finance_risk.cross_asset¶

Classes¶

!!! abstract "Usage Documentation"

`rolling_correlation`(→ numpy.ndarray)	Rolling Pearson correlation with leading `nan` values before the first full window.
`cointegration_spread`(→ CointegrationSpread)	OLS hedge ratio and demeaned residual spread for a two-asset pair.
`transfer_entropy`(→ float)	Discrete transfer entropy `source[t-lag] -> target[t]` in nats.

class finance_risk.cross_asset.CointegrationSpread(/, **data: Any)[source]¶

Bases: pydantic.BaseModel

A base class for creating Pydantic models.

__private_attributes__¶: Metadata about the private attributes of the model.

__signature__¶: The synthesized __init__ [Signature][inspect.Signature] of the model.

__pydantic_complete__¶: Whether model building is completed, or if there are still undefined fields.

__pydantic_custom_init__¶: Whether the model has a custom __init__ function.

__pydantic_decorators__¶: Metadata containing the decorators defined on the model. This replaces Model.__validators__ and Model.__root_validators__ from Pydantic V1.

__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.

__pydantic_parent_namespace__¶: Parent namespace of the model, used for automatic rebuilding of models.

__pydantic_post_init__¶: The name of the post-init method for the model, if defined.

__pydantic_root_model__¶: Whether the model is a [RootModel][pydantic.root_model.RootModel].

__pydantic_serializer__¶: The pydantic-core SchemaSerializer used to dump instances of the model.

__pydantic_validator__¶: The pydantic-core SchemaValidator used to validate instances of the model.

__pydantic_fields__¶: A dictionary of field names and their corresponding [FieldInfo][pydantic.fields.FieldInfo] objects.

__pydantic_computed_fields__¶: A dictionary of computed field names and their corresponding [ComputedFieldInfo][pydantic.fields.ComputedFieldInfo] objects.

__pydantic_extra__¶: A dictionary containing extra values, if [extra][pydantic.config.ConfigDict.extra] is set to ‘allow’.

__pydantic_fields_set__¶: The names of fields explicitly set during instantiation.

__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.

model_config¶: Configuration for the model, should be a dictionary conforming to [ConfigDict][pydantic.config.ConfigDict].

finance_risk.cross_asset.rolling_correlation(x: Any, y: Any, *, window: int) → numpy.ndarray[source]¶: Rolling Pearson correlation with leading nan values before the first full window.

finance_risk.cross_asset.cointegration_spread(y: Any, x: Any) → CointegrationSpread[source]¶: OLS hedge ratio and demeaned residual spread for a two-asset pair.

finance_risk.cross_asset.transfer_entropy(source: Any, target: Any, *, bins: int = 3, lag: int = 1) → float[source]¶: Discrete transfer entropy source[t-lag] -> target[t] in nats.