evtpooling 0.2.1

evtpooling contains the framework needed to improve tail risk forecasts

evtpooling contains the framework needed to improve tail risk forecasts through robust data cleaning, transformation, and loss return calculations. It provides flexible ETL utilities for handling time series stock data, validating completeness, transforming data, and calculating daily and weekly loss returns.

The ETL pipeline is now fully implemented and production-ready. The project structure, linting, formatting, and pre-commit tooling have been modernized using pyproject.toml and pre-commit, replacing legacy configs such as setup.cfg, tox.ini, and .travis.yml. The codebase adheres to a unified standard via Ruff, Black, and Mypy integration.

Features

• Full ETL pipeline for financial time series data

• Data validation with dtype checking

• Missing data imputation by group means

• Categorical cleaning and fuzzy matching for string variables

• Daily percentage loss return calculations

• Weekly loss return calculations with anchor logic

• Visualization of VaR and tail index metrics

• Visualization of loss return distributions

• Common tail index testing

• Flexible pivoting to generate wide-format datasets for downstream modeling

• Clean architecture with separate transform and test modules

• Centralized configuration in pyproject.toml

• Pre-commit hooks for Ruff, Black, and formatting checks

• GitHub Actions-compatible setup

Installation

You can install the released version from PyPI using:

pip install evtpooling

Or install directly from the source (development version):

git clone https://github.com/JTKimQF/evtpooling.git
cd evtpooling
pip install -e .

Usage Example

Example ETL usage:

from evtpooling import (
    extract_file,
    transform_data,
    load_file,
    etl_pipeline
)

# filepath = 'path/to/your/data.csv'

clean_df = etl_pipeline(filepath)

For further details check out the testing_script.py file

Documentation

Full documentation and function reference is available inside the code base (src/evtpooling/etl/transform.py).

License

MIT License

Copyright (c) 2025 J.T. Kim

This package was created with Cookiecutter and the audreyr/cookiecutter-pypackage project template.