Design and implementation of new time series object for financial data in python

• Main Author: Hardian Setiawan Winata.
• Other Authors: Lim Meng Hiot
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems
• Online Access: http://hdl.handle.net/10356/18193
• Institution: Nanyang Technological University

The main purpose of this project is to create a new time series object in Python software by considering date and time object. This project takes inspiration from date and time object (timeDate class) and time series object (timeSeries class) which have been implemented on Rmetrics software. A date and time object in R has been stable because it could solve the following issues about time zones conversion, DST rules (Day light Saving Time) and holidays around the countries. A time series object in R has a lot of mathematic operations and functions which are very useful on processing the financial data. Before starting this project, some analyses had to be done on performance of both Python and Rmetrics (benchmarking) and some existing modules from Python related to this project. After performing these analyses, it was decided that date and time object would be developed from existing module in Python which called datetime.datetime by inheritance method while time series object would be developed using existing module called Numpy which emphasize on “array” object for storing financial data. This report explains the implemented date and time object and time series object in Python which consist of three main class objects: DateTime, TimeDelta and TimeSeries. TimeDelta class is used to perform addition and subtraction with DateTime class. This report also highlights the difference between them and the existing objects from Rmetrics. Other functions associated with these classes are called utility functions. These entire utility functions would not be explained in this report. This report explains some important and useful functions from them. The entire classes and functions list can be seen on this report.