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A Python package to find and measure negative price shocks in financial time-series data

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Sigmet (Signal Metrics Toolkit) is an end-to-end solution for the detection and measurement of negative shocks in time series data.

Sigmet requires the following packages:

  • Pandas: primary data format for easy data manipulation and datetime functionality
  • Numpy: for computation
  • Statsmodels: AU3 uses statsmodel’s ARIMA and SARIMAX models for prediction
  • Matplotlib: plotting for .graph() method

To install, run the following on the command line

pip install sigmet


First we instantiate an AU3 object

from sigmet import Sigmet

data = pd.read_csv('time-series.csv')
ex = Sigmet(start, end, data), window_end)

# graph the result as follows
import matplotlib.pyplot as plt
fig, ax = plt.subplots()
ax = ex.graph()



The project is licensed under the GNU General Public License.

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