algorithm-component-library
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A collection of code snippets that can be constructed into larger trading algorithms.
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Shrinks towards constant correlation matrix If shrink is specified then this const is used for shrinkage The notation follows Ledoit and Wolf (2004) http://www.ledoit.net/honey_abstract.htm This version: 06/2009 Parameters ---------- x...
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A collection of code snippets that can be constructed into larger trading algorithms.