Learn Working with Financial Time Series | Financial Data Analysis with Python

Understanding time series data is fundamental in finance because so many financial variables are recorded and analyzed over time. Time series data consists of observations collected sequentially, usually at regular intervals, such as daily stock prices, monthly inflation rates, or annual GDP figures. In finance, you frequently encounter time series when tracking the price of a stock, the value of a currency, or interest rates across different periods. These datasets allow you to analyze trends, detect patterns, and make forecasts, which are crucial for tasks like portfolio management, risk assessment, and algorithmic trading.


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# Create a list of tuples representing (date, price) pairs for a stock

stock_prices = [
    ("2024-06-01", 150.23),
    ("2024-06-02", 151.80),
    ("2024-06-03", 149.75),
    ("2024-06-04", 152.10),
    ("2024-06-05", 153.65)
]

print(stock_prices)

When working with time series data in Python, you often need to access specific records, extract ranges, or iterate through the data to perform calculations. Indexing allows you to retrieve a particular data point by its position in the list, while slicing enables you to obtain a subseries over a certain period. Iterating through the time series is useful for computing statistics, generating signals, or visualizing trends. Maintaining the chronological order of your data is essential, as financial analysis depends on the sequence of events—calculating returns, for instance, requires knowing the order of prices.


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# Extract a subseries for a specific date range from the time series list

start_date = "2024-06-02"
end_date = "2024-06-04"

# Find indices for the start and end dates
start_idx = next(i for i, (date, _) in enumerate(stock_prices) if date == start_date)
end_idx = next(i for i, (date, _) in enumerate(stock_prices) if date == end_date)

# Slice the list to get the subseries (inclusive of end date)
subseries = stock_prices[start_idx:end_idx + 1]

print(subseries)

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Section 1. Chapter 2

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              1234567891011
            
# Create a list of tuples representing (date, price) pairs for a stock

stock_prices = [
    ("2024-06-01", 150.23),
    ("2024-06-02", 151.80),
    ("2024-06-03", 149.75),
    ("2024-06-04", 152.10),
    ("2024-06-05", 153.65)
]

print(stock_prices)


              12345678910111213
            
# Extract a subseries for a specific date range from the time series list

start_date = "2024-06-02"
end_date = "2024-06-04"

# Find indices for the start and end dates
start_idx = next(i for i, (date, _) in enumerate(stock_prices) if date == start_date)
end_idx = next(i for i, (date, _) in enumerate(stock_prices) if date == end_date)

# Slice the list to get the subseries (inclusive of end date)
subseries = stock_prices[start_idx:end_idx + 1]

print(subseries)

Everything was clear?

Thanks for your feedback!

Section 1. Chapter 2

Working with Financial Time Series

1. What is the primary characteristic that distinguishes time series data from other data types?

2. How can you access the price of a stock on a specific date using a list of (date, price) tuples?

3. Why is chronological order important in financial time series analysis?

Working with Financial Time Series

1. What is the primary characteristic that distinguishes time series data from other data types?

2. How can you access the price of a stock on a specific date using a list of (date, price) tuples?

3. Why is chronological order important in financial time series analysis?