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
pip install systemic_risk
or
pip install -U systemic_risk
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()
from systemic_risk import BrownianBridgeSim as bbs
simulated_data = bbs.BrownianBridgeSim(close).simulate()
print(simulated_data.shape)
Flynn Chen Daniel Rodriguez Sony Wicaksono Doris Schioberg Devon Cross William Casey King
This project is licensed under the MIT License - see the LICENSE file for details
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A package for calculating systemic risk in the market
We found that systemic-risk 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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