Thijs van den Berg sitmo
sitmo
/ gist:7d30916163d130aba84f5f89be5ed57c
Last active
July 16, 2025 23:27
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| import random | |
| def hard_partition_pairs(n: int): | |
| """ | |
| Construct n positive ints (n even) with a unique equal-sum bipartition | |
| where each subset contains n/2 elements. | |
| Returns | |
| ------- | |
| A, B : lists |
sitmo
/ calculate_iq_cov_matrix.py
Created
October 25, 2024 16:18
Squeezing Financial Noise: A Novel Approach to Covariance Matrix Estimation
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| import numpy as np | |
| def calculate_iq_cov_matrix(returns, delta_params, eta_weights, tau, epsilon, gamma): | |
| """ | |
| Calculate the IQ-based covariance matrix. | |
| Parameters: | |
| - returns: Matrix of asset returns, shape (T, N), where T is time and N is assets. | |
| - delta_params: Boundary parameters defining squeezing channels. | |
| - eta_weights: Array of squeezing weights for each channel. |