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v2023.4.0

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@gavincyi gavincyi released this 05 Jun 21:42
· 61 commits to main since this release

Feature

  • Add API to download crypto sample data (6041ada)
  • Support writing and reading from directory (2553366)
  • Allow setting validity in fitting and transforming rolling risk model (32a1f6a)
  • Support asymptotic principal components (APCA) (7169189)

Fix

  • Align parameter n_components type in apca with scikit-learn (3394dbf)

Documentation

  • Update example notebook (b102c02)
  • Add apca section (7f41707)
  • Change the weights to market cap sqrt (20574e4)