finance_risk ============ .. py:module:: finance_risk Submodules ---------- .. toctree:: :maxdepth: 1 /autoapi/finance_risk/characteristics/index /autoapi/finance_risk/covariance/index /autoapi/finance_risk/cross_asset/index /autoapi/finance_risk/execution/index /autoapi/finance_risk/factor/index /autoapi/finance_risk/finance_risk/index Classes ------- .. autoapisummary:: finance_risk.CharacteristicFactorModel finance_risk.CovarianceEstimate finance_risk.CointegrationSpread finance_risk.ExecutionTrajectory finance_risk.MarketImpactEstimate finance_risk.FactorRiskDecomposition Functions --------- .. autoapisummary:: finance_risk.clean_characteristics finance_risk.fit_characteristic_factor_model finance_risk.correlation_to_covariance finance_risk.covariance_to_correlation finance_risk.ledoit_wolf_covariance finance_risk.nearest_positive_semidefinite finance_risk.oas_covariance finance_risk.sample_covariance finance_risk.cointegration_spread finance_risk.rolling_correlation finance_risk.transfer_entropy finance_risk.almgren_chriss_market_impact finance_risk.optimal_execution_trajectory finance_risk.twap_schedule finance_risk.vwap_schedule finance_risk.factor_risk_decomposition Package Contents ---------------- .. py:class:: CharacteristicFactorModel(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: factor_returns :type: tuple[float, ...] .. py:attribute:: residual_variance :type: tuple[float, ...] .. py:function:: clean_characteristics(values: Any, *, winsor_z: float = 3.0) -> numpy.ndarray Winsorize and z-score characteristic matrix column-wise. .. py:function:: fit_characteristic_factor_model(returns: Any, characteristics: Any, *, ridge: float = 1e-06) -> CharacteristicFactorModel Fit cross-sectional returns on cleaned characteristics. .. py:class:: CovarianceEstimate(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: matrix :type: numpy.ndarray .. py:attribute:: assets :type: tuple[str, ...] .. py:attribute:: method :type: str .. py:attribute:: frequency :type: int :value: 252 .. py:attribute:: shrinkage :type: float | None :value: None .. py:function:: correlation_to_covariance(correlation: Any, volatility: Any) -> numpy.ndarray .. py:function:: covariance_to_correlation(covariance: Any) -> numpy.ndarray .. py:function:: ledoit_wolf_covariance(data: Any, *, assets: collections.abc.Sequence[str] | None = None, frequency: int = 252) -> CovarianceEstimate Ledoit-Wolf constant-variance shrinkage covariance estimate. .. py:function:: nearest_positive_semidefinite(matrix: Any, *, epsilon: float = 0.0) -> numpy.ndarray Project a symmetric matrix onto the positive-semidefinite cone. .. py:function:: oas_covariance(data: Any, *, assets: collections.abc.Sequence[str] | None = None, frequency: int = 252) -> CovarianceEstimate Oracle Approximating Shrinkage covariance estimate. .. py:function:: sample_covariance(data: Any, *, assets: collections.abc.Sequence[str] | None = None, frequency: int = 252) -> CovarianceEstimate Sample covariance of asset returns, annualized by ``frequency``. .. py:class:: CointegrationSpread(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: hedge_ratio :type: float .. py:attribute:: intercept :type: float .. py:attribute:: spread :type: numpy.ndarray .. py:function:: cointegration_spread(y: Any, x: Any) -> CointegrationSpread OLS hedge ratio and demeaned residual spread for a two-asset pair. .. py:function:: rolling_correlation(x: Any, y: Any, *, window: int) -> numpy.ndarray Rolling Pearson correlation with leading ``nan`` values before the first full window. .. py:function:: transfer_entropy(source: Any, target: Any, *, bins: int = 3, lag: int = 1) -> float Discrete transfer entropy ``source[t-lag] -> target[t]`` in nats. .. py:class:: ExecutionTrajectory(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: remaining :type: numpy.ndarray .. py:attribute:: trades :type: numpy.ndarray .. py:class:: MarketImpactEstimate(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: spread_cost :type: float .. py:attribute:: temporary_impact :type: float .. py:attribute:: permanent_impact :type: float .. py:attribute:: total_cost :type: float .. py:function:: almgren_chriss_market_impact(*, quantity: float, volatility: float, daily_volume: float, spread: float = 0.0, temporary_impact: float = 0.1, permanent_impact: float = 0.1) -> MarketImpactEstimate Simple Almgren-Chriss style spread, temporary, and permanent cost estimate. .. py:function:: optimal_execution_trajectory(*, total_quantity: float, periods: int, risk_aversion: float = 1.0) -> ExecutionTrajectory Monotone liquidation trajectory with risk-aversion controlled front-loading. .. py:function:: twap_schedule(*, total_quantity: float, periods: int) -> numpy.ndarray .. py:function:: vwap_schedule(*, total_quantity: float, volume_curve: Any) -> numpy.ndarray .. py:class:: FactorRiskDecomposition(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: total_variance :type: float .. py:attribute:: systematic_variance :type: float .. py:attribute:: specific_variance :type: float .. py:attribute:: factor_contributions :type: dict[str, float] .. py:function:: factor_risk_decomposition(weights: Any, factor_loadings: Any, factor_covariance: Any, specific_variance: Any, *, factors: collections.abc.Sequence[str] | None = None) -> FactorRiskDecomposition Decompose portfolio variance into systematic factor and specific risk.