Commit Graph
3 Commits
Author SHA1 Message Date
google-labs-jules[bot]andmaghdam 0417d5f7b0 Vectorize O(N^2) Parkinson volatility estimator
The previous `moving_parkinson_estimator` contained an explicit loop that iterated over DataFrame slices, making it O(N^2) computationally. This PR applies vectorized pandas rolling operations to calculate the exact same metric in O(N) time.

Measured a ~1800x speedup (5.2 seconds down to 0.003 seconds) on 10,000 rows. Correctness is fully maintained relative to the original output.

Co-authored-by: maghdam <63883156+maghdam@users.noreply.github.com>
2026-03-11 18:38:49 +00:00
Mohammad Aghdam 6939daaeb4 feat: Organize notebooks and add stationarity checks 2025-10-02 00:00:16 +02:00
Maghdam 6a3994bbf7 Initial commit 2025-03-02 22:25:33 +01:00