fincontagion 0.2.0

Readable financial contagion library from market data to portfolio analytics

fincontagion

fincontagion is a Python library for financial contagion analysis, from market data preparation to network-aware portfolio analytics.

It provides:

• price download and cleaning utilities
• infection-state construction using volatility and SIR-like states
• tail-dependence estimation and multiplex network construction
• crisis-window parameter estimation and Monte Carlo simulation
• contagion-aware portfolio rebalancing and performance summaries
• optional Plotly visualizations

Installation

Install the core package:

pip install fincontagion

Install with optional extras:

pip install "fincontagion[full]"

• full includes: networkx, cvxpy, plotly
• dev includes: pytest

Quick Start

import fincontagion as fc

universe = {
    "AAPL": {"region": "USA", "sector": "Technology"},
    "MSFT": {"region": "USA", "sector": "Technology"},
    "JPM": {"region": "USA", "sector": "Finance"},
}

config = fc.PipelineConfig(
    tickers=list(universe.keys()),
    start="2020-01-01",
    end="2024-12-31",
    crises={"COVID_2020": ("2020-02-20", "2020-05-31")},
    universe=universe,
)

result = fc.run_full_pipeline(config)
print(result["portfolio"]["summary"])

Main API

• run_full_pipeline, PipelineConfig
• prepare_market_data, prices_to_log_returns
• compute_infection_states
• compute_tail_dependence
• build_network_layers
• estimate_parameters, simulate_sir, predict_crises
• rebalance_portfolio

Visualization helpers:

• plot_infection_timeline
• plot_region_infection_heatmap
• plot_sector_infection_breakdown
• plot_tail_dependence_heatmap
• plot_firm_network
• plot_portfolio_performance
• plot_portfolio_weights

Development

Run tests:

pytest -q

License

MIT License.