├── .gitignore ├── Pipfile ├── Pipfile.lock ├── data ├── names.json ├── symbol_map_comnam.csv └── yahoo_sp100 │ ├── AAPL.csv │ ├── ABBV.csv │ ├── ABT.csv │ ├── ACN.csv │ ├── AGN.csv │ ├── AIG.csv │ ├── ALL.csv │ ├── AMGN.csv │ ├── AMZN.csv │ ├── AXP.csv │ ├── BA.csv │ ├── BAC.csv │ ├── BIIB.csv │ ├── BK.csv │ ├── BLK.csv │ ├── BMY.csv │ ├── BRK-B.csv │ ├── C.csv │ ├── CAT.csv │ ├── CELG.csv │ ├── CL.csv │ ├── CMCSA.csv │ ├── COF.csv │ ├── COP.csv │ ├── COST.csv │ ├── CSCO.csv │ ├── CVS.csv │ ├── CVX.csv │ ├── DD.csv │ ├── DHR.csv │ ├── DIS.csv │ ├── DOW.csv │ ├── DUK.csv │ ├── EMR.csv │ ├── EXC.csv │ ├── F.csv │ ├── FB.csv │ ├── FDX.csv │ ├── FOX.csv │ ├── FOXA.csv │ ├── GD.csv │ ├── GE.csv │ ├── GILD.csv │ ├── GM.csv │ ├── GOOG.csv │ ├── GOOGL.csv │ ├── GS.csv │ ├── HAL.csv │ ├── HD.csv │ ├── HON.csv │ ├── IBM.csv │ ├── INTC.csv │ ├── JNJ.csv │ ├── JPM.csv │ ├── KHC.csv │ ├── KMI.csv │ ├── KO.csv │ ├── LLY.csv │ ├── LMT.csv │ ├── LOW.csv │ ├── MA.csv │ ├── MCD.csv │ ├── MDLZ.csv │ ├── MDT.csv │ ├── MET.csv │ ├── MMM.csv │ ├── MO.csv │ ├── MON.csv │ ├── MRK.csv │ ├── MS.csv │ ├── MSFT.csv │ ├── NEE.csv │ ├── NKE.csv │ ├── ORCL.csv │ ├── OXY.csv │ ├── PCLN.csv │ ├── PEP.csv │ ├── PFE.csv │ ├── PG.csv │ ├── PM.csv │ ├── PYPL.csv │ ├── QCOM.csv │ ├── RTN.csv │ ├── SBUX.csv │ ├── SLB.csv │ ├── SO.csv │ ├── SPG.csv │ ├── T.csv │ ├── TGT.csv │ ├── TWX.csv │ ├── TXN.csv │ ├── UNH.csv │ ├── UNP.csv │ ├── UPS.csv │ ├── USB.csv │ ├── UTX.csv │ ├── V.csv │ ├── VZ.csv │ ├── WBA.csv │ ├── WFC.csv │ ├── WMT.csv │ ├── XOM.csv │ └── sp100_symbols_2016-12-30.txt ├── figures ├── cartoon-model.pdf ├── cartoon-model.png ├── map_inferred_koppen.pdf ├── multiscale-covariance.pdf ├── multiscale-covariance.png ├── multiscale.pdf ├── multiscale.png ├── scrartcl.mplstyle ├── sensitivity.pdf ├── sensitivity.png ├── sp100-covariance.pdf ├── sp100-covariance.png ├── sp100-factor-loadings.pdf ├── sp100-factor-loadings.png ├── sp100-sweep.pdf ├── sp100-sweep.png ├── synthetic-sweep.pdf └── synthetic-sweep.png ├── notebooks ├── basic_example.ipynb ├── model.ipynb ├── multiscale.ipynb ├── sensitivity.ipynb └── sp100.ipynb ├── setup.py ├── time_series.bbl ├── time_series.tex └── time_series ├── __init__.py └── time_series.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/.gitignore -------------------------------------------------------------------------------- /Pipfile: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/Pipfile -------------------------------------------------------------------------------- /Pipfile.lock: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/Pipfile.lock -------------------------------------------------------------------------------- /data/names.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/names.json -------------------------------------------------------------------------------- /data/symbol_map_comnam.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/symbol_map_comnam.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/AAPL.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/AAPL.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/ABBV.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/ABBV.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/ABT.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/ABT.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/ACN.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/ACN.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/AGN.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/AGN.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/AIG.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/AIG.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/ALL.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/ALL.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/AMGN.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/AMGN.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/AMZN.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/AMZN.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/AXP.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/AXP.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/BA.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/BA.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/BAC.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/BAC.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/BIIB.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/BIIB.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/BK.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/BK.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/BLK.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/BLK.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/BMY.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/BMY.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/BRK-B.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/BRK-B.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/C.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/C.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/CAT.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/CAT.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/CELG.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/CELG.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/CL.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/CL.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/CMCSA.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/CMCSA.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/COF.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/COF.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/COP.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/COP.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/COST.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/COST.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/CSCO.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/CSCO.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/CVS.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/CVS.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/CVX.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/CVX.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/DD.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/DD.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/DHR.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/DHR.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/DIS.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/DIS.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/DOW.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/DOW.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/DUK.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/DUK.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/EMR.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/EMR.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/EXC.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/EXC.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/F.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/F.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/FB.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/FB.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/FDX.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/FDX.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/FOX.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/FOX.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/FOXA.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/FOXA.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/GD.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/GD.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/GE.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/GE.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/GILD.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/GILD.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/GM.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/GM.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/GOOG.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/GOOG.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/GOOGL.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/GOOGL.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/GS.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/GS.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/HAL.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/HAL.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/HD.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/HD.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/HON.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/HON.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/IBM.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/IBM.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/INTC.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/INTC.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/JNJ.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/JNJ.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/JPM.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/JPM.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/KHC.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/KHC.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/KMI.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/KMI.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/KO.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/KO.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/LLY.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/LLY.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/LMT.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/LMT.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/LOW.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/LOW.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MA.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MA.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MCD.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MCD.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MDLZ.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MDLZ.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MDT.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MDT.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MET.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MET.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MMM.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MMM.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MO.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MO.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MON.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MON.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MRK.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MRK.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MS.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MS.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/MSFT.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/MSFT.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/NEE.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/NEE.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/NKE.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/NKE.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/ORCL.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/ORCL.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/OXY.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/OXY.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/PCLN.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/PCLN.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/PEP.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/PEP.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/PFE.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/PFE.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/PG.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/PG.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/PM.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/PM.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/PYPL.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/PYPL.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/QCOM.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/QCOM.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/RTN.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/RTN.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/SBUX.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/SBUX.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/SLB.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/SLB.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/SO.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/SO.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/SPG.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/SPG.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/T.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/T.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/TGT.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/TGT.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/TWX.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/TWX.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/TXN.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/TXN.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/UNH.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/UNH.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/UNP.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/UNP.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/UPS.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/UPS.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/USB.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/USB.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/UTX.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/UTX.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/V.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/V.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/VZ.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/VZ.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/WBA.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/WBA.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/WFC.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/WFC.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/WMT.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/WMT.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/XOM.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/XOM.csv -------------------------------------------------------------------------------- /data/yahoo_sp100/sp100_symbols_2016-12-30.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/data/yahoo_sp100/sp100_symbols_2016-12-30.txt -------------------------------------------------------------------------------- /figures/cartoon-model.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/cartoon-model.pdf -------------------------------------------------------------------------------- /figures/cartoon-model.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/cartoon-model.png -------------------------------------------------------------------------------- /figures/map_inferred_koppen.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/map_inferred_koppen.pdf -------------------------------------------------------------------------------- /figures/multiscale-covariance.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/multiscale-covariance.pdf -------------------------------------------------------------------------------- /figures/multiscale-covariance.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/multiscale-covariance.png -------------------------------------------------------------------------------- /figures/multiscale.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/multiscale.pdf -------------------------------------------------------------------------------- /figures/multiscale.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/multiscale.png -------------------------------------------------------------------------------- /figures/scrartcl.mplstyle: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/scrartcl.mplstyle -------------------------------------------------------------------------------- /figures/sensitivity.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/sensitivity.pdf -------------------------------------------------------------------------------- /figures/sensitivity.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/sensitivity.png -------------------------------------------------------------------------------- /figures/sp100-covariance.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/sp100-covariance.pdf -------------------------------------------------------------------------------- /figures/sp100-covariance.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/sp100-covariance.png -------------------------------------------------------------------------------- /figures/sp100-factor-loadings.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/sp100-factor-loadings.pdf -------------------------------------------------------------------------------- /figures/sp100-factor-loadings.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/sp100-factor-loadings.png -------------------------------------------------------------------------------- /figures/sp100-sweep.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/sp100-sweep.pdf -------------------------------------------------------------------------------- /figures/sp100-sweep.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/sp100-sweep.png -------------------------------------------------------------------------------- /figures/synthetic-sweep.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/synthetic-sweep.pdf -------------------------------------------------------------------------------- /figures/synthetic-sweep.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/figures/synthetic-sweep.png -------------------------------------------------------------------------------- /notebooks/basic_example.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/notebooks/basic_example.ipynb -------------------------------------------------------------------------------- /notebooks/model.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/notebooks/model.ipynb -------------------------------------------------------------------------------- /notebooks/multiscale.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/notebooks/multiscale.ipynb -------------------------------------------------------------------------------- /notebooks/sensitivity.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/notebooks/sensitivity.ipynb -------------------------------------------------------------------------------- /notebooks/sp100.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/notebooks/sp100.ipynb -------------------------------------------------------------------------------- /setup.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/setup.py -------------------------------------------------------------------------------- /time_series.bbl: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/time_series.bbl -------------------------------------------------------------------------------- /time_series.tex: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/time_series.tex -------------------------------------------------------------------------------- /time_series/__init__.py: -------------------------------------------------------------------------------- 1 | from .time_series import * 2 | -------------------------------------------------------------------------------- /time_series/time_series.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/tillahoffmann/time_series/HEAD/time_series/time_series.py --------------------------------------------------------------------------------