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opentaps / open-climate-investing

Application and data for analyzing and structuring portfolios for climate investing.
https://climate-investing-book.opensourcestrategies.com/v/main/book
GNU Affero General Public License v3.0
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implement correlation, orthogonalize in python #17

Open sichen1234 opened 2 years ago

sichen1234 commented 2 years ago

Implement the R correlation script in python

It should calculate correlations and regressions with bond market and other Fama French factors

We should then use the significant regression coefficients to create orthogonalized series of the BMG