https://github.com/open-risk/correlationmatrix

correlationMatrix is a Python powered library for the statistical analysis and visualization of correlations
https://github.com/open-risk/correlationmatrix

correlation-analysis correlation-matrices data-analysis data-science statistics

Last synced: 24 days ago
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correlationMatrix is a Python powered library for the statistical analysis and visualization of correlations

• Host: GitHub
• URL: https://github.com/open-risk/correlationmatrix
• Owner: open-risk
• License: apache-2.0
• Created: 2019-02-24T17:29:35.000Z (over 5 years ago)
• Default Branch: master
• Last Pushed: 2023-09-29T10:35:17.000Z (about 1 year ago)
• Last Synced: 2024-08-09T05:42:04.749Z (3 months ago)
• Topics: correlation-analysis, correlation-matrices, data-analysis, data-science, statistics
• Language: Python
• Homepage: https://www.openriskmanagement.com
• Size: 8 MB
• Stars: 13
• Watchers: 3
• Forks: 6
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • Changelog: CHANGELOG.rst
  • License: LICENSE.txt

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README

        
Intro

=========================

correlationMatrix is a Python powered library for the statistical analysis and visualization of correlation 

phenomena. It can be used to analyze any dataset that captures timestamped values (timeseries) 

The present use cases focus on typical analyses of market correlations, e.g via factor models

You can use correlationMatrix to

- Estimate correlation matrices from historical timeseries using a variety of models

- Visualize correlation matrices

- Manipulate correlation matrices (stress matrices, fix problematic matrices etc)

- Provide standardized data sets for testing

Key Information

================

* Author: [Open Risk](http://www.openriskmanagement.com)

* License: Apache 2.0

* Mathematical Documentation: [Open Risk Manual](https://www.openriskmanual.org/wiki/Correlation_Matrix)

* Development website: [Github](https://github.com/open-risk/correlationMatrix)

* General Discussions: [Open Risk Commons](https://www.openriskcommons.org/c/open-source/correlationmatrix/26)

**NB: correlationMatrix is still in active development. If you encounter issues please raise them in our

GitHub repository**

Examples

========

The examples directory contains examples illustrating the current functionality

Display correlation matrix

![image](examples/vandermonde.png)

Display dependency dendrogram

![image](examples/dendrogram.png)