onc

Subject

Portfolio Construction and Risk

Why This Module Exists

Cluster count selection is a key source of model risk in hierarchical portfolio methods.

Mathematical Foundations

Cluster Score

$J(k)=\text{intra}(k)-\text{inter}(k)$

Selection

$k^*=\arg\min_k J(k)$

Usage Examples

Rust

Infer cluster structure

use openquant::onc::get_onc_clusters;

let out = get_onc_clusters(&corr, 20)?;
println!("{}", out.clusters.len());

API Reference

Rust API

• get_onc_clusters
• check_improve_clusters
• OncResult

Implementation Notes

• Run with repeated seeds/restarts for robust k selection.
• Use correlation cleaning before clustering unstable universes.