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This web app is a reimplementation of the paper [TDA of financial time series: Landscapes of crashes](https://arxiv.org/abs/1703.04385) using [gudhi](https://gudhi.inria.fr).

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GUDHI/tda_financial_time_series_notebook

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TDA of financial time series

This web app is a reimplementation of the paper TDA of financial time series: Landscapes of crashes using gudhi.

Interactive dashboard from notebook with Voilà

How to run it?

Voilà JupyterLab
voila-binder jupyterlab-binder

Binder or Voilà instance creation may take some time, but it requires no local installation.

Local installation

One can install it easily from conda:

  • Install miniconda3 environment .
  • Create a new conda environment and activate it:
conda env create -f environment.yml
conda activate tda_financial_time_series

Run the web app

voila tda_web_app.ipynb
jupyter lab tda_web_app.ipynb

Data generation

Data are generated using Yahoo! finance pip module to get the four major US stock market indices: S&P 500, DJIA, NASDAQ, and Russel 2000. To install Yahoo! finance pip module:

conda install pip --yes
pip install yfinance

To generate the data with the latest values (should be done by the Continuous Integration automatically):

python data_generation.py

A new version of latest.csv is generated.

About

This web app is a reimplementation of the paper [TDA of financial time series: Landscapes of crashes](https://arxiv.org/abs/1703.04385) using [gudhi](https://gudhi.inria.fr).

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