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igorbrigadir/corrDist.py

Created October 21, 2019 18:39
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Compute the distance between 2 correlation matrices. https://twitter.com/lopezdeprado/status/1186090591370842112
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corrDist.py
def corrDist(corr0,corr1):
num=np.trace(http://np.dot(corr0,corr1))
den=np.linalg.norm(corr0,ord='fro')
den*=np.linalg.norm(corr1,ord='fro')
cmd=1-num/den
return cmd
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