Software

The members of our group regularly publish the source code used in their research.

  • sharpeRratio (Damien Challet)

    A package for R to compute Sharpe ratios without using any moments

    CRAN

  • SVN (Damien Challet)

    A package for R to infer Statistically Validated Networks

    CRAN

  • RIEnet (Christian Bongiorno)

    Neural covariance cleaning for global minimum-variance portfolio construction, with TensorFlow/Keras and PyTorch implementations.

    GitHub — TensorFlow/Keras · GitHub — PyTorch · Paper

  • CrossRIEnet (Christian Bongiorno)

    A TensorFlow/Keras library for cleaning rectangular cross-correlation matrices through learned corrections to their singular values.

    GitHub · Paper

  • Time-Irreversibility-Estimator (Christian Bongiorno)

    Measures entropy production from multivariate dynamical systems with gradient boosting.

    GitHub

  • BAHC (Christian Bongiorno)

    Bootstrap Average Hierarchical Clustering – A Python package for filtering covariance matrices using hierarchical clustering and bootstrap aggregation.

    Pypi

  • SVHC (Christian Bongiorno)

    Statistically Validated Hierarchical Clustering – An algorithm to extract statistically significant hierarchical subpartitions from clustering results.

    GitHub

← Back to Home