This project was started to test different avaiable tools to track mutual funds and hedge fund using Capital Asset Pricing Model (CAPM thereafter) introduced my Sharpe and Arbitrage Pricing Theory (APT thereafter) introduced by Ross. The purpose of the CAPM model is to use a set of generic investable market indices to decompose the exposure of a fund. On the other hand, APT model is to find a set of generic indices which are not necessarily investable, to decompose the behaviour of an indices that we wish to analyse.

The License for this project is BSD.

Documentation:
http://packages.python.org/KF/

Dependency:

This project requires
Scipy (http://www.scipy.org/)
Numpy (http://numpy.scipy.org/)
CVXOPT (http://abel.ee.ucla.edu/cvxopt/)

Optional
Matplotlib (http://matplotlib.sourceforge.net/)

The primary data structure is DataFrame in timeSeriesFrame.py although this is not used directly. The container for time series data is TimeSeriesFrame which are used by Regression. Essentially, this is just a data structure with a scipy.matrix for tabular data and 2 lists which contains row and column header information. Later in the future I might change it it numpy.maskedarray to handle missing. The primary features for TimeSeriesFrame are simple slicing and iterators in both dimensions. This was designed in a way such that it is easy to run operation on each time series or each date. Later I might subclass it with http://scikits.appspot.com/scikits but this is not in near future.

Regression is a base class for all the estimation procedures. It is implemented as basic linear least squares estimation. Primary sub-classes of Regression is ECRegression and ICRegression which are base-class for equality and inequality constrained model, respectively. Sample library usage is 

>>>    stock_data = list(csv.reader(open("simulated_portfolio.csv", "rb"))) #Read data from file
>>>    stock = StylusReader(stock_data) #Put the data into TimeSeriesFrame
>>>    respond = stock[:,0] #slice the first column of TimeSeriesFrame as respond
>>>    regressors = stock[:,1:] #slice the columns after first column as regressors
>>>    t,n = regressors.size()
>>>    weight = scipy.identity(t) 
>>>    intercept = True
>>>    obj = Regression(respond, regressors, intercept, weight = weight) #Initialise the regression object, construct all the necessary matrix according to the value of intercept and settings
>>>    obj.train() #perform estimation. In this case it is simple matrix calculation and inversion.
>>>    print obj.predict()  #Return the estimate in TimeSerisFrame
>>>    print obj.error() #Return the estimation error in TimeSeriesFrame

Essentially, users only need to run the constructor and train() to get the estimate. It was designed to be very simple to use for end users.

Naming Convention:
regression.py imposes no state constraints on the model
ec*.py imposes Equality Constraints on the model. For example, ecRegression.py is a regression model which must satisfy Equality Constraitns.
ic*.py imposes Inequality Constraints and Equality Constraints. For example icRegression.py is a constrained regression model which has both equality and inequality constraints.

Organisation: Most of the computation functions are located in libregression.py

Implemented and Tested:
regression.py
ecRegression.py
icRegression.py
rollingRegression.py
ecRollingRegression.py
icRollingRegression.py
kalmanFilter.py
ecKalmanFilter.py
icKalmanFilter.py
Constrained Flexible Least Squares

To Do:
Kalman Smoother
Flexible Least Squares
Maximum Liklihood Method for *Kalman*.py method
Unit Testing Suite
Statistical Functions for TimeSeriesFrame and DataFrame
Cython compiled libregression

Please feel free to drop a comment, forward this project and contribute!!

Contact: Wing H. Sit (wing1127aishi@gmail.com)
Something about me: A mathematically oriented person who wants to learn coding, finance, and software development.