systemic_risk
Estimate systematic liquidity in the market using only close and volume data: https://www.financialresearch.gov/working-papers/files/OFRwp-2015-11_Systemwide-Commonalities-in-Market-Liquidity.pdf
Getting Started
Dependencies
- See requirement.txt
Installation
pip install systemic_risk
or
pip install -U systemic_risk
Example
import yfinance as yf
from systemic_risk import Liquidity as lq
yf_df = yf.download('SPY, ^FTSE, ^N225', start='2003-01-01', end='2022-01-01')
close, volume = yf_df["Close"].to_numpy(), yf_df["Volume"].to_numpy()
obj = lq.Liquidity(close, volume)
obj.fit_transform()
from systemic_risk import BrownianBridgeSim as bbs
simulated_data = bbs.BrownianBridgeSim(close).simulate()
print(simulated_data.shape)
Authors
Flynn Chen Daniel Rodriguez Sony Wicaksono Doris Schioberg Devon Cross William Casey King
License
This project is licensed under the MIT License - see the LICENSE file for details
1 maintainer
Release files for systemic-risk 0.0.10
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Source distribution (sdist)
| File | Size | Uploaded | |
|---|---|---|---|
| systemic_risk-0.0.10.tar.gz | 5.8 kB | Details |
Built distribution (wheel)
| File | Interpreter | ABI | Platform | Reset |
|---|---|---|---|---|
| systemic_risk-0.0.10-py3-none-any.whl | Python 3 | none | any | Details |
Total release size: 13.5 kB
Release files / systemic_risk-0.0.10.tar.gz
| Download URL | systemic_risk-0.0.10.tar.gz |
|---|---|
| Size | 5.8 kB |
| Tags | Source |
|
SHA-256 checksum How to use checksums |
b56ee7442fdfead8515381e057570b7bec2e7bf195ffc6f09a7120b9093b56c8
|
|
BLAKE2b-256 checksum How to use checksums |
da9f379713a18649dd4745728cad1880af41179a40bcbc01138e4df8de9f8326
|
| Upload date | |
|
Uploaded using Trusted Publishing? What is trusted publishing? |
No |
| Uploaded via |
twine/3.7.1 importlib_metadata/4.10.1 pkginfo/1.8.2 requests/2.27.1 requests-toolbelt/0.9.1 tqdm/4.62.3 CPython/3.8.12
|
Release files / systemic_risk-0.0.10-py3-none-any.whl
| Download URL | systemic_risk-0.0.10-py3-none-any.whl |
|---|---|
| Size | 7.7 kB |
| Tags | Python 3 |
|
SHA-256 checksum How to use checksums |
c9e72a803a23e2a282ccd4c6c1d79ddcabe9f50bb9a1246a9aa0677ed3a828e0
|
|
BLAKE2b-256 checksum How to use checksums |
a70f8343298cec9a706728921e3d7bdc8318a1750bb52c6c4abda0daf66da3ba
|
| Upload date | |
|
Uploaded using Trusted Publishing? What is trusted publishing? |
No |
| Uploaded via |
twine/3.7.1 importlib_metadata/4.10.1 pkginfo/1.8.2 requests/2.27.1 requests-toolbelt/0.9.1 tqdm/4.62.3 CPython/3.8.12
|
