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Eric Dagobert
regimes
Commits
832b465b
Commit
832b465b
authored
Jan 07, 2019
by
Jean Safar
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added to README and removed plk files which should be
generated
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f7e35199
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README
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832b465b
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@@ -18,3 +18,43 @@ 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
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
Launched using distrib.py
mastercovlist.plk
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