multi-time-series-connectedness

Name	multi-time-series-connectedness JSON
Version	0.2.1 JSON
	download
home_page	None
Summary	None
upload_time	2024-10-31 07:15:07
maintainer	None
docs_url	None
author	Victor Chen
requires_python	>=3.10
license	MIT
keywords
VCS
bugtrack_url
requirements	No requirements were recorded.
Travis-CI	No Travis.
coveralls test coverage	No coveralls.

            ## Project title
Multi Time Series Connectedness

## Motivation
This project is motivated by Financial and Macroeconomics Connectedness created by Diebold and Ylimaz. I want to use this algorithm not only in finance and macroeconomics area but other area, so I start to build this project.

## Installation
```
python3 -m venv venv
source venv/bin/activate
pip3 install -r requirements.txt
```

## Feature & Example Code
* calculate volatility
  ```
  python3 volatilities.py --path docs/market_prices --start_at 2024-09-06T00:00:00+01:00 --end_at 2024-09-06T22:27:00+01:00
  ```
* calculate connectedness of all volatility
  ```
  python3 conn.py
  ```
* calculate rolling connectedness
  ```
  python3 rolling_connectedness.py
  ```

## How to use?
* Put a folder with multiple Panel data into docs folder
* Run the commands in feature section

## Credits
http://financialconnectedness.org/

## License
MIT License
            

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