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pyproject.toml
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pyproject.toml
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[tool.poetry]
name = "arbitragelab"
version = "1.0.0"
description = "ArbitrageLab is a collection of algorithms from the best academic journals and graduate-level textbooks, which focuses on the branch of statistical arbitrage known as pairs trading. We have extended the implementations to include the latest methods that trade a portfolio of n-assets (mean-reverting portfolios)."
authors = ["Hudson and Thames Quantitative Research <[email protected]>"]
license = "BSD-3-Clause"
readme = "README.md"
homepage = "https://www.hudsonthames.org/"
repository = "https://github.com/hudson-and-thames/arbitragelab"
documentation = "https://hudson-and-thames-arbitragelab.readthedocs-hosted.com/en/latest/index.html"
keywords = ["arbitrage", "finance", "investment", "education", "trading"]
classifiers = [
"Development Status :: 5 - Production/Stable",
"Intended Audience :: Developers",
"Intended Audience :: Education",
"Intended Audience :: Science/Research",
"Intended Audience :: Financial and Insurance Industry",
"License :: OSI Approved :: BSD License",
"Operating System :: OS Independent",
"Programming Language :: Python :: 3.8",
"Topic :: Scientific/Engineering",
"Topic :: Scientific/Engineering :: Artificial Intelligence",
"Topic :: Office/Business :: Financial :: Investment"
]
packages = [
{ include = "arbitragelab" }
]
exclude = ["docs", "tests"]
[tool.poetry.dependencies]
python = "^3.8"
POT = "0.9.0"
arch = "5.5.0"
werkzeug = "2.2.3"
yahoo-fin = "0.8.9.1"
yfinance = "0.2.37"
cython = "0.29.28"
dash = "2.10.2"
mpmath = "1.2.1"
pandas = "2.0.0"
pmdarima = "2.0.4"
pyvinecopulib = "0.6.5"
requests_html = "0.10.0"
pyzmq = "26.0.0"
seaborn = "0.12.2"
statsmodels = {version = "0.14.0" }
lxml = { version = "^4.9.1" }
protobuf = { version = ">=3.20.3" }
networkx = { version = ">=2.2,<2.6" }
jupyter-dash = { version = ">=0.2.0,<1.0.0" }
numpy = [
{ version = "1.23.5", python = ">=3.8,<3.12" },
{ version = "1.26.4", python = ">=3.12,<4" },
]
matplotlib = [
{ version = "3.7.1", python = ">=3.8,<3.12" },
{ version = "3.8.4", python = ">=3.12,<4" },
]
scikit-learn = [
{ version = "1.1.3", python = ">=3.8,<3.12" },
{ version = "1.3.0", python = ">=3.12,<4" },
]
scipy = [
{ version = "1.10.1", python = ">=3.8,<3.9" },
{ version = "1.11.0", python = ">=3.9,<3.10" },
{ version = "1.12.0", python = ">=3.10,<4" },
]
tensorflow-macos = [
{ version = "2.13.0", markers = "sys_platform == 'darwin' and platform_machine == 'arm64'", python = ">=3.8, <3.12" },
{ version = "2.16.1", markers = "sys_platform == 'darwin' and platform_machine == 'x86_64'", python = ">=3.12, <4" }
]
tensorflow = [
{ version = "2.13.0", markers = "sys_platform != 'darwin' or platform_machine != 'arm64'", python = ">=3.8, <3.12" },
{ version = "2.16.1", markers = "sys_platform != 'darwin' or platform_machine != 'x86_64'", python = ">=3.12, <4" }
]
tensorflow-io-gcs-filesystem = { version = "0.34.0", markers = "sys_platform != 'darwin' or platform_machine != 'arm64'", python = ">=3.8, <3.12" }
keras = [
{ version = "2.13.1", python = ">=3.8,<3.12" },
{ version = "3.0.0", python = ">=3.12,<4" },
]
wrapt = { version = "1.14.0" , python = ">=3.8,<3.12" }
cvxpy = [
{ version = "1.4.3", markers = "sys_platform != 'darwin' or platform_machine != 'arm64'", python = ">=3.8,<3.10"},
{ version = "1.4.3", python = ">=3.10,<4"},
] # install manually with command conda install -c conda-forge cvxpy,
# otherwise causes problems whit some of its dependecy 'ecos' and 'scs ->
#refer to this link: https://apple.stackexchange.com/questions/254380/why-am-i-getting-an-invalid-active-developer-path-when-attempting-to-use-git-a
[tool.poetry.urls]
"Bug Reports" = "https://github.com/hudson-and-thames/arbitragelab/issues"
"Blog" = "https://hudsonthames.org/blog/"
"Apprenticeship Program" = "https://hudsonthames.org/apprenticeship-program/"
[build-system]
requires = ["poetry-core>=1.0"]
build-backend = "poetry.core.masonry.api"
[tool.poetry.group.tests.dependencies]
coverage = "7.2.7"
pylint = "3.1.0"
pytest = "7.3.1"
pytest-cov = "3.0.0"
[tool.poetry.group.docs.dependencies]
releases = "1.6.3"
jinja2 = "<3.1"
docutils = "0.18.1"
hudsonthames-sphinx-theme = "0.1.5"
myst-parser = "2.0.0" #3.0.0
sphinx-rtd-theme = "2.0.0" #2.0.0
sphinx-tabs = "3.4.1" #3.4.5
sphinx = "6.2.1"
sphinx-autoapi = "3.0.0"
sphinx-copybutton = "0.5.2"
six = "*"
[tool.poetry.extras]
tests = ["coverage", "pylint", "pytest", "pytest-cov"]
docs = ["sphinx", "sphinx-rtd-theme", "sphinx-tabs", "sphinx-autoapi", "sphinx-copybutton", "myst-parser", "hudsonthames-sphinx-theme", "docutils", "jinja2", "releases"]