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 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
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