sigmet 0.9.0

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

sigmet

Installation

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

Example

First we instantiate an AU3 object

from sigmet import Sigmet

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

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

Contribute

• Issue Tracker: https://github.com/agupta01/sigmet/issues
• Source Code: https://github.com/agupta01/sigmet

License

The project is licensed under the GNU General Public License.