ISE 529 Predictive Analytics Homework 3

ISE 529 Predictive Analytics Homework 3 Submit on Sep 19 by 4 p.m. PST
Companies that make up the S&P 500 stock index are grouped in sectors (see for example,
https://www.sofi.com/learn/content/sp-500-sectors ).
The file contituents.csv, on blackboard, has the name, ticker symbol, and sector of companies that
make up the S&P 500 stock index. Read this file into a pandas DataFrame called dfnames.
The file prices.csv has daily Adjusted Close prices of these stocks. Read this file into a pandas
DataFrame called dfprices. Then use dfprices.set_index(’Date’,inplace=True) to let the column Date be the index of dfprices.
For this homework the library pandas_datareader is not needed.
1. (10 pts) Report the number of companies in each sector. Display the name of all companies in
sector Telecommunication Services
For the following questions, collect a random sample of 6 companies using
df=dfnames.sample(n=6,random_state=12)
2. (10 pts) Display the names, symbols and Sectors of these 6 companies.
3. (10 pts) Plot their stock prices over time. Use the following steps.
• create a list with the companies symbols using
Symbol = df[’Symbol’]
list3 = list(Symbol)
• create a dataframe with the prices of these companies using
dfprices8 = dfprices[list3]
• make the plot placing the legend out of the plotting box. Use
dfprices8.plot(figsize = (12,6),grid = True)
plt.legend(bbox_to_anchor = (1,1));
4. (10 pts) Find the two most profitable stocks (those having the largest price increase) using
df6 = dfprices8.iloc[-1]/dfprices8.iloc[0]
df6.sort_values(ascending = False)
Report their names using
dfnames[(dfnames[’Symbol’] == ’AAA’)|(dfnames[’Symbol’] == ’BBB’)]
where AAA and BBB are the symbols of these companies.
5. (10 pts) Which stock was the least risky (with the smallest std deviation in net returns)? Use
net_returns = dfprices / dfprices.shift(1) – 1
net_returns8 = net_returns[list3]
net_returns8.std()
Report the company name, symbol, and sector using
dfnames[(dfnames[’Symbol’] == ’AAA’)]
where AAA is the symbol of this company.
6. (10 pts) Report the name, symbol, and sector of the most risky stock (the one with the largest std
deviation in net returns).
ISE 529 Predictive Analytics Homework 3 Submit on Sep 19 by 4 p.m. PST
7. (10 pts) Plot the cumulative gross returns of these six stocks over time. Use the following
gross_returns8 = net_returns8 + 1
cum_gross_returns8 = gross_returns8.cumprod()
cum_gross_returns8.plot(figsize=(12,6),grid=True)
Make sure the legend do not overlap the plot.
Would you say that this plot agrees with the answer of question 4? Why?
8. (10 pts) Display a dataframe showing the correlation matrix of these 6 stocks.
9. (10 pts) Report the names of the two companies with the smallest correlation. Make a scatterplot
of the net returns of these two companies.
10. (10 pts) Report the names of the two companies with the largest correlation. Make a scatterplot
of the net returns of these two companies.
Submit your report with your name and USC ID as a pdf file online (no screen captures).