INNER CODE UNIT · Python

w

firmai/deltapy · deltapy/extract.py:110

      w = 1.0 / np.power(np.subtract(time[1:], time[:-1]), 2)
      w_mean = np.mean(w)

      N = len(time)
      sigma2 = np.var(magnitude)

      S1 = sum(w * (magnitude[1:] - magnitude[:-1]) ** 2)
      S2 = sum(w)

      eta_e = (w_mean * np.power(time[N - 1] -
                time[0], 2) * S1 / (sigma2 * S2 * N ** 2))
      final.append(eta_e)
      keys.append(key)
    return {"Interact__{}".format(k): eta_e for eta_e, k in zip(final,keys) }

# var_index(df["Close"].values)

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