Sigmet (Signal Metrics Toolkit) is an end-to-end solution for the detection and measurement of negative shocks in time series data. It is an implementation of an algorithm we designed that computes the area between a raw TS signal and its SARIMAX or ARIMA projection. This will not only quantify price shocks by its area, but will also account for volatility observed in the training trend. You can install the package by launching the project below.

Clients: Financial and data analysts Start Date: Spring 2020 Services: Time series analysis