Thijs van den Berg sitmo
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/ 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. |