pyhrp | Run hierarchical risk parity algorithms

pyhrp is a Python library. pyhrp has no bugs, it has no vulnerabilities, it has a Permissive License and it has low support. However pyhrp build file is not available. You can download it from GitHub.

A recursive implementation of the Hierarchical Risk Parity (hrp) approach by Marcos Lopez de Prado. We take heavily advantage of the scipy.cluster.hierarchy package. Here's a simple example. For your convenience you can bypass the construction of the covariance and correlation matrix, the links and the node, e.g. the root of the tree (dendrogram). You may expect a weight series here but instead the hrp function returns a Cluster object. The Cluster simplifies all further post-analysis.