A package for calculating systemic risk in the market
Project description
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()
Authors
Flynn Chen (flynn dot chen AT yale dot edu)
License
This project is licensed under the MIT License - see the LICENSE file for details
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
Built Distribution
Filter files by name, interpreter, ABI, and platform.
If you're not sure about the file name format, learn more about wheel file names.
Copy a direct link to the current filters
File details
Details for the file systemic_risk-0.0.4.tar.gz.
File metadata
- Download URL: systemic_risk-0.0.4.tar.gz
- Upload date:
- Size: 4.3 kB
- Tags: Source
- Uploaded using 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
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 |
d0508a1be328c5e58fd18568e6613e82de31e5d21042d6936701d0befc4b7564
|
|
| MD5 |
f851f47994d722c19e879c510b6196f3
|
|
| BLAKE2b-256 |
6ee726fba508efa3dcfe2483ea351cb734d8e0a1bde63b14c486a953fb7d6e35
|
File details
Details for the file systemic_risk-0.0.4-py3-none-any.whl.
File metadata
- Download URL: systemic_risk-0.0.4-py3-none-any.whl
- Upload date:
- Size: 4.8 kB
- Tags: Python 3
- Uploaded using 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
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 |
50f52a28ac067ad0633729542606fc3a4730848104553b27fe08f54445a7c2b5
|
|
| MD5 |
8658b4fe9c4f3ebd13b558911a6a4a96
|
|
| BLAKE2b-256 |
46dc49edebe320edbb00724acbde2b703fd4fab42553f9878eaa255f65c31d92
|
