Build

Author: lsbardel

.github/workflows/build.yml

@@ -55,8 +55,6 @@ jobs:
 
   image:
     if: github.ref == 'refs/heads/main'
-    needs:
-      - build
     uses: ./.github/workflows/docker-multiarch.yml
     with:
       image-name: quantflow

app/hurst.py

@@ -73,6 +73,46 @@ def _(paths):
     return
 
 
+@app.cell
+def _(mo):
+    mo.md(r"""
+    ### Realized Variance
+
+    At this point we estimate the standard deviation using the **realized variance** along the path (we use the **scaled** flag so that the standard deviation is scaled by the square-root of time step, in this way it removes the dependency on the time step size).
+    The value should be close to the **sigma** of the WeinerProcess defined above.
+    """)
+    return
+
+
+@app.cell
+def _(paths):
+    float(paths.paths_std(scaled=True)[0])
+
+    return
+
+
+@app.cell
+def _(mo):
+    mo.md(r"""
+    The evaluation of the hurst exponent is done by calculating the variance for several time windows and by fitting a line to the log-log plot of the variance vs the time window.
+    """)
+    return
+
+
+@app.cell
+def _(paths):
+    paths.hurst_exponent()
+    return
+
+
+@app.cell
+def _(mo):
+    mo.md(r"""
+    As expected, the Hurst exponent should be close to 0.5, since we have calculated the exponent from the paths of a Weiner process.
+    """)
+    return
+
+
 @app.cell
 def _():
     return

docs/contributing.md

@@ -0,0 +1,24 @@
+# Contributing
+
+Welcome to `quantflow` repository! We are excited you are here and want to contribute.
+
+## Getting Started
+
+To get started with quantflow's codebase, take the following steps:
+
+* Clone the repo
+```
+git clone git@github.com:quantmind/quantflow.git
+```
+* Install dev dependencies
+```
+make install-dev
+```
+* Run tests
+```
+make tests
+```
+* Run the [marimo](https://marimo.io/) server during development
+```
+make marimo
+```

mkdocs.yml

@@ -54,7 +54,7 @@ plugins:
                   schema: false
 nav:
   - Home: index.md
-  - Getting Started: getting-started.md
+  - Contributing: contributing.md
   - Examples:
       - Gaussian Sampling: examples/gaussian-sampling
       - Supersmoother: examples/supersmoother

quantflow/ta/paths.py

@@ -1,13 +1,14 @@
 from __future__ import annotations
 
 from datetime import datetime
-from typing import Any, cast
+from typing import Any, cast, Self
 
 import numpy as np
 import pandas as pd
 from numpy.random import normal
 from pydantic import BaseModel, Field
 from scipy.integrate import cumulative_trapezoid
+from typing_extensions import Annotated, Doc
 
 from quantflow.utils import plot
 from quantflow.utils.bins import pdf as bins_pdf
@@ -168,7 +169,7 @@ def pdf(
         )
 
     def plot(self, **kwargs: Any) -> Any:
-        """Plot paths
+        """Plot paths as lines
 
         It requires plotly installed
         """
@@ -177,19 +178,22 @@ def plot(self, **kwargs: Any) -> Any:
     @classmethod
     def normal_draws(
         cls,
-        paths: int,
-        time_horizon: float = 1,
-        time_steps: int = 1000,
-        antithetic_variates: bool = True,
-    ) -> Paths:
-        """Generate normal draws
-
-        :param paths: number of paths
-        :param time_horizon: time horizon
-        :param time_steps: number of time steps to arrive at horizon
-        :param antithetic_variates: whether to use `antithetic variates`_
-
-        .. _antithetic variates: https://en.wikipedia.org/wiki/Antithetic_variates
+        paths: Annotated[int, Doc("Number of paths to simulate")],
+        time_horizon: Annotated[float, Doc("Time horizon")] = 1,
+        time_steps: Annotated[
+            int, Doc("Number of time steps to arrive at horizon")
+        ] = 1000,
+        antithetic_variates: Annotated[
+            bool,
+            Doc(
+                "Whether to use [antithetic variates]"
+                "(https://en.wikipedia.org/wiki/Antithetic_variates)"
+                " to reduce variance by generating pairs of paths that are mirror"
+                " images of each other"
+            ),
+        ] = True,
+    ) -> Self:
+        """Create paths from normal draws
         """
         time_horizon / time_steps
         odd = 0