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You're reading from  Python for Finance Cookbook

Product typeBook
Published inJan 2020
Reading LevelIntermediate
PublisherPackt
ISBN-139781789618518
Edition1st Edition
Languages
Python
Tools
Scikit-learnKeras
Concepts
Financial Technology
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Author (1)
Eryk Lewinson
Eryk Lewinson
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Eryk Lewinson

Eryk Lewinson received his master's degree in Quantitative Finance from Erasmus University Rotterdam. In his professional career, he has gained experience in the practical application of data science methods while working in risk management and data science departments of two "big 4" companies, a Dutch neo-broker and most recently the Netherlands' largest online retailer. Outside of work, he has written over a hundred articles about topics related to data science, which have been viewed more than 3 million times. In his free time, he enjoys playing video games, reading books, and traveling with his girlfriend.
Read more about Eryk Lewinson

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Changing frequency

The general rule of thumb for changing frequency can be broken down into the following:

  • Multiply/divide the log returns by the number of time periods.
  • Multiply/divide the volatility by the square root of the number of time periods.

In this recipe, we present an example of how to calculate the monthly realized volatilities for Apple using daily returns and then annualize the values.

The formula for realized volatility is as follows:

Realized volatility is frequently used for daily volatility using the intraday returns.

The steps we need to take are as follows:

  • Download the data and calculate the log returns.
  • Calculate the realized volatility over the months.
  • Annualize the values by multiplying by , as we are converting from monthly values.

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Python for Finance Cookbook
Published in: Jan 2020Publisher: PacktISBN-13: 9781789618518
© 2020 Packt Publishing Limited All Rights Reserved

Author (1)

author image
Eryk Lewinson

Eryk Lewinson received his master's degree in Quantitative Finance from Erasmus University Rotterdam. In his professional career, he has gained experience in the practical application of data science methods while working in risk management and data science departments of two "big 4" companies, a Dutch neo-broker and most recently the Netherlands' largest online retailer. Outside of work, he has written over a hundred articles about topics related to data science, which have been viewed more than 3 million times. In his free time, he enjoys playing video games, reading books, and traveling with his girlfriend.
Read more about Eryk Lewinson

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