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techwithshadab/covariance_mat.py

Created November 3, 2021 20:56
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covariance_mat.py
# Covariance Matrix
sigma = data.get_period_return_covariance_matrix()
f, ax = plt.subplots(figsize=(10, 8))
sns.heatmap(sigma, mask=np.zeros_like(sigma, dtype=np.bool), annot=True, square=True, ax=ax, xticklabels=stock_list, yticklabels=stock_list)
plt.title("Covariance between Equities")
plt.show()
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