financial-transfer-entropy

financial-transfer-entropy is a Python package for uncovering comovements and clusters in financial time series with transfer entropy.

Adaptive directional networks (i.e., asset graphs) are constructed using transfer entropy to threshold edges between each (asset) node. Advanced visualizations of both the formulated networks and standard unconditional correlations are included.

Table of contents

• Installation
  • Install Repo
  • Set up venv
• Contributions
• LICENSE
• Authors

Installation

Install Repo

From terminal:

git clone https://github.com/jason-r-becker/financial-transfer-entropy.git

Set up venv

Using Anaconda, from terminal:

cd financial-transfer-entropy/
conda create -n fte python=3.7
source activate fte
pip install -U pip
pip install -r requirements.txt

Contributions

All source code is hosted on GitHub. Contributions are welcome.

LICENSE

Open Source (OSI approved):

Authors

The main developer(s):

• Jason R Becker (jrbecker)
• Jack St. Clair (JackStC)
• John Hurford (fruhj)
• Jerry Fan (jerryfan1)