DJIA became ^DJI - Some major changes in data_generation - Some markdown and dates in notebook

Author: VincentRouvreau

data_generation.py

@@ -10,25 +10,14 @@
 start_date = '1988-01-01'
 
 # Dealing with some missing values in Dow Jones index
-DowJones_df = yf.download('DJIA',start_date,str(yesterday))
-Nasdaq_df = yf.download('^IXIC',start_date,str(yesterday))
-diff = Nasdaq_df.index.difference(DowJones_df.index)
-# Display Dow Jones missing values
-print(diff)
-
-DowJones = np.asarray(DowJones_df.Close).reshape(-1,1)
-Nasdaq = np.asarray(Nasdaq_df.drop(diff).Close).reshape(-1,1)
-Russell = np.asarray(yf.download('^RUT',start_date,str(yesterday)).drop(diff).Close).reshape(-1,1)
-SP500 = np.asarray(yf.download('^GSPC',start_date,str(yesterday)).drop(diff).Close).reshape(-1,1)
-
-# Ensure the data have the same shape
-assert DowJones.shape == Nasdaq.shape == Russell.shape == SP500.shape
-
-ts = np.concatenate((DowJones, Nasdaq, Russell, SP500), axis=1)
+df = yf.download('^DJI ^IXIC ^GSPC ^RUT',start_date,str(yesterday))
+# Dealing with some missing values
+df = df.Close.dropna(axis=0)
+ts = np.asarray(df)
 
 # Calculate the log returns
 ratios = np.log(ts / np.roll(ts, -1, axis=0))[:-1]
 
 # Put the returns in a dataframe
-tsdf = pd.DataFrame(ratios, index = DowJones_df.index[:-1])
+tsdf = pd.DataFrame(ratios, index = df.index[:-1])
 tsdf.to_csv("latest.csv")

environment.yml

@@ -2,7 +2,7 @@ name: tda_financial_time_series
 channels:
   - conda-forge
 dependencies:
-  - gudhi==3.5.0
+  - gudhi>=3.5.0
   - scikit-learn
   - plotly
   - numpy