Package: bahc 0.3.0

bahc: Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz

A method to filter correlation and covariance matrices by averaging bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet, Covariance matrix filtering with bootstrapped hierarchies (2020) <arxiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arxiv:2005.08703>.

Authors:Christian Bongiorno and Damien Challet

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Last updated 4 years agofrom:5dd6979c08. Checks:OK: 7. Indexed: yes.

Exports:filterCorrelationfilterCovariance

Dependencies:fastclustermatrixStats