[omaha] Omaha Digest, Vol 131, Issue 2

Mon Apr 23 14:20:52 EDT 2018

On Monday, April 23, 2018, Charlie Ahern via Omaha <omaha at python.org> wrote:

> Hey Wes, thanks for all of the links. I've seen some, but not all, of them.
>
> Disappointing that the SEC broke the pandas-datareader feed. Not sure of
> the details, but it looks like some company now has a contract to monetize
> public information. "Yep, this is public information. We'll sell it to you
> at a profitable rate per month." I need to do more research, particularly
> about Quantopian-Quandl.

They probably discontinued the FTP API because it was an FTP API. This data
should be free!

>
> The Efficient Markets Hypothesis (like neo-classical economics) "states
> that asset <https://en.wikipedia.org/wiki/Asset> prices fully reflect all
> available information." However, are markets efficient if the cost of
> information makes it unavailable or difficult to access?
> https://en.wikipedia.org/wiki/Efficient-market_hypothesis

Information asymmetry
https://en.wikipedia.org/wiki/Information_asymmetry

> Information asymmetries are studied in the context of principal–agent
problems where they are a major cause of misinforming and is essential in
every communication process.[6] Information asymmetry is in contrast to
perfect information, which is a key assumption in neo-classical
economics.[7] In 2001 the Nobel Memorial Prize in Economics was awarded to
George Akerlof, Michael Spence, and Joseph E. Stiglitz for their "analyses
of markets with asymmetric information".[8]

... Even given perfect information, is behavior rational?
https://en.wikipedia.org/wiki/Nudge_(book)

"*Stock market forces can be modeled with a quantum harmonic oscillator*"
https://phys.org/news/2018-02-stock-quantum-harmonic-oscillator.html

https://en.wikipedia.org/wiki/Quantum_harmonic_oscillator

Quantopian has an objective, cumulative performance metric with which to
compare algorithmic trading strategies. It's possible to code up piecewise
unexplainable buy/sell decisions of the past; and compare them.
Back testing: historical data
Paper trading: live data, 'fake' trades
Live trading: live data, live trades
  There are a few places that will host, run, and feed data to algos
implemented with Zipline. Quantopian doesn't host Zipline algos anymore;
QuantRocket is one place that does.

(Over the past 10 years, cryptocurrency / digital asset HODLers have
outperformed even NVIDIA and clean energy index funds. enigmampc/catalyst
is a fork of Zipline for cryptocurrency trading that now uses ccxt for
exchange APIs. Arbitrage between exchanges may still be viable for alt
coins.)

> Thanks again,
>
> Charlie
>
> On Mon, Apr 23, 2018 at 11:00 AM, <omaha-request at python.org> wrote:
>
> > Send Omaha mailing list submissions to
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> > than "Re: Contents of Omaha digest..."
> >
> >
> > Today's Topics:
> >
> >    1. Pythons' Carpool Lincoln->Omaha 5/24/18? (Charlie Ahern)
> >    2. Re: Pythons' Carpool Lincoln->Omaha 5/24/18? (Wes Turner)
> >
> >
> > ----------------------------------------------------------------------
> >
> > Message: 1
> > Date: Sun, 22 Apr 2018 22:03:53 -0500
> > From: Charlie Ahern <charlieahern at gmail.com>
> > To: omaha at python.org
> > Subject: [omaha] Pythons' Carpool Lincoln->Omaha 5/24/18?
> > Message-ID:
> >         <CAJ02oLV1_Q1viMJJhCjY0aJr1TtceOQ=6PJby3h
> > uu5jUn5EqwQ at mail.gmail.com>
> > Content-Type: text/plain; charset="UTF-8"
> >
> > My wife and I are moving to Lincoln on the 15th (from Des Moines).
> > Hopefully by the 24th we'll be settled enough that I can go to the
> meeting.
> > Will anyone be driving from Lincoln to Omaha for the meeting?
> >
> > I'm a Python newbie, primarily a hobbyist (with close to 40 years
> > experience in high tech) studying:
> > * NLP and possible analysis of the text in SEC reports from EDGAR
> > (Electronic Data Gathering, Analysis, and Retrieval system)
> > * Statistical analysis of SEC and other data sources, such as FRED
> (Federal
> > Reserve Economic Data)
> >
> > --
> > Charlie Ahern
> >
> > Reading, after a certain age, diverts the mind too much from its creative
> > pursuits. Any man who reads too much and uses his own brain too little
> > falls into lazy habits of thinking, just as the man who spends too much
> > time in the theater is tempted to be content with living vicariously
> > instead of living his own life. - Albert Einstein
> >
> >
> > ------------------------------
> >
> > Message: 2
> > Date: Sun, 22 Apr 2018 23:49:20 -0400
> > From: Wes Turner <wes.turner at gmail.com>
> > To: Omaha Python Users Group <omaha at python.org>
> > Cc: Charlie Ahern <charlieahern at gmail.com>
> > Subject: Re: [omaha] Pythons' Carpool Lincoln->Omaha 5/24/18?
> > Message-ID:
> >         <CACfEFw8xCworpG-Aq8s=im=9TS+sAjp4LHaE+k696FK4GuanOw at mail.
> > gmail.com>
> > Content-Type: text/plain; charset="UTF-8"
> >
> > EDGAR, pandas-datareader, interpretation of financial reports, quantopian
> > tools such as zipline
> >
> > I won't be driving from Lincoln to Omaha, but have a few relevant links
> to
> > share here that you've probably already reviewed.
> >
> > EDGAR discontinuing FTP support
> > https://github.com/pydata/pandas-datareader/issues/269
> >
> > https://en.wikipedia.org/wiki/EDGAR
> > - https://www.sec.gov/edgar/searchedgar/accessing-edgar-data.htm
> > - https://www.sec.gov/oiea/Article/edgarguide.html
> > - https://en.wikipedia.org/wiki/Form_10-K (annual)
> > - https://en.wikipedia.org/wiki/Form_10-Q (quarterly)
> > - https://en.wikipedia.org/wiki/XBRL
> >
> >
> > https://en.wikipedia.org/wiki/Benjamin_Graham#Bibliography
> >
> > "Warren Buffett and the Interpretation of Financial Statements: The
> Search
> > for the Company with a Durable Competitive Advantage"
> > https://g.co/kgs/65XRnv
> >
> > https://www.quantopian.com/help/fundamentals
> > - some of these stats are from EDGAR
> > - some of these stats are from Morningstar
> > - it'd be great to also have data about environmental sustainability
> (e.g.
> > from mandatory reports) just like the GRI reports
> >
> > >From "Pulling Stock Market Data - Yahoo and Google don't work anymore?"
> > https://www.reddit.com/r/Python/comments/7zxptg/
> pulling_stock_market_data_
> > yahoo_and_google_dont/#dus01vk
> >
> > > quantopian/zipline pulls data from Quandl with a data ingest step; with
> > the US Treasury 10 year bond yield and/or SPY (from IEX) as a benchmark.
> > > https://github.com/quantopian/zipline
> > > - https://www.quantopian.com/tutorials/
> > > -
> > https://www.quantopian.com/posts/community-algorithms-
> > migrated-to-quantopian-2
> > > - "7 Best Community-Built Value Investing Algorithms Using
> Fundamentals"
> > >   https://blog.quantopian.com/fundamentals-contest-winners/
> >
> > - https://github.com/quantopian/pyfolio
> > - https://github.com/quantopian/alphalens
> >
> >
> > On Sunday, April 22, 2018, Charlie Ahern via Omaha <omaha at python.org>
> > wrote:
> >
> > > My wife and I are moving to Lincoln on the 15th (from Des Moines).
> > > Hopefully by the 24th we'll be settled enough that I can go to the
> > > meetinag.
> > > Will anyone be driving from Lincoln to Omaha for the meeting?
> > >
> > > I'm a Python newbie, primarily a hobbyist (with close to 40 years
> > > experience in high tech) studying:
> > > * NLP and possible analysis of the text in SEC reports from EDGAR
> > > (Electronic Data Gathering, Analysis, and Retrieval system)
> > > * Statistical analysis of SEC and other data sources, such as FRED
> > (Federal
> > > Reserve Economic Data)
> > >
> > > --
> > > Charlie Ahern
> > >
> > > Reading, after a certain age, diverts the mind too much from its
> creative
> > > pursuits. Any man who reads too much and uses his own brain too little
> > > falls into lazy habits of thinking, just as the man who spends too much
> > > time in the theater is tempted to be content with living vicariously
> > > instead of living his own life. - Albert Einstein
> > > _______________________________________________
> > > Omaha Python Users Group mailing list
> > > Omaha at python.org
> > > https://mail.python.org/mailman/listinfo/omaha
> > > http://www.OmahaPython.org
> > >
> >
> >
> > ------------------------------
> >
> > Subject: Digest Footer
> >
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> >
> >
> > ------------------------------
> >
> > End of Omaha Digest, Vol 131, Issue 2
> > *************************************
> >
>
>
>
> --
> Charlie Ahern
>  (408) 821-6414
>
> Reading, after a certain age, diverts the mind too much from its creative
> pursuits. Any man who reads too much and uses his own brain too little
> falls into lazy habits of thinking, just as the man who spends too much
> time in the theater is tempted to be content with living vicariously
> instead of living his own life. - Albert Einstein
> _______________________________________________
> Omaha Python Users Group mailing list
> Omaha at python.org
> https://mail.python.org/mailman/listinfo/omaha
> http://www.OmahaPython.org
>