Dr. Tucker Balch Associate Professor School of Interactive Computing Computational Investing, Part I 122: Digging Into the Data (Actual vs Adjusted Prices)

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Presentation transcript:

Dr. Tucker Balch Associate Professor School of Interactive Computing Computational Investing, Part I 122: Digging Into the Data (Actual vs Adjusted Prices) Find out how modern electronic markets work, why stock prices change in the ways they do, and how computation can help our understanding of them. Learn to build algorithms and visualizations to inform investing practice. School of Interactive Computing

 Actual: The actual closing price recorded by the exchange on the specific date in history.  Adjusted: A revised price that automatically accounts for “how much you would have made if you held the stock.” Actual versus Adjusted 2

Date,Open,High,Low,Close,Volume,Adj Close ,190.76,191.30,188.36,189.48, , ,191.75,192.00,189.50,190.07, , ,192.75,192.90,190.20,191.53, , … ,559.50,559.50,545.00,549.50,544000, ,570.50,570.50,559.00,560.00,363200, ,577.00,577.00,571.00,571.25,256000, ,572.00,577.00,572.00,577.00,288000, ,578.50,578.50,572.00,572.00,387200,2.53 Example Yahoo Data: IBM 3

4

5

Adjusting For Splits 6

Dividends: AGNC Example 7

Dividends: Actual Vs Adjusted 8

Example: Dividends 9

10

 Breaks in trading  Before stocks exist  After stocks exist Gaps In Data (NaN) 11

Example 12

Fill Forward or Fill Back? 13

Forward, Then Back 14

 Know what your data is!  When use adjusted?  When use actual?  Fill forward, then fill back  Dangers of filling Summary 15

Next: Data Sanity 16

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