Merge branch 'master' of gitlab.matrics.vpc:eric/regimes

README

@@ -18,3 +18,53 @@ usage= graph.py -w [clusters | regimes| ticker ] -i file
 produce graph of regimes/cluster or time series. If time series, -i <ticker> 
 <file> otherwise is a plk file (default : regimes.plk, clusters.plk)
 
+Environment
+
+Use Python 3.6
+pip3 install scikit-learn
+pip3 install pandas
+pip3 install matplotlib
+pip3 install dill
+pip3 install tabulate
+
+Execution
+
+run distrib.py
+
+in regimes.ini:
+
+scav --> aggrege les données dans scavfactors.csv
+    --> by month and field  --> United States,Value,Volatility,Aerospace & Defense
+
+RFreturns.csv daily log return of world wide factors: Date,EqLaSmAUS,EqLaSmEUR,EqLaSmGBR,
+EqLaSmJPN,EqLaSmUSA,EqSmUSA,ComMe,ComMeCop,ComMeNic,ComAgCof,ComAgCor,ComEnOil,ComAgCat,
+ComMeGol,ComAgSug,EqSeOilUSA,ComAgHog,ComAgWhe,ComAgSoy,FICreHyUSA,CurARS,CurCHF,CurEUR,
+CurGBP,CurJPY,CurKRW,CurMYR,CurNOK,CurNZD,CurPLN,CurRUB,CurSGD,CurTHB,CurTWD,CurZAR,EqARG,
+EqAUS,EqBRA,EqCAN,EqCHE,EqCHL,EqCHN,EqEMA,EqEME,EqEUO,EqEUR,EqGBR,EqIND,EqJPN,EqKOR,EqLKA,
+EqMYS,EqNAM,EqNOR,EqNZL,EqPLN,EqRUS,EqSCA,EqSGP,EqSWE,EqTHA,EqTWN,EqUSA,EqWLD,EqSeDisEUR,
+EqSeDisUSA,EqSeEneEUR,EqSeEneUSA,EqSeFinEUR,EqSeFinUSA,EqSeHeaEUR,EqSeHeaUSA,EqSeIndEUR,
+EqSeIndUSA,EqSeITeEUR,EqSeITeUSA,EqSeMatEUR,EqSeMatUSA,EqSeStaEUR,EqSeStaUSA,EqSeTelEUR,
+EqSeTelUSA,EqSeUtiEUR,EqSeUtiUSA,EqGrEUR,EqGrUSA,EqGrVaEUR,EqGrVaUSA,EqVaEUR,EqVaUSA,FICrHAAAUSA,
+FICrHBAAUSA,FIG3MUSA,FIG10YUSA,FICreAAAUSA,FICreBAAUSA,FISwp10yCHF,FISwp10yEUR,FISwp10yGBP,
+FISwp10yJPY,FISwp10ySEK,FISwp10yUSD,FISwp1yCHF,FISwp1yEUR,FISwp1yGBP,FISwp1yJPY,FISwp5ySEK,
+FISwp1yUSD,FISwp3mCHF,FISwp3mEUR,FISwp3mGBP,FISwp3mJPY,FISwp3mSEK,FISwp3mUSD,FISlp1y10yCHF,
+FISlp3m1yCHF,FISlp1y10yEUR,FISlp3m1yEUR,FISlp1y10yGBP,FISlp3m1yGBP,FISlp1y10yJPY,FISlp3m1yJPY,
+FISlp5y10ySEK,FISlp3m5ySEK,FISlp1y10yUSD,FISlp3m1yUSD
+
+Uses the fields provided in those and treat them as fundamental factors to do the clustering. Creates
+a list of distributions and computes sliding covariances of sides 60 days every 20 days and puts
+this into mastercovlist  --> FACTOR ARE DICTATED BY RAPHAEL/ERIC
+
+Launched using distrib.py
+
+Clusters --> N number of clusters we would like
+affinity --> algo for cluster determination --> k-mean, radial ...
+eigen_solver --> math library to compute eigen values of the cluster
+
+Results sensitive to those parameters
+
+-->
+
+
+
+

distribs.py

-#!/usr/bin/python3  -O
+#!/usr/local/bin/python3  -O
 from utils import ProgressBar
 from config_manager import ConfigReader
 import pandas