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