-updating stock price database. While the data can be obtained by submitting queries to MySQL databases, having a GUI for interacting with databases...

Tags: python  mysql  django  HTML  Javascript 

Building Stockprice Database 2 (cronjob)

In the previous post, I’ve talked about scraping the Korea Exchange website to create a database of historical stockprices. In this post, I will discuss setting up cron_job so that...

Tags: python  cron_job  linux 

Building Stockprice Database 1 (webscraping)

In next few series of posts, I will build a database of stock prices, which is a core ingredient in any financial analysis. Since stock market prices are public data,...

Tags: python  mysql  webscraping 

Reinforcement Learning Portfolio Management

Mean-variance portfolio problem is a classical problem in Finance. Given the a universe of $N$ stocks with expected returns of $\mu$ and covariance matrix $\Sigma$, mean-variance portfolio problem can be...

Tags: reinforcement_learning  python  keras