Metadata-Version: 2.1
Name: multi-time-series-connectedness
Version: 0.1.4
Summary: 
License: MIT
Author: Victor Chen
Author-email: victor.yccchen1@gmail.com
Requires-Python: >=3.10
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.10
Classifier: Programming Language :: Python :: 3.11
Classifier: Programming Language :: Python :: 3.12
Requires-Dist: coverage (==7.6.1)
Requires-Dist: pandas (==2.2.3)
Requires-Dist: scikit-learn (==1.5.2)
Project-URL: repository, https://github.com/YCChenVictor/multi_time_series_connectedness
Description-Content-Type: text/markdown

## Project title
Multi Time Series Connectedness

## Motivation
This project is motivated by Financial and Macroeconomics Connectedness created by Diebold and Ylimaz. I want to use this algorithm not only in finance and macroeconomics area but other area, so I start to build this project.

## Installation
```
python3 -m venv venv
source venv/bin/activate
pip3 install -r requirements.txt
```

## Feature & Example Code
* calculate volatility
  ```
  python3 volatilities.py --path docs/market_prices --start_at 2024-09-06T00:00:00+01:00 --end_at 2024-09-06T22:27:00+01:00
  ```
* calculate connectedness of all volatility
  ```
  python3 conn.py
  ```
* calculate rolling connectedness
  ```
  python3 rolling_connectedness.py
  ```

## How to use?
* Put a folder with multiple Panel data into docs folder
* Run the commands in feature section

## Credits
http://financialconnectedness.org/

## License
MIT License
