TradingAgents/tradingagents/cross_asset_correlation
Insider77Circle ea49460664 Add cross-asset correlation engine (REDSTORM Research)
Adds a new cross_asset_correlation module with:
- CorrelationAnalyzer: Pearson, Spearman, Kendall, DCC-GARCH, wavelet
  coherence, and lead-lag correlation analysis
- MultiAssetProcessor: multi-asset class data loading, returns calculation,
  resampling, hierarchical/graph-based asset grouping
- CorrelationRegimeDetector: regime detection via rolling volatility,
  changepoint, clustering, and simplified Markov switching; crisis period
  detection and regime transition prediction

Also adds scipy, scikit-learn, PyWavelets, and networkx as dependencies.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
2026-02-07 14:52:19 -05:00
..
__init__.py Add cross-asset correlation engine (REDSTORM Research) 2026-02-07 14:52:19 -05:00
correlation_analyzer.py Add cross-asset correlation engine (REDSTORM Research) 2026-02-07 14:52:19 -05:00
correlation_regimes_fixed.py Add cross-asset correlation engine (REDSTORM Research) 2026-02-07 14:52:19 -05:00
multi_asset_processor.py Add cross-asset correlation engine (REDSTORM Research) 2026-02-07 14:52:19 -05:00