I am new to python and just using it for my undergrad thesis. I want to perform a rolling window analysis using "fathon" package that explores on mulftifractality. Are there any libraries or documentation that I can refer to when employing my own rolling window MFDCCA analysis? All I can see is rolling window basic statistics from rolling window function (Pandas). Basically, I want to generate the fluctuation function and generalized Hurst exponent (which requires wins - an array of window sizes) for each window If I were to perform an analysis over a set of data, this is how it goes: #define q list (change) qs = np.array([-10, -9, -8, -7, -6, -5, -4, -3, -2, -1, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10]) wins = fu.linRangeByStep(30, 340, step=10) #zero-mean cumulative sum a = fu.toAggregated(a) b = fu.toAggregated(b) #initialize mfdfa object pymfdcca = fathon.MFDCCA(a, b) #compute fluctuation function and generalized Hurst exponent n,F = pymfdcca.computeFlucVec(wins, qs, revSeg=True, polOrd=2) list_H, list_H_intercept = pymfdcca.fitFlucVec() I have tried this one but I am not sure # ROLLING WINDOW ANALYSIS # Define rolling window parameters window_size = 100 # Example: 1 year of trading days step_size = 30 # Example: 1 month of trading days # Define q list qs = np.array([-10, -9, -8, -7, -6, -5, -4, -3, -2, -1, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10]) wins = fu.linRangeByStep(10, 100) # Initialize lists to store maximum multifractal spectrum and corresponding dates max_spectrum = [] window_end_dates = [] rolling_results = [] rolling_mfspect = [] rolling_alpha = [] # Rolling window analysis for PSEI and Brent Oil for start in range(0, len(a) - window_size + 1, step_size): end = start + window_size a_window = a[start:end] b_window = b[start:end] # Zero-mean cumulative sum a_window = fu.toAggregated(a) b_window = fu.toAggregated(b) # Initialize MFDCCA object rw_mfdcca = fathon.MFDCCA(a_window, b_window) # Compute fluctuation function and generalized Hurst exponents n, F = rw_mfdcca.computeFlucVec(wins, qs, revSeg=True, polOrd=1) list_H_rw, list_H_intercept_rw = rw_mfdcca.fitFlucVec() # Compute mass exponents tau_rw = rw_mfdcca.computeMassExponents() # Compute multifractal spectrum alpha_rw, mfSpect_rw = rw_mfdcca.computeMultifractalSpectrum() # Store maximum multifractal spectrum and corresponding date max_spectrum.append(np.max(mfSpect_rw)) window_end_dates.append(dates[end-1]) # Store results rolling_results_psei.append((n, F, list_H_rw, list_H_intercept_rw, tau_rw, alpha_rw, mfSpect_rw)) rolling_mfspect.append((mfSpect_PSEIrw)) rolling_alpha.append((alpha_PSEIrw)) Continue reading...
