run.m

%% INITIALIZATION

up = true;
initialize();

ev = {'ds_dir' 'ds_version' 'out_dir' 'out_name' 'path_base' 'sn' 'temp_dir' 'temp_name'};
ev_len = numel(ev);

failures = false(ev_len,1);

for i = 1:numel(ev)
    ev_i = ev{i};

    if (exist(ev_i,'var') == 0)
        failures(i) = true;
    end

    eval(['failures(i) = isempty(' ev_i ') || ~ischar(' ev_i ');']);
end

if (any(failures))
    error('The initialization process failed.');
end

chunk_temp = [temp_dir filesep() temp_name];
chunk_out = [out_dir filesep() out_name];

%% DATASET PARSING

ds_process = false;

file = fullfile(path_base,[ds_dir filesep() 'Example_Large.xlsx']);
[file_path,file_name,~] = fileparts(file);

if (exist(file,'file') == 0)
    error(['The dataset file ''' file ''' could not be found.']);
end

mat = fullfile(file_path,[file_name '.mat']);

if (exist(mat,'file') == 2)
    file_dir = dir(file);
    file_lmd = datetime(file_dir.datenum,'ConvertFrom','datenum');

    mat_dir = dir(mat);
    mat_lmd = datetime(mat_dir.datenum,'ConvertFrom','datenum');

    if (file_lmd > mat_lmd)
        ds_process = true;
    else
        try
            load(mat);
            mat_loaded = true;
        catch
            mat_loaded = false;
        end

        if (mat_loaded)
            if ((exist('ds','var') == 0) || ~strcmp(ds.Version,ds_version))
                ds_process = true;
            end
        else
            ds_process = true;
        end
    end
else
    ds_process = true;
end

if (ds_process)
    ds = parse_dataset(file,ds_version,'dd/mm/yyyy','QQ yyyy','P','R',0.05);
    analyze_dataset(ds);
    save(mat,'ds');
end

%% EXECUTION

bw = 252;
comparison_co = bw + 1;
comparison_analyze = true;

measures_setup = {
%   NAME                 ENABLED  ANALYZE  COMPARE  FUNCTION
    'BubblesDetection'   true     true     true     @(temp,out,analyze)run_bubbles_detection(ds,sn,temp,out,'WB',0.95,0,'FIX',NaN,analyze);
    'Component'          true     true     true     @(temp,out,analyze)run_component(ds,sn,temp,out,bw,0.99,0.98,0.05,0.2,0.75,analyze);
    'Connectedness'      true     true     true     @(temp,out,analyze)run_connectedness(ds,sn,temp,out,bw,0.05,false,0.06,analyze);
    'CrossEntropy'       true     true     true     @(temp,out,analyze)run_cross_entropy(ds,sn,temp,out,bw,'G',0.4,'W','N',analyze);
    'CrossQuantilogram'  true     true     true     @(temp,out,analyze)run_cross_quantilogram(ds,sn,temp,out,bw,0.05,60,'SB',0.05,100,analyze);
    'CrossSectional'     true     true     true     @(temp,out,analyze)run_cross_sectional(ds,sn,temp,out,0.95,0.40,0.08,0.40,3,analyze);
    'Default'            true     true     true     @(temp,out,analyze)run_default(ds,sn,temp,out,bw,'BSM',3,0.08,2,0.55,0.10,100,5,0.95,analyze);
    'Liquidity'          true     true     true     @(temp,out,analyze)run_liquidity(ds,sn,temp,out,bw,21,5,'B',500,0.01,0.0004,analyze);
    'RegimeSwitching'    true     true     true     @(temp,out,analyze)run_regime_switching(ds,sn,temp,out,true,true,true,analyze);
    'Spillover'          true     true     true     @(temp,out,analyze)run_spillover(ds,sn,temp,out,bw,10,'G',2,4,analyze);
    'TailDependence'     true     true     true     @(temp,out,analyze)run_tail_dependence(ds,sn,temp,out,bw,0.10,0.5,0.05,100,analyze);
};

enabled_all = [measures_setup{:,2}];

if (~any(enabled_all))
    warning('MATLAB:SystemicRisk','The computation of systemic risk measures cannot be performed because all the functions are disabled.');
end

ml = repmat({''},1,100);
md = NaN(ds.T,100);
moff = 1;

for i = 1:size(measures_setup,1)
    [category,enabled,analyze,compare,run_function] = measures_setup{i,:};

    if (~enabled)
        continue;
    end

    if (~ds.(['Supports' category]))
        enabled_all(i) = false;
        continue;
    end

    pause(2);

    temp = fullfile(path_base,[chunk_temp category '.xlsx']);
    out = fullfile(path_base,[chunk_out category '.xlsx']);
    [result,stopped] = run_function(temp,out,analyze);

    if (stopped)
        clear('-regexp','(?!^(?:ds|result_[a-z_]+)$)^.+$');
        return;
    end

    if (compare && isfield(result,'ComparisonReferences') && ~isempty(result.ComparisonReferences))
        for j = 1:size(result.ComparisonReferences,1)
            [c_field,c_indices,c_labels] = result.ComparisonReferences{j,:};
            c_measures = result.(c_field);

            if (~isempty(c_indices))
                c_measures = c_measures(:,c_indices);
            end

            c_measures_len = size(c_measures,2);
            c_coffset = moff + c_measures_len - 1;

            ml(moff:c_coffset) = c_labels;
            md(:,moff:c_coffset) = c_measures;
            moff = moff + c_measures_len;
        end
    end

    category_reference = ['result' lower(regexprep(category,'([A-Z])','_$1'))];
    eval([category_reference ' = result;']);

    mat = fullfile(path_base,[chunk_out category '.mat']);
    save(mat,category_reference);
end

ml(moff:end) = [];
md(:,moff:end) = [];

if (~ds.SupportsComparison)
    warning('MATLAB:SystemicRisk','The comparison of systemic risk measures cannot be performed because the dataset does not support it.');
else
    if (numel(ml) <= 1)
        compare_all = [measures_setup{:,4}];

        if (any(enabled_all) && any(compare_all(enabled_all)))
            warning('MATLAB:SystemicRisk','The comparison of systemic risk measures cannot be performed because the sample is empty or contains only one indicator.');
        end
    else
        pause(2);

        temp = fullfile(path_base,[chunk_temp 'Comparison.xlsx']);
        out = fullfile(path_base,[chunk_out 'Comparison.xlsx']);

        [result_comparison,stopped] = run_comparison(ds,sn,temp,out,ml,md,comparison_co,[],21,'AIC',0.01,false,4,'GG',comparison_analyze);

        if (~stopped)
            mat = fullfile(path_base,[chunk_out 'Comparison.mat']);
            save(mat,'result_comparison');
        end
    end
end

%% CLEANUP

clear('-regexp','(?!^(?:ds|result_[a-z_]+)$)^.+$');