Commit Graph
3 Commits
Author SHA1 Message Date
google-labs-jules[bot]andmaghdam 16c7dadbad perf: Optimize double barrier labeling with numpy vectorization
Replaced the O(H*N) nested loop in create_labels_double_barrier with an O(H) vectorized approach utilizing numpy slice-based operations and arrays. Also removed duplicate implementation of create_labels_double_barrier in the same file. Fixed formatting in .gitignore to properly ignore pycache files.

Measurements with `N=100000`, `horizon=20`:
Original time: ~0.83s
Vectorized time: ~0.02s
Improvement: Over 40x speedup with correct output handling bounds edge cases like `len(df) < horizon`.

Co-authored-by: maghdam <63883156+maghdam@users.noreply.github.com>
2026-03-11 18:35:20 +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