feat: optimize idiosyncratic volatility factor using vectorized covar… #15
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ayushkrtiwari
added
Semver:minor
Enhanced volatility factor implementations for production use, including improved initialization, handling of edge cases, and consistent DataFrame outputs.
Remove unused import statement for warnings.
Remove unused import statement for warnings.
ayushkrtiwari
merged commit 8d5d7c5
into
OPCODE-Open-Spring-Fest:main
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Title:
🚀 Optimize Idiosyncratic Volatility factor using vectorized covariance operations
Description:
This PR replaces the per-symbol Python loop in IdiosyncraticVolatility.compute() with a fully vectorized pandas/numpy implementation. The new version computes betas, residuals, and rolling volatilities without explicit loops, improving scalability for large universes.
Key Improvements:
Eliminated Python-level loops using rolling covariance.
~10–20× faster for 1000+ assets.
Added examples/benchmarks/benchmark_factors.py for reproducible performance testing.
isuue closses : #12