02 - NumPy.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Python for Financial Analysis and Algorithmic Trading"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 02 -  Numpy"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "# numpy : numerical python\n",
    "# conda install numpy ## if not installed already\n",
    "# allows fast calculations\n",
    "# pandas :  panel data\n",
    "\n",
    "# numpy arrays\n",
    "# numpy indexing selection\n",
    "# numpy operations"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "import numpy as np"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "<class 'list'>\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "numpy.ndarray"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Creating Numpy Arrays\n",
    "my_list = [1, 2, 3] \n",
    "print(type(my_list))\n",
    "# cast a list to an array\n",
    "x = np.array(my_list)\n",
    "type(x)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "my_matrix = [[1,2,3], [4,5,6], [7,8,9]]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[1, 2, 3],\n",
       "       [4, 5, 6],\n",
       "       [7, 8, 9]])"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.array(my_matrix)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[0, 1, 2, 3, 4]"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "list(range(0,5))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0, 1, 2, 3, 4])"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.arange(0,5) # (start, end(exclusive))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([ 0,  2,  4,  6,  8, 10])"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.arange(0,11,2) # added steps"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0., 0., 0., 0.])"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.zeros(4) # very useful"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "<class 'float'>\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "int"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "print(type(1.0))\n",
    "type(1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[0., 0., 0., 0., 0.],\n",
       "       [0., 0., 0., 0., 0.],\n",
       "       [0., 0., 0., 0., 0.]])"
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.zeros((3,5))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[1., 1., 1., 1., 1.],\n",
       "       [1., 1., 1., 1., 1.],\n",
       "       [1., 1., 1., 1., 1.]])"
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.ones((3,5)) # very useful"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([ 0.,  2.,  4.,  6.,  8., 10.])"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.linspace(0,10,6) # evenly spaced numbers between start, stop"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[1., 0., 0.],\n",
       "       [0., 1., 0.],\n",
       "       [0., 0., 1.]])"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.eye(3) # identity matrix - zero matrix with diagonal 1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[0.15795642, 0.69482024, 0.94756981],\n",
       "       [0.5230521 , 0.51996571, 0.54920168]])"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.random.rand(2,3) # uniform random between [0, 1)]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[ 0.82319962,  0.94891172, -1.00519776],\n",
       "       [ 2.87325201,  0.33542264,  0.71131448],\n",
       "       [-0.26466957,  0.63626519, -1.55687056],\n",
       "       [ 0.56580117, -0.40071081, -0.94504813],\n",
       "       [ 0.63308424,  0.6471819 , -1.26350669]])"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    " # standard normal distribution mean 0 , variance 1 - gaussian\n",
    "np.random.randn(5,3) "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([68, 42, 26, 48,  7])"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# random integer between start, stop, num of int\n",
    "np.random.randint(1,100, 5)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "arr    :  [0 1 2 3 4 5 6 7 8 9]\n",
      "\n",
      "ranarr :  [38 11 10 48 11 29 36 11 10 45]\n"
     ]
    }
   ],
   "source": [
    "arr = np.arange(10)\n",
    "ranarr = np.random.randint(0,50,10)\n",
    "print('arr    : ', arr)\n",
    "print('')\n",
    "print('ranarr : ', ranarr)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[0, 1, 2, 3, 4],\n",
       "       [5, 6, 7, 8, 9]])"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr.reshape(2,5) # notice how it reshaped the above arr."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "dtype('int32')"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr.dtype"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([38, 11, 10, 48, 11, 29, 36, 11, 10, 45])"
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ranarr"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "3"
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# ranarr.max()  # 43\n",
    "ranarr.argmax() # index of max value"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0, 1, 2, 3, 4, 5, 6, 7, 8, 9])"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Numpy Operations\n",
    "arr = np.arange(0,10)\n",
    "arr"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([ 0,  2,  4,  6,  8, 10, 12, 14, 16, 18])"
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr + arr  #elementwise  addition of arr "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([ 0,  1,  4,  9, 16, 25, 36, 49, 64, 81])"
      ]
     },
     "execution_count": 25,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr * arr"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "<ipython-input-26-f2aeecfb8086>:2: RuntimeWarning: invalid value encountered in true_divide\n",
      "  arr / arr\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "array([nan,  1.,  1.,  1.,  1.,  1.,  1.,  1.,  1.,  1.])"
      ]
     },
     "execution_count": 26,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# div by zero error\n",
    "arr / arr \n",
    "\n",
    "# output\n",
    "# RuntimeWarning: invalid value encountered in true_divide"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "<ipython-input-27-1fd3a63b8e4c>:1: RuntimeWarning: divide by zero encountered in true_divide\n",
      "  1 / arr  # inf warning\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "array([       inf, 1.        , 0.5       , 0.33333333, 0.25      ,\n",
       "       0.2       , 0.16666667, 0.14285714, 0.125     , 0.11111111])"
      ]
     },
     "execution_count": 27,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "1 / arr  # inf warning \n",
    "\n",
    "# RuntimeWarning: divide by zero encountered in true_divide"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([  0,   1,   8,  27,  64, 125, 216, 343, 512, 729], dtype=int32)"
      ]
     },
     "execution_count": 28,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr **3 "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([100, 101, 102, 103, 104, 105, 106, 107, 108, 109])"
      ]
     },
     "execution_count": 29,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr + 100"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "9"
      ]
     },
     "execution_count": 30,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.max(arr) # maximum value"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 31,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[38 11 10 48 11 29 36 11 10 45]\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "3"
      ]
     },
     "execution_count": 31,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "print(ranarr)\n",
    "np.argmax(ranarr) # position of maximum value"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 32,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([ 0.        ,  0.84147098,  0.90929743,  0.14112001, -0.7568025 ,\n",
       "       -0.95892427, -0.2794155 ,  0.6569866 ,  0.98935825,  0.41211849])"
      ]
     },
     "execution_count": 32,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.sin(arr)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 33,
   "metadata": {},
   "outputs": [],
   "source": [
    "# np.log(arr) # log 0 = - inf  -- error"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[38 11 10 48 11 29 36 11 10 45]\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "array([3.63758616, 2.39789527, 2.30258509, 3.87120101, 2.39789527,\n",
       "       3.36729583, 3.58351894, 2.39789527, 2.30258509, 3.80666249])"
      ]
     },
     "execution_count": 34,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "print(ranarr) \n",
    "np.log(ranarr)\n",
    "# RuntimeWarning: divide by zero encountered in log if there is zero in array"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Numpy Indexing and Selection"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 36,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "8"
      ]
     },
     "execution_count": 36,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr[8]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 37,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([1, 2, 3, 4])"
      ]
     },
     "execution_count": 37,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr[1:5]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([100, 100, 100, 100, 100,   5,   6,   7,   8,   9])"
      ]
     },
     "execution_count": 38,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# broadcast the reassignment\n",
    "arr[0:5] = 100\n",
    "arr"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([100, 100, 100, 100, 100,   5,   6,   7,   8,   9])"
      ]
     },
     "execution_count": 39,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr_copy = arr.copy()\n",
    "arr_copy"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[ 5, 10, 15],\n",
       "       [20, 25, 30],\n",
       "       [35, 40, 45]])"
      ]
     },
     "execution_count": 40,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# mat[row, col]  or mat[row][col]\n",
    "mat = np.array([[5,10,15],[20,25,30],[35,40,45]] )\n",
    "mat"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[10, 15],\n",
       "       [25, 30]])"
      ]
     },
     "execution_count": 41,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "mat[1, 1]\n",
    "mat[:2, 1:] # two dimentional slicing"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 42,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([ 1,  2,  3,  4,  5,  6,  7,  8,  9, 10])"
      ]
     },
     "execution_count": 42,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# conditional selection\n",
    "arr = np.arange(1,11)\n",
    "arr"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([False, False, False, False,  True,  True,  True,  True,  True,\n",
       "        True])"
      ]
     },
     "execution_count": 43,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "bool_arr = arr>4\n",
    "bool_arr"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 44,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([ 5,  6,  7,  8,  9, 10])"
      ]
     },
     "execution_count": 44,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "arr[arr>4]  # arr[bool_arr]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# *** END OF CHAPTER ***"
   ]
  }
 ],
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