GitHub

Direct Bubble Hierarchy Tree

PortfolioOptimisers.EqualRoot — Type
struct EqualRoot <: DBHTRootMethod

Builds one root from the adjacency tree of every root candidate.

This keeps several equally plausible roots of the DBHT hierarchy rather than choosing between them.

Related

References

  • [52] W.-M. Song, T. Di Matteo and T. Aste. Nested hierarchies in planar graphs. Discrete Applied Mathematics 159, 2135–2146 (2011).
source
PortfolioOptimisers.DBHT — Type
struct DBHT{__T_sim<:AbstractNonNegativeSimilarityMatrixAlgorithm, __T_root} <: AbstractHierarchicalClusteringAlgorithm

Clusters assets by the bubble hierarchy of a triangulated maximally filtered graph.

DBHT is a composable clustering algorithm type for constructing hierarchical clusterings using the Direct Bubble Hierarchical Tree (DBHT) method, as described in [53].

Fields

  • sim: Similarity matrix algorithm. The PMFG cannot take a negative weight, so the family is the non-negative one and AngularSimilarity is refused.
  • root: Root selection method.

Constructors

DBHT(;    sim::AbstractNonNegativeSimilarityMatrixAlgorithm = MaximumDistanceSimilarity(),    root::DBHTRootMethod = UniqueRoot()) -> DBHT

Keywords correspond to the struct's fields.

Examples

julia> DBHT()DBHT   sim ┼ MaximumDistanceSimilarity()  root ┴ UniqueRoot()

Related

References

  • [53] W.-M. Song, T. Di Matteo and T. Aste. Hierarchical information clustering by means of topologically embedded graphs. PloS one 7, e31929 (2012).
source

References

[52]
[53]
W.-M. Song, T. Di Matteo and T. Aste. Hierarchical information clustering by means of topologically embedded graphs. PloS one 7, e31929 (2012).