AngularDistance

Calculates the angular distance between a matrix of the track records of various assets/strategies. The sign of the correlation can be ignored for long/short portfolios.

Contains performance analysis metrics of track records including entropy-based
correlation and dynamic beta based on a state/space algorithm. The normalized sample entropy method
has been implemented which produces accurate entropy estimation even on smaller datasets.
On a separate stream, trades from the five major assets classes and also
functionality to use pricing curves, rating tables, Credit Support Annex and add-on tables. The
implementation follows an object oriented logic whereby each trade inherits from
more abstract classes while also the curves/tables are objects. Furthermore, odds calculators
and P&L back-testing functionality has been implemented for the most widely used betting/trading
strategies including martingale, 'DAlembert', 'Labouchere' and Fibonacci. Back testing has also been included for the 'EuroMillions',
the 'EuroJackpot', the UK Lotto, the Set For Life and the UK 'ThunderBall' lotteries.
Furthermore, some basic functionality about climate risk has been included.

Tasos Grivas

Trading

Trade Objects, Advanced Correlation & Beta Estimates, Betting
Strategies

AngularDistance function

<dl><dt>returns_matrix</dt>
<dd>a matrix containing the track records of the underlying assets/strategies.</dd>
<dt>long_short</dt>
<dd>a boolean value which results in the sign of the correlation being ignored, default value is FALSE</dd></dl>

Arguments

Tasos Grivas &lt;tasos@openriskcalculator.com&gt;

Author

Angular distance metrics — AngularDistance

<dl>

<dt>returns_matrix</dt>
<dd>a matrix containing the track records of the underlying assets/strategies.</dd>


<dt>long_short</dt>
<dd>a boolean value which results in the sign of the correlation being ignored, default value is FALSE</dd>

</dl>

AngularDistance: Angular distance metrics

Description

Usage

Value

Arguments

Author

References

Examples