ACF 633 - Python Programming for Data Analysis

Assignment Task

1. Executed on the same exchange, and  of the same buy/sell indicator, into a single transaction with the median transaction price, median ask price, median bid price, sum transaction size, sum ask size and sum bid size Remove entries for which the bid-ask spread is more that times the median bid-ask spread on each day Remove entries with the transaction price that is either above the ask price plus the bid-ask spread, or below the bid price minus the bid-ask spread

2. Write code to produce one-step analytic forecasts, together with confidence interval, for the returns and conditional volatility of each stock using respective best-fitted GJR-model found in For each stock, the forecast output is a data frame with columns  and fu, and volf corresponding to the one-step return forecasts, CI lower bounds and upper bounds for return forecasts, and one-step conditional volatility forecasts.

3. These marks will go to programs that are well structured, intuitive to use (i.e. provide sufficient comments for me to follow and are straightforward for me to run your code), generalisable they can be applied to different sets of stocks and elegant.

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