def chk_vol2(x1, x2): x1 = np.log(np.abs(x1)) x2 = np.log(crtf.lag(x2)) x_idx = ~np.isnan(x1) & ~np.isnan(x2) & ~np.isinf(x1) x1 = x1[x_idx] x2 = x2[x_idx] if len(x1) > 100: return np.dot(x1, x2)/np.dot(x1, x1) else: return np.nan
def chk_vol(x1, x2): x1 = np.log(np.abs(x1)) x2 = np.log(crtf.lag(x2)) x_idx = ~np.isnan(x1) & ~np.isnan(x2) & ~np.isinf(x1) x1 = x1[x_idx] x2 = x2[x_idx] if len(x1) > 100: # sl_, in_, rv_, pv_, st_ = stats.linregress(x2, x1) sl_ = np.median(np.abs(x2-x1)) else: rv_ = np.nan sl_ = np.nan return sl_