FREDML / src /analysis /alignment_divergence_analyzer.py
Edwin Salguero
Initial commit after git-lfs re-init and bugfixes
099d8d9
#!/usr/bin/env python3
"""
Alignment and Divergence Analyzer
Analyzes long-term alignment/divergence between economic indicators using Spearman correlation
and detects sudden deviations using Z-score analysis.
"""
import logging
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import seaborn as sns
from scipy import stats
from typing import Dict, List, Optional, Tuple, Union
from datetime import datetime, timedelta
logger = logging.getLogger(__name__)
class AlignmentDivergenceAnalyzer:
"""
Analyzes long-term alignment/divergence patterns and sudden deviations in economic indicators
"""
def __init__(self, data: pd.DataFrame):
"""
Initialize analyzer with economic data
Args:
data: DataFrame with economic indicators (time series)
"""
self.data = data.copy()
self.results = {}
def analyze_long_term_alignment(self,
indicators: List[str] = None,
window_sizes: List[int] = [12, 24, 48],
min_periods: int = 8) -> Dict:
"""
Analyze long-term alignment/divergence using rolling Spearman correlation
Args:
indicators: List of indicators to analyze. If None, use all numeric columns
window_sizes: List of rolling window sizes (in periods)
min_periods: Minimum periods required for correlation calculation
Returns:
Dictionary with alignment analysis results
"""
if indicators is None:
indicators = self.data.select_dtypes(include=[np.number]).columns.tolist()
logger.info(f"Analyzing long-term alignment for {len(indicators)} indicators")
# Calculate growth rates for all indicators
growth_data = self.data[indicators].pct_change().dropna()
# Initialize results
alignment_results = {
'rolling_correlations': {},
'alignment_summary': {},
'divergence_periods': {},
'trend_analysis': {}
}
# Analyze each pair of indicators
for i, indicator1 in enumerate(indicators):
for j, indicator2 in enumerate(indicators):
if i >= j: # Skip diagonal and avoid duplicates
continue
pair_name = f"{indicator1}_vs_{indicator2}"
logger.info(f"Analyzing alignment: {pair_name}")
# Get growth rates for this pair
pair_data = growth_data[[indicator1, indicator2]].dropna()
if len(pair_data) < min_periods:
logger.warning(f"Insufficient data for {pair_name}")
continue
# Calculate rolling Spearman correlations for different window sizes
rolling_corrs = {}
alignment_trends = {}
for window in window_sizes:
if window <= len(pair_data):
# Calculate rolling Spearman correlation
# Note: pandas rolling.corr() doesn't support method parameter
# We'll calculate Spearman correlation manually for each window
corr_values = []
for start_idx in range(len(pair_data) - window + 1):
window_data = pair_data.iloc[start_idx:start_idx + window]
if len(window_data.dropna()) >= min_periods:
corr_val = window_data.corr(method='spearman').iloc[0, 1]
if not pd.isna(corr_val):
corr_values.append(corr_val)
if corr_values:
rolling_corrs[f"window_{window}"] = corr_values
# Analyze alignment trend
alignment_trends[f"window_{window}"] = self._analyze_correlation_trend(
corr_values, pair_name, window
)
# Store results
alignment_results['rolling_correlations'][pair_name] = rolling_corrs
alignment_results['trend_analysis'][pair_name] = alignment_trends
# Identify divergence periods
alignment_results['divergence_periods'][pair_name] = self._identify_divergence_periods(
pair_data, rolling_corrs, pair_name
)
# Generate alignment summary
alignment_results['alignment_summary'] = self._generate_alignment_summary(
alignment_results['trend_analysis']
)
self.results['alignment'] = alignment_results
return alignment_results
def detect_sudden_deviations(self,
indicators: List[str] = None,
z_threshold: float = 2.0,
window_size: int = 12,
min_periods: int = 6) -> Dict:
"""
Detect sudden deviations using Z-score analysis
Args:
indicators: List of indicators to analyze. If None, use all numeric columns
z_threshold: Z-score threshold for flagging deviations
window_size: Rolling window size for Z-score calculation
min_periods: Minimum periods required for Z-score calculation
Returns:
Dictionary with deviation detection results
"""
if indicators is None:
indicators = self.data.select_dtypes(include=[np.number]).columns.tolist()
logger.info(f"Detecting sudden deviations for {len(indicators)} indicators")
# Calculate growth rates
growth_data = self.data[indicators].pct_change().dropna()
deviation_results = {
'z_scores': {},
'deviations': {},
'deviation_summary': {},
'extreme_events': {}
}
for indicator in indicators:
if indicator not in growth_data.columns:
continue
series = growth_data[indicator].dropna()
if len(series) < min_periods:
logger.warning(f"Insufficient data for {indicator}")
continue
# Calculate rolling Z-scores
rolling_mean = series.rolling(window=window_size, min_periods=min_periods).mean()
rolling_std = series.rolling(window=window_size, min_periods=min_periods).std()
# Calculate Z-scores
z_scores = (series - rolling_mean) / rolling_std
# Identify deviations
deviations = z_scores[abs(z_scores) > z_threshold]
# Store results
deviation_results['z_scores'][indicator] = z_scores
deviation_results['deviations'][indicator] = deviations
# Analyze extreme events
deviation_results['extreme_events'][indicator] = self._analyze_extreme_events(
series, z_scores, deviations, indicator
)
# Generate deviation summary
deviation_results['deviation_summary'] = self._generate_deviation_summary(
deviation_results['deviations'], deviation_results['extreme_events']
)
self.results['deviations'] = deviation_results
return deviation_results
def _analyze_correlation_trend(self, corr_values: List[float],
pair_name: str, window: int) -> Dict:
"""Analyze trend in correlation values"""
if len(corr_values) < 2:
return {'trend': 'insufficient_data', 'direction': 'unknown'}
# Calculate trend using linear regression
x = np.arange(len(corr_values))
y = np.array(corr_values)
slope, intercept, r_value, p_value, std_err = stats.linregress(x, y)
# Determine trend direction and strength
if abs(slope) < 0.001:
trend_direction = 'stable'
elif slope > 0:
trend_direction = 'increasing_alignment'
else:
trend_direction = 'decreasing_alignment'
# Assess trend strength
if abs(r_value) > 0.7:
trend_strength = 'strong'
elif abs(r_value) > 0.4:
trend_strength = 'moderate'
else:
trend_strength = 'weak'
return {
'trend': trend_direction,
'strength': trend_strength,
'slope': slope,
'r_squared': r_value**2,
'p_value': p_value,
'mean_correlation': np.mean(corr_values),
'correlation_volatility': np.std(corr_values)
}
def _identify_divergence_periods(self, pair_data: pd.DataFrame,
rolling_corrs: Dict, pair_name: str) -> Dict:
"""Identify periods of significant divergence"""
divergence_periods = []
for window_name, corr_values in rolling_corrs.items():
if len(corr_values) < 4:
continue
# Find periods where correlation is negative or very low
corr_series = pd.Series(corr_values)
divergence_mask = corr_series < 0.1 # Low correlation threshold
if divergence_mask.any():
divergence_periods.append({
'window': window_name,
'divergence_count': divergence_mask.sum(),
'divergence_percentage': (divergence_mask.sum() / len(corr_series)) * 100,
'min_correlation': corr_series.min(),
'max_correlation': corr_series.max()
})
return divergence_periods
def _analyze_extreme_events(self, series: pd.Series, z_scores: pd.Series,
deviations: pd.Series, indicator: str) -> Dict:
"""Analyze extreme events for an indicator"""
if deviations.empty:
return {'count': 0, 'events': []}
events = []
for date, z_score in deviations.items():
events.append({
'date': date,
'z_score': z_score,
'growth_rate': series.loc[date],
'severity': 'extreme' if abs(z_score) > 3.0 else 'moderate'
})
# Sort by absolute Z-score
events.sort(key=lambda x: abs(x['z_score']), reverse=True)
return {
'count': len(events),
'events': events[:10], # Top 10 most extreme events
'max_z_score': max(abs(d['z_score']) for d in events),
'mean_z_score': np.mean([abs(d['z_score']) for d in events])
}
def _generate_alignment_summary(self, trend_analysis: Dict) -> Dict:
"""Generate summary of alignment trends"""
summary = {
'increasing_alignment': [],
'decreasing_alignment': [],
'stable_alignment': [],
'strong_trends': [],
'moderate_trends': [],
'weak_trends': []
}
for pair_name, trends in trend_analysis.items():
for window_name, trend_info in trends.items():
trend = trend_info['trend']
strength = trend_info['strength']
if trend == 'increasing_alignment':
summary['increasing_alignment'].append(pair_name)
elif trend == 'decreasing_alignment':
summary['decreasing_alignment'].append(pair_name)
elif trend == 'stable':
summary['stable_alignment'].append(pair_name)
if strength == 'strong':
summary['strong_trends'].append(f"{pair_name}_{window_name}")
elif strength == 'moderate':
summary['moderate_trends'].append(f"{pair_name}_{window_name}")
else:
summary['weak_trends'].append(f"{pair_name}_{window_name}")
return summary
def _generate_deviation_summary(self, deviations: Dict, extreme_events: Dict) -> Dict:
"""Generate summary of deviation analysis"""
summary = {
'total_deviations': 0,
'indicators_with_deviations': [],
'most_volatile_indicators': [],
'extreme_events_count': 0
}
for indicator, dev_series in deviations.items():
if not dev_series.empty:
summary['total_deviations'] += len(dev_series)
summary['indicators_with_deviations'].append(indicator)
# Calculate volatility (standard deviation of growth rates)
growth_series = self.data[indicator].pct_change().dropna()
volatility = growth_series.std()
summary['most_volatile_indicators'].append({
'indicator': indicator,
'volatility': volatility,
'deviation_count': len(dev_series)
})
# Sort by volatility
summary['most_volatile_indicators'].sort(
key=lambda x: x['volatility'], reverse=True
)
# Count extreme events
for indicator, events in extreme_events.items():
summary['extreme_events_count'] += events['count']
return summary
def plot_alignment_analysis(self, save_path: Optional[str] = None) -> None:
"""Plot alignment analysis results"""
if 'alignment' not in self.results:
logger.warning("No alignment analysis results to plot")
return
alignment_results = self.results['alignment']
# Create subplots
fig, axes = plt.subplots(2, 2, figsize=(15, 12))
fig.suptitle('Economic Indicators Alignment Analysis', fontsize=16)
# Plot 1: Rolling correlations heatmap
if alignment_results['rolling_correlations']:
# Create correlation matrix for latest values
latest_correlations = {}
for pair_name, windows in alignment_results['rolling_correlations'].items():
if 'window_12' in windows and windows['window_12']:
latest_correlations[pair_name] = windows['window_12'][-1]
if latest_correlations:
# Convert to matrix format
indicators = list(set([pair.split('_vs_')[0] for pair in latest_correlations.keys()] +
[pair.split('_vs_')[1] for pair in latest_correlations.keys()]))
corr_matrix = pd.DataFrame(index=indicators, columns=indicators, dtype=float)
for pair, corr in latest_correlations.items():
ind1, ind2 = pair.split('_vs_')
corr_matrix.loc[ind1, ind2] = float(corr)
corr_matrix.loc[ind2, ind1] = float(corr)
# Fill diagonal with 1
np.fill_diagonal(corr_matrix.values, 1.0)
# Ensure all values are numeric
corr_matrix = corr_matrix.astype(float)
sns.heatmap(corr_matrix, annot=True, cmap='coolwarm', center=0,
ax=axes[0,0], cbar_kws={'label': 'Spearman Correlation'})
axes[0,0].set_title('Latest Rolling Correlations (12-period window)')
# Plot 2: Alignment trends
if alignment_results['trend_analysis']:
trend_data = []
for pair_name, trends in alignment_results['trend_analysis'].items():
for window_name, trend_info in trends.items():
trend_data.append({
'Pair': pair_name,
'Window': window_name,
'Trend': trend_info['trend'],
'Strength': trend_info['strength'],
'Slope': trend_info['slope']
})
if trend_data:
trend_df = pd.DataFrame(trend_data)
trend_counts = trend_df['Trend'].value_counts()
axes[0,1].pie(trend_counts.values, labels=trend_counts.index, autopct='%1.1f%%')
axes[0,1].set_title('Alignment Trend Distribution')
# Plot 3: Deviation summary
if 'deviations' in self.results:
deviation_results = self.results['deviations']
if deviation_results['deviation_summary']['most_volatile_indicators']:
vol_data = deviation_results['deviation_summary']['most_volatile_indicators']
indicators = [d['indicator'] for d in vol_data[:5]]
volatilities = [d['volatility'] for d in vol_data[:5]]
axes[1,0].bar(indicators, volatilities)
axes[1,0].set_title('Most Volatile Indicators')
axes[1,0].set_ylabel('Volatility (Std Dev of Growth Rates)')
axes[1,0].tick_params(axis='x', rotation=45)
# Plot 4: Z-score timeline
if 'deviations' in self.results:
deviation_results = self.results['deviations']
if deviation_results['z_scores']:
# Plot Z-scores for first few indicators
indicators_to_plot = list(deviation_results['z_scores'].keys())[:3]
for indicator in indicators_to_plot:
z_scores = deviation_results['z_scores'][indicator]
axes[1,1].plot(z_scores.index, z_scores.values, label=indicator, alpha=0.7)
axes[1,1].axhline(y=2, color='red', linestyle='--', alpha=0.5, label='Threshold')
axes[1,1].axhline(y=-2, color='red', linestyle='--', alpha=0.5)
axes[1,1].set_title('Z-Score Timeline')
axes[1,1].set_ylabel('Z-Score')
axes[1,1].legend()
axes[1,1].grid(True, alpha=0.3)
plt.tight_layout()
if save_path:
plt.savefig(save_path, dpi=300, bbox_inches='tight')
plt.show()
def generate_insights_report(self) -> str:
"""Generate a comprehensive insights report"""
if not self.results:
return "No analysis results available. Please run alignment and deviation analysis first."
report = []
report.append("=" * 80)
report.append("ECONOMIC INDICATORS ALIGNMENT & DEVIATION ANALYSIS REPORT")
report.append("=" * 80)
report.append("")
# Alignment insights
if 'alignment' in self.results:
alignment_results = self.results['alignment']
summary = alignment_results['alignment_summary']
report.append("📊 LONG-TERM ALIGNMENT ANALYSIS")
report.append("-" * 40)
report.append(f"• Increasing Alignment Pairs: {len(summary['increasing_alignment'])}")
report.append(f"• Decreasing Alignment Pairs: {len(summary['decreasing_alignment'])}")
report.append(f"• Stable Alignment Pairs: {len(summary['stable_alignment'])}")
report.append(f"• Strong Trends: {len(summary['strong_trends'])}")
report.append("")
if summary['increasing_alignment']:
report.append("🔺 Pairs with Increasing Alignment:")
for pair in summary['increasing_alignment'][:5]:
report.append(f" - {pair}")
report.append("")
if summary['decreasing_alignment']:
report.append("🔻 Pairs with Decreasing Alignment:")
for pair in summary['decreasing_alignment'][:5]:
report.append(f" - {pair}")
report.append("")
# Deviation insights
if 'deviations' in self.results:
deviation_results = self.results['deviations']
summary = deviation_results['deviation_summary']
report.append("⚠️ SUDDEN DEVIATION ANALYSIS")
report.append("-" * 35)
report.append(f"• Total Deviations Detected: {summary['total_deviations']}")
report.append(f"• Indicators with Deviations: {len(summary['indicators_with_deviations'])}")
report.append(f"• Extreme Events: {summary['extreme_events_count']}")
report.append("")
if summary['most_volatile_indicators']:
report.append("📈 Most Volatile Indicators:")
for item in summary['most_volatile_indicators'][:5]:
report.append(f" - {item['indicator']}: {item['volatility']:.4f} volatility")
report.append("")
# Show extreme events
extreme_events = deviation_results['extreme_events']
if extreme_events:
report.append("🚨 Recent Extreme Events:")
for indicator, events in extreme_events.items():
if events['events']:
latest_event = events['events'][0]
report.append(f" - {indicator}: {latest_event['date'].strftime('%Y-%m-%d')} "
f"(Z-score: {latest_event['z_score']:.2f})")
report.append("")
report.append("=" * 80)
report.append("Analysis completed successfully.")
return "\n".join(report)