R-universe - damienchallet (Damien Challet)

SVN - Statistically Validated Networks

Determines networks of significant synchronization between the discrete states of nodes; see Tumminello et al <doi:10.1371/journal.pone.0017994>.

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2.00 score 2 scripts 158 downloads

sharpeRratio - Moment-Free Estimation of Sharpe Ratios

An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see <arXiv:1505.01333>).

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cpp

1.70 score 5 scripts 181 downloads

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>.

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1.00 score 196 downloads