garpar package

Generation and analysis of artificial and real portfolio returns.

A comprehensive toolset for analyzing and managing financial portfolios/markets through the StocksSet class. Provides functionality for portfolio/market optimization, risk assessment, and performance analysis.

Key Features:

• Portfolio/market construction and rebalancing

• Risk metrics calculation (variance, VaR, etc.)

• Expected returns estimation

• Correlation and covariance analysis

• Diversification metrics

• Portfolio/market visualization tools

• Market data handling and validation

• Entropy-based analysis

Subpackages

• garpar.core package
  • Submodules
  • garpar.core.stocks_set module
    • StocksSet
      • StocksSet.as_prices()
      • StocksSet.as_returns()
      • StocksSet.copy()
      • StocksSet.delisted
      • StocksSet.delisted_prune()
      • StocksSet.dprune()
      • StocksSet.entropy
      • StocksSet.from_prices()
      • StocksSet.iloc
      • StocksSet.loc
      • StocksSet.metadata
      • StocksSet.refresh_entropy()
      • StocksSet.scale_weights()
      • StocksSet.shape
      • StocksSet.stocks
      • StocksSet.stocks_number
      • StocksSet.to_dataframe()
      • StocksSet.to_hdf5()
      • StocksSet.weights
      • StocksSet.weights_prune()
      • StocksSet.window_size
      • StocksSet.wprune()
    • mkss()
  • garpar.core.coercer_mixin module
    • CoercerMixin
      • CoercerMixin.coerce_covariance_matrix()
      • CoercerMixin.coerce_expected_returns()
      • CoercerMixin.coerce_weights()
  • garpar.core.covcorr_acc module
    • CorrelationAccessor
      • CorrelationAccessor.exp_corr()
      • CorrelationAccessor.ledoit_wolf_corr()
      • CorrelationAccessor.oracle_approximating_corr()
      • CorrelationAccessor.sample_corr()
      • CorrelationAccessor.semi_corr()
    • CovarianceAccessor
      • CovarianceAccessor.exp_cov()
      • CovarianceAccessor.ledoit_wolf_cov()
      • CovarianceAccessor.oracle_approximating_cov()
      • CovarianceAccessor.sample_cov()
      • CovarianceAccessor.semi_cov()
  • garpar.core.div_acc module
    • DiversificationMetricsAccessor
      • DiversificationMetricsAccessor.cross_entropy()
      • DiversificationMetricsAccessor.ke_zang_entropy()
      • DiversificationMetricsAccessor.mrc()
      • DiversificationMetricsAccessor.pdi()
      • DiversificationMetricsAccessor.ratio()
      • DiversificationMetricsAccessor.zheng_entropy()
  • garpar.core.ereturns_acc module
    • ExpectedReturnsAccessor
      • ExpectedReturnsAccessor.capm()
      • ExpectedReturnsAccessor.emah()
      • ExpectedReturnsAccessor.mah()
  • garpar.core.plot_acc module
    • StocksSetPlotterAccessor
      • StocksSetPlotterAccessor.box()
      • StocksSetPlotterAccessor.heatmap()
      • StocksSetPlotterAccessor.hist()
      • StocksSetPlotterAccessor.kde()
      • StocksSetPlotterAccessor.line()
      • StocksSetPlotterAccessor.ogive()
      • StocksSetPlotterAccessor.wbox()
      • StocksSetPlotterAccessor.wheatmap()
      • StocksSetPlotterAccessor.whist()
      • StocksSetPlotterAccessor.wkde()
  • garpar.core.prices_acc module
    • PricesAccessor
      • PricesAccessor.log()
      • PricesAccessor.log10()
      • PricesAccessor.log2()
      • PricesAccessor.mad()
      • PricesAccessor.mean_tendency_size()
  • garpar.core.risk_acc module
    • RiskAccessor
      • RiskAccessor.sharpe_ratio()
      • RiskAccessor.ss_beta()
      • RiskAccessor.ss_var()
      • RiskAccessor.stock_beta()
      • RiskAccessor.stocks_set_beta()
      • RiskAccessor.stocks_set_variance()
      • RiskAccessor.treynor_ratio()
      • RiskAccessor.value_at_risk()
      • RiskAccessor.var()
  • garpar.core.utilities_acc module
    • UtilitiesAccessor
      • UtilitiesAccessor.ex_ante_tracking_error()
      • UtilitiesAccessor.ex_post_tracking_error()
      • UtilitiesAccessor.quadratic_utility()
      • UtilitiesAccessor.qutility()
      • UtilitiesAccessor.ss_return()
      • UtilitiesAccessor.stocks_set_return()
• garpar.datasets package
  • Subpackages
    • garpar.datasets.data package
      • load_MERVAL()
  • Submodules
  • garpar.datasets.ds_base module
    • RandomEntropyStocksSetMakerABC
      • RandomEntropyStocksSetMakerABC.get_window_loss_probability()
      • RandomEntropyStocksSetMakerABC.make_stock_price()
      • RandomEntropyStocksSetMakerABC.make_stocks_set()
    • StocksSetMakerABC
      • StocksSetMakerABC.make_stocks_set()
  • garpar.datasets.multisector module
    • MultiSector
      • MultiSector.make_stocks_set()
    • make_multisector()
  • garpar.datasets.risso module
    • RissoLevyStable
      • RissoLevyStable.make_stock_price()
    • RissoMixin
      • RissoMixin.get_window_loss_probability()
    • RissoNormal
      • RissoNormal.make_stock_price()
    • RissoUniform
      • RissoUniform.make_stock_price()
    • argnearest()
    • make_risso_levy_stable()
    • make_risso_normal()
    • make_risso_uniform()
• garpar.optimize package
  • Submodules
  • garpar.optimize.mean_variance module
    • MVOptimizer
    • Markowitz
  • garpar.optimize.opt_base module
    • MeanVarianceFamilyMixin
      • MeanVarianceFamilyMixin.family
    • OptimizerABC
      • OptimizerABC.family
      • OptimizerABC.get_optimizer_family()
      • OptimizerABC.optimize()
• garpar.utils package
  • Submodules
  • garpar.utils.accabc module
    • AccessorABC
  • garpar.utils.bunch module
    • Bunch
      • Bunch.to_dict()
  • garpar.utils.context module
    • df_temporal_header()
  • garpar.utils.entropy module
    • risso()
    • shannon()
    • yager_inf()
    • yager_one()
  • garpar.utils.mabc module
    • ModelABC
    • hparam()
    • mproperty()
  • garpar.utils.scalers module
    • max_scaler()
    • minmax_scaler()
    • proportion_scaler()
    • standar_scaler()
  • garpar.utils.unames module
    • unique_names()

Submodules

garpar.constants module

Constants used in Garpar project.

garpar.constants.EPSILON = 1e-09

Tolerance value for numerical operations

garpar.constants.GARPAR_METADATA_KEY = '__garpar_metadata__'

Key used to store metadata in a garpar.StocksSet

garpar.constants.VERSION = '1.6.0'

Version of the package

garpar.garpar_io module

Utilities to dump and load stocks sets into hdf5.

This module provides functions to dump and load stocks sets into HDF5 files.

Example

>>> from garpar import mkss
>>> from garpar.garpar_io import to_hdf5, read_hdf5
>>> ss = mkss(prices=[...])
>>> to_hdf5("path/to/file.hdf5", ss)
>>> ss2 = read_hdf5("path/to/file.hdf5")

garpar.garpar_io.read_hdf5(path_or_stream, group='stocks set')

HDF5 file reader.

Parameters:

• path_to_stream (String) – Path to hdf5 stream

• group (String) – The value to look inside hdf5 file

Returns:

A StocksSet instance

Return type:

garpar.core.stocks_set.StocksSet

garpar.garpar_io.to_hdf5(path_or_stream, ss, group='stocks set', **kwargs)

HDF5 file writer.

It is responsible for storing a stocks set in HDF5 format.

Parameters:

• path_or_stream (str or file-like.) – Path or file like objet to the h5 to store the stocks set.

• ss (garpar.stocks_set.StocksSet) – The stocks set to store.

• group (str (default="stocks set")) – The name of the group where the stocks set will be stored.

• kwargs – Extra arguments to the function h5py.File.create_dataset.