Numerical simulations with financial data
This protocol is extracted from research article:
Covariance matrix filtering with bootstrapped hierarchies
PLoS One, Jan 14, 2021; DOI: 10.1371/journal.pone.0245092

All the simulations are carried out in the same way: each point of each plot is an average over 10, 000 simulations, each of which includes an in-sample window of length tin and an out-of-sample window of length tout = 42 days (about two trading months) unless otherwise specified; it starts from a random day uniformly chosen in the available dataset. To have meaningful in- and out-of-sample windows given the maximum tin considered, the first day of the out-of-sample must be after 01-01-2000; each simulation selects n = 100 assets at random among the assets with no missing value in both in- and out-of-sample windows.

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