multi-time-series-connectedness
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Multi Time Series Connectedness
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.
python3 -m venv venv
source venv/bin/activate
pip3 install -r requirements.txt
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
python3 conn.py
python3 rolling_connectedness.py
http://financialconnectedness.org/
MIT License
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We found that multi-time-series-connectedness demonstrated a healthy version release cadence and project activity because the last version was released less than a year ago. It has 1 open source maintainer collaborating on the project.
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