Nixtla Correlation Mapper

Identifies correlations between multiple contracts and generates hedging strategies for portfolio risk management.

Overview

Analyzes relationships between assets in a portfolio to suggest hedging strategies. Takes CSV data with multiple time series, calculates correlation matrix, identifies significant relationships, and outputs hedge recommendations with visualizations. Generates correlation heatmap, rolling correlation plots, and hedge effectiveness charts.

Prerequisites

Tools: Read, Write, Bash, Glob, Grep

Environment: None required (optional: NIXTLA_TIMEGPT_API_KEY for forecasted correlations)

Packages:

pip install pandas numpy scipy matplotlib seaborn