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spb/wp40_uqo

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958 B · 16 lines python
1"""Minimal Python example: realized measures and a GARCH fit with backend="auto|cpu|metal" and explicit CPU fallback."""2import sys3import numpy as np4import raid56backend = sys.argv[1] if len(sys.argv) > 1 else "auto"7print("devices:", [d["name"] for d in raid.devices()])8rng = np.random.default_rng(20261102)9sessions, M = 100, 39010r = rng.normal(0, 1e-3, size=sessions * M); offsets = np.arange(0, sessions * M + 1, M)11m = raid.realized_measures(r, offsets, backend=backend)           # falls back to CPU when Metal is unavailable12print(f"backend={m['backend']} precision={m['precision']} wall={m['wall_seconds']*1e3:.2f} ms  RV[0]={m['rv'][0]:.3e}")13daily = m["ret"]                                                   # daily open-to-close returns14g = raid.garch_fit(np.concatenate([daily, rng.normal(0, 0.01, 400)]), model="gjr", dist="student_t", horizon=5)15print("GJR-t:", dict(zip(g["names"], np.round(g["coefficients"], 5))), "converged:", g["ok"])16
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