Coherence Analytics

Wavelet Coherence is a powerful method for analyzing the relationships between time series data using wavelet transforms. While becoming more popular in academic settings to publish research, current implementations are limited to packages in R, MATLAB, or Python. These packages rely on outdated and inefficient transforms on the backend, limiting their use to analysis of small batches of historical data.

The coherix project is focused on broadening the scope of use for wavelet coherence by optimizing the underlying algorithms and providing a user-friendly interface for industry professionals. Currently, the opus is building a live dashboard for quantitative analysis that displays the lead-lag cycles as they appear from incoming data.

Background on wavelet coherence analysis and its applications in finance and economics can be found in the Literature section.