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proximity-matrix

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chirindaopensource / strapsim_portfolio_similarity_metric

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End-to-End Python implementation of STRAPSim: a novel portfolio similarity metric from Li et al. (2025). Combines Random Forest proximity learning with residual-aware bipartite matching to quantify economic substitutability between ETF baskets. Full replication pipeline included.

python machine-learning random-forest scikit-learn jupyter-notebook pandas statistical-analysis supervised-learning portfolio-optimization quantitative-finance numba fixed-income asset-management proximity-matrix bipartite-matching similarity-metrics research-replication portfolio-similarity etf-analysis corporate-bonds
  • Updated Oct 2, 2025
  • Jupyter Notebook

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