getRndCoV: Random Matrix with Signal Function to create a random matrix...

In barryquinn1/ATI: Algorithmic Trading and Investment

Description

Random Matrix with Signal Function to create a random matrix with a number of ground truth facts or signals.

Usage

getRndCoV(nCols, nFacts)

Arguments

nCols	number of columns or stocks
nFacts	number of signals to add to the random matrix

Value

matrix

References

López de Prado, Marcos. 2020. “Machine Learning for Asset Managers.” In Elements in Quantitative Finance. Cambridge University Press.

Examples

nCols=1000
nFacts=100
alpha<-q<-0.95
rtns=array(rnorm(nCols*q*nCols),dim = c(nCols*q,nCols))
cov1=cov(rtns)
cov1=alpha*cov1+(1-alpha)*getRndCoV(nCols = nCols,nFacts = nFacts)
corr0=cov2cor(cov1)
eigs=eigen(corr0)

barryquinn1/ATI documentation built on May 10, 2021, 10:47 a.m.