RiskLabAI 0.0.78__tar.gz → 0.0.80__tar.gz

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Files changed (109) hide show
  1. {risklabai-0.0.78 → risklabai-0.0.80}/PKG-INFO +1 -1
  2. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/__init__.py +1 -1
  3. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/denoise/denoising.py +3 -1
  4. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/pde/solver.py +2 -1
  5. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI.egg-info/PKG-INFO +1 -1
  6. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI.egg-info/SOURCES.txt +4 -5
  7. {risklabai-0.0.78 → risklabai-0.0.80}/setup.cfg +1 -1
  8. risklabai-0.0.78/RiskLabAI/modeling/__init__.py +0 -1
  9. {risklabai-0.0.78 → risklabai-0.0.80}/LICENSE +0 -0
  10. {risklabai-0.0.78 → risklabai-0.0.80}/README.md +0 -0
  11. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/__init__.py +0 -0
  12. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/backtest_statistics.py +0 -0
  13. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/backtest_synthetic_data.py +0 -0
  14. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/backtset_overfitting_in_the_machine_learning_era_simulation.py +0 -0
  15. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/bet_sizing.py +0 -0
  16. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/probabilistic_sharpe_ratio.py +0 -0
  17. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/probability_of_backtest_overfitting.py +0 -0
  18. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/strategy_risk.py +0 -0
  19. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/test_set_overfitting.py +0 -0
  20. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/validation/__init__.py +0 -0
  21. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/validation/combinatorial_purged.py +0 -0
  22. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/validation/cross_validator_controller.py +0 -0
  23. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/validation/cross_validator_factory.py +0 -0
  24. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/validation/cross_validator_interface.py +0 -0
  25. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/validation/kfold.py +0 -0
  26. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/validation/purged_kfold.py +0 -0
  27. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/backtest/validation/walk_forward.py +0 -0
  28. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/cluster/__init__.py +0 -0
  29. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/cluster/clustering.py +0 -0
  30. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/controller/__init__.py +0 -0
  31. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/controller/bars_initializer.py +0 -0
  32. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/controller/data_structure_controller.py +0 -0
  33. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/__init__.py +0 -0
  34. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/denoise/__init__.py +0 -0
  35. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/differentiation/__init__.py +0 -0
  36. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/differentiation/differentiation.py +0 -0
  37. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/distance/__init__.py +0 -0
  38. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/distance/distance_metric.py +0 -0
  39. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/labeling/__init__.py +0 -0
  40. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/labeling/financial_labels.py +0 -0
  41. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/labeling/labeling.py +0 -0
  42. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/__init__.py +0 -0
  43. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/abstract_bars.py +0 -0
  44. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/abstract_imbalance_bars.py +0 -0
  45. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/abstract_information_driven_bars.py +0 -0
  46. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/abstract_run_bars.py +0 -0
  47. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/data_structures_lopez.py +0 -0
  48. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/filtering_lopez.py +0 -0
  49. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/hedging.py +0 -0
  50. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/imbalance_bars.py +0 -0
  51. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/infomation_driven_bars.py +0 -0
  52. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/run_bars.py +0 -0
  53. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/standard_bars.py +0 -0
  54. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/standard_bars_lopez.py +0 -0
  55. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/time_bars.py +0 -0
  56. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/structures/utilities_lopez.py +0 -0
  57. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/synthetic_data/__init__.py +0 -0
  58. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/synthetic_data/drift_burst_hypothesis.py +0 -0
  59. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/synthetic_data/synthetic_controlled_environment.py +0 -0
  60. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/weights/__init__.py +0 -0
  61. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/weights/sample_weights.py +0 -0
  62. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/ensemble/__init__.py +0 -0
  63. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/ensemble/bagging_classifier_accuracy.py +0 -0
  64. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/__init__.py +0 -0
  65. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/entropy_features/__init__.py +0 -0
  66. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/entropy_features/entropy.py +0 -0
  67. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/entropy_features/kontoyiannis.py +0 -0
  68. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/entropy_features/lempel_ziv.py +0 -0
  69. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/entropy_features/plug_in.py +0 -0
  70. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/entropy_features/pmf.py +0 -0
  71. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/entropy_features/shannon.py +0 -0
  72. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/__init__.py +0 -0
  73. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/clustered_feature_importance_mda.py +0 -0
  74. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/clustered_feature_importance_mdi.py +0 -0
  75. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/clustering.py +0 -0
  76. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/feature_importance_controller.py +0 -0
  77. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/feature_importance_factory.py +0 -0
  78. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/feature_importance_mda.py +0 -0
  79. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/feature_importance_mdi.py +0 -0
  80. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/feature_importance_sfi.py +0 -0
  81. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/feature_importance_strategy.py +0 -0
  82. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/generate_synthetic_data.py +0 -0
  83. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/orthogonal_features.py +0 -0
  84. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/feature_importance/weighted_tau.py +0 -0
  85. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/microstructural_features/__init__.py +0 -0
  86. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/microstructural_features/bekker_parkinson_volatility_estimator.py +0 -0
  87. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/microstructural_features/corwin_schultz.py +0 -0
  88. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/structural_breaks/__init__.py +0 -0
  89. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/features/structural_breaks/structural_breaks.py +0 -0
  90. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/hpc/__init__.py +0 -0
  91. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/hpc/hpc.py +0 -0
  92. {risklabai-0.0.78/RiskLabAI/modeling → risklabai-0.0.80/RiskLabAI}/optimization/__init__.py +0 -0
  93. {risklabai-0.0.78/RiskLabAI/modeling → risklabai-0.0.80/RiskLabAI}/optimization/hrp.py +0 -0
  94. {risklabai-0.0.78/RiskLabAI/modeling → risklabai-0.0.80/RiskLabAI}/optimization/hyper_parameter_tuning.py +0 -0
  95. {risklabai-0.0.78/RiskLabAI/modeling → risklabai-0.0.80/RiskLabAI}/optimization/nco.py +0 -0
  96. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/pde/__init__.py +0 -0
  97. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/pde/equation.py +0 -0
  98. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/pde/model.py +0 -0
  99. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/utils/__init__.py +0 -0
  100. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/utils/constants.py +0 -0
  101. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/utils/ewma.py +0 -0
  102. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/utils/momentum_mean_reverting_strategy_sides.py +0 -0
  103. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/utils/progress.py +0 -0
  104. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/utils/smoothing_average.py +0 -0
  105. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI.egg-info/dependency_links.txt +0 -0
  106. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI.egg-info/entry_points.txt +0 -0
  107. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI.egg-info/requires.txt +0 -0
  108. {risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI.egg-info/top_level.txt +0 -0
  109. {risklabai-0.0.78 → risklabai-0.0.80}/pyproject.toml +0 -0
{risklabai-0.0.78 → risklabai-0.0.80}/PKG-INFO RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.1
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  Name: RiskLabAI
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- Version: 0.0.78
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+ Version: 0.0.80
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  Summary: Financial AI using Python.
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  Home-page: https://github.com/RiskLabAI/RiskLabAI.py
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  Author: RiskLab
{risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/__init__.py RENAMED
@@ -7,6 +7,6 @@ from . import controller
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  from . import ensemble
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  from . import features
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  from . import hpc
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- from . import modeling
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  from . import pde
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  from . import utils
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+ from . import optimization
{risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/data/denoise/denoising.py RENAMED
@@ -1,6 +1,7 @@
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  import pandas as pd
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  import numpy as np
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  from scipy.linalg import block_diag
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+ from scipy.optimize import minimize
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  from sklearn.covariance import LedoitWolf
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  from sklearn.neighbors._kde import KernelDensity
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  from typing import Tuple, Union, Optional
@@ -339,7 +340,8 @@ def denoise_cov(
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  """
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  corr0 = cov_to_corr(cov0)
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  eval0, evec0 = np.linalg.eigh(corr0)
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- emax0, var0 = find_max_eval(np.diag(eval0), q, bandwidth)
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+ eval0 = np.diag(eval0)
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+ emax0, var0 = find_max_eval(eval0, q, bandwidth)
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  n_facts0 = eval0.shape[0] - np.diag(eval0)[::-1].searchsorted(emax0)
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  corr1 = denoised_corr(eval0, evec0, n_facts0)
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  cov1 = corr_to_cov(corr1, np.diag(cov0)**0.5)
{risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI/pde/solver.py RENAMED
@@ -3,7 +3,8 @@ import torch.nn as nn
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  import torch.autograd as autograd
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  import numpy as np
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-
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+ from RiskLabAI.pde.model import *
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+ from RiskLabAI.pde.equation import *
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  def initialize_weights(m: nn.Module) -> None:
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  """
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  Initializes the weights of the given module.
{risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI.egg-info/PKG-INFO RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.1
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  Name: RiskLabAI
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- Version: 0.0.78
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+ Version: 0.0.80
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  Summary: Financial AI using Python.
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  Home-page: https://github.com/RiskLabAI/RiskLabAI.py
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  Author: RiskLab
{risklabai-0.0.78 → risklabai-0.0.80}/RiskLabAI.egg-info/SOURCES.txt RENAMED
@@ -91,11 +91,10 @@ RiskLabAI/features/structural_breaks/__init__.py
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  RiskLabAI/features/structural_breaks/structural_breaks.py
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  RiskLabAI/hpc/__init__.py
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  RiskLabAI/hpc/hpc.py
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- RiskLabAI/modeling/__init__.py
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- RiskLabAI/modeling/optimization/__init__.py
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- RiskLabAI/modeling/optimization/hrp.py
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- RiskLabAI/modeling/optimization/hyper_parameter_tuning.py
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- RiskLabAI/modeling/optimization/nco.py
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+ RiskLabAI/optimization/__init__.py
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+ RiskLabAI/optimization/hrp.py
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+ RiskLabAI/optimization/hyper_parameter_tuning.py
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+ RiskLabAI/optimization/nco.py
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  RiskLabAI/pde/__init__.py
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  RiskLabAI/pde/equation.py
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  RiskLabAI/pde/model.py
{risklabai-0.0.78 → risklabai-0.0.80}/setup.cfg RENAMED
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  [metadata]
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  name = RiskLabAI
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- version = 0.0.78
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+ version = 0.0.80
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  author = RiskLab
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  author_email = arian@risklab.ai
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  description = Financial AI using Python.
risklabai-0.0.78/RiskLabAI/modeling/__init__.py DELETED
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- from . import optimization
{risklabai-0.0.78 → risklabai-0.0.80}/LICENSE RENAMED
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{risklabai-0.0.78 → risklabai-0.0.80}/README.md RENAMED
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{risklabai-0.0.78 → risklabai-0.0.80}/pyproject.toml RENAMED
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