Index

_ | A | C | E | F | H | I | L | M | N | O | P | R | S | T | V

_

A

almgren_chriss_market_impact() (in module finance_risk)
- (in module finance_risk.execution)
- (in module finance_risk.finance_risk)

assets (finance_risk.covariance.CovarianceEstimate attribute)
- (finance_risk.CovarianceEstimate attribute)

C

CharacteristicFactorModel (class in finance_risk)
- (class in finance_risk.characteristics)
clean_characteristics() (in module finance_risk)
- (in module finance_risk.characteristics)
cointegration_spread() (in module finance_risk)
- (in module finance_risk.cross_asset)
- (in module finance_risk.finance_risk)
CointegrationSpread (class in finance_risk)
- (class in finance_risk.cross_asset)

E

ExecutionTrajectory (class in finance_risk)
- (class in finance_risk.execution)

F

finance_risk.covariance
- module
finance_risk.cross_asset
- module
finance_risk.execution
- module
finance_risk.factor
- module
finance_risk.finance_risk
- module
fit_characteristic_factor_model() (in module finance_risk)
- (in module finance_risk.characteristics)
frequency (finance_risk.covariance.CovarianceEstimate attribute)
- (finance_risk.CovarianceEstimate attribute)

H

hedge_ratio (finance_risk.CointegrationSpread attribute)
- (finance_risk.cross_asset.CointegrationSpread attribute)

I

intercept (finance_risk.CointegrationSpread attribute)
- (finance_risk.cross_asset.CointegrationSpread attribute)

L

ledoit_wolf_covariance() (in module finance_risk)
- (in module finance_risk.covariance)

ledoit_wolf_covariance_matrix() (in module finance_risk.finance_risk)

M

module

N

nearest_positive_semidefinite() (in module finance_risk)
- (in module finance_risk.covariance)

O

optimal_execution_trajectory() (in module finance_risk)
- (in module finance_risk.execution)
- (in module finance_risk.finance_risk)

P

permanent_impact (finance_risk.execution.MarketImpactEstimate attribute)
- (finance_risk.MarketImpactEstimate attribute)

R

rolling_correlation() (in module finance_risk)
- (in module finance_risk.cross_asset)
- (in module finance_risk.finance_risk)

S

T

temporary_impact (finance_risk.execution.MarketImpactEstimate attribute)
- (finance_risk.MarketImpactEstimate attribute)
test_all
- module
test_all() (in module test_all)
test_characteristics
- module
test_clean_characteristics_standardizes_columns() (in module test_characteristics)
test_correlation_round_trip_and_nearest_psd() (in module test_covariance)
test_covariance
- module
test_cross_asset_correlation_cointegration_and_transfer_entropy() (in module test_cross_asset_execution)
test_cross_asset_execution
- module
test_execution_models_return_complete_schedules() (in module test_cross_asset_execution)
test_fit_characteristic_factor_model_smoke() (in module test_characteristics)
test_native_backend
- module

V

vwap_schedule() (in module finance_risk)
- (in module finance_risk.execution)
- (in module finance_risk.finance_risk)