advanced-algorithmic-trading

67
Figure 6.5: Overlay of samples from the stochastic volatility model with the actual AMZN returns
This concludes the part of the book on Bayesian Statistics. The material provided here will
be used heavily in subsequent chapters on Time Series Analysis and Machine Learning, as many
of these models utilise Bayesian techniques within their derivation.
6.4 Full Code
# pymc3_bayes_stochastic_vol.py
import datetime
import pprint
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import pandas_datareader as pdr
import pymc3 as pm
from pymc3.distributions.timeseries import GaussianRandomWalk
import seaborn as sns
def obtain_plot_amazon_prices_dataframe(start_date, end_date):