CrossSampleEntropy

Calculates the cross sample entropy between two track records of various assets/strategies.

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

CrossSampleEntropy function

<dl><dt>returns_matrix</dt>
<dd>a matrix containing the track records of the underlying assets/strategies. These will be normalized during the algorithm</dd>
<dt>m</dt>
<dd>an integer value defining the embedding dimension , default value is 2</dd>
<dt>r</dt>
<dd>a double value defining the tolerance, default value is 0.2</dd></dl>

Arguments

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

Author

Angular distance metrics — CrossSampleEntropy

<dl>

<dt>returns_matrix</dt>
<dd>a matrix containing the track records of the underlying assets/strategies. These will be normalized during the algorithm</dd>


<dt>m</dt>
<dd>an integer value defining the embedding dimension , default value is 2</dd>


<dt>r</dt>
<dd>a double value defining the tolerance, default value is 0.2</dd>

</dl>

CrossSampleEntropy: Angular distance metrics

Description

Usage

Value

Arguments

Author

References

Examples