Correlation Matrix Informativeness

v1.0.0

Compute the informativeness of an asset correlation matrix, using one of the following distance metrics:

Euclidean distance (default), which is the distance induced by
Correlation matrix distance, defined in the second reference, which corresponds to between the two vectorized asset correlation matrices
Bures distance, defined in the third reference

References

Input

{
  "required": [
    "assets",
    "assetsCorrelationMatrix"
  ],
  "properties": {
    "assets": {
      "type": "integer"
    },
    "assetsCorrelationMatrix": {
      "type": "array",
      "description": "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    },
    "distanceMetric": {
      "type": "string",
      "description": "The distance metric to use to compute the informativeness of the asset correlation matrix",
      "enum": [
        "euclidean",
        "correlationMatrix",
        "bures"
      ]
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "assetsCorrelationMatrixInformativeness"
  ],
  "properties": {
    "assetsCorrelationMatrixInformativeness": {
      "type": "number",
      "description": "The informativeness of the asset correlation matrix"
    }
  }
}