HSE Course Work: Persistence of the trends of financial time series

The Singular Spectrum Analysis algorithm for analysis of S&P500 index time series, implemented by Oleg M.

Repository description

This repository contains both:

1. The project program files, followed by necessary headers and build modules.

2. The course work paper, explaining how the algorithm works, and which data has it been applied to.

3. The equipped data set of S&P500 index's time series, starting from January 1926.

4. The batch files to run the project. In order to run the program, using the .bat files, you have to make sure, that python is inclused in your $PATH environmental variable. To run __test__.py simple double-click it. To run __main__.py, please drag and drop the .csv data set onto the main batch file.