Portfolio and Risk Analytics in Python with pyfolio

By Dr. Thomas Wiecki, Data Science Lead at Quantopian

Python is quickly establishing itself as the lingua franca for quantitative finance. The rich stack of open source tools like Pandas, the Jupyter notebook, and Seaborn, provide quants with a rich and powerful tool belt to analyze financial data. While useful for Quantitative Finance, these general purpose libraries lack support for common financial analyses like the computation of certain risk factors (Sharpe, Fama-French), or plots of portfolio allocations over time.

Pyfolio (http://quantopian.github.io/pyfolio/) is a recent open source tool developed by Quantopian (https://www.quantopian.com/) to fill this gap. At the core of pyfolio is a so-called tear sheet that consists of various individual plots that provide a comprehensive image of the performance of a trading algorithm/portfolio. In addition, the library features advanced statistical analyses using Bayesian modeling. The software can be used stand-alone, with our open-source backtesting library Zipline and is available on the Quantopian platform.

This talk will be a tutorial of how to get the most out of this library ( http://quantopian.github.io/pyfolio/ ).

Pizza and drinks will be served.

Speaker Details:

Thomas Wiecki is the data science lead at Quantopian Inc (https://www.quantopian.com/). where he uses probabilistic programming to help build a crowd-sourced hedge fund. He holds a Ph.D. from Brown University. As a recognized international speaker, Thomas has given talks at various conferences and meet-ups across the US (including New York, Boston, Chicago, and San Francisco), Europe (London, Berlin, Luxembourg, and Düsseldorf), as well as Asia (Singapore). Among other open source projects, he is involved in the development of PyMC — a probabilistic programming framework written in Python.