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cvxgrp / strat_models

A distributed method for fitting Laplacian regularized stratified models.
Apache License 2.0
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Different data set - sector example. #4

Open andrewcztrack opened 3 years ago

andrewcztrack commented 3 years ago

hi @jonathantuck @sbarratt!

I hope your well.

I am trying to use the sector example for a new data set.

How did you create the -

VIX_quantile_yesterday and the 5_day_trail_vol_yesterday column.

I can pull the data and create the returns using the yahoo finance api.

Kind regards and thanks, Andrew