InformationAdjustedCorr

Calculates the Information-Adjusted Correlation between the track records of various assets/strategies which covers for cases whereby the 'typical' Pearson's correlation
assumptions do not hold. The normalized cross sample entropy has been utilized for the mutual information estimation.

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

InformationAdjustedCorr function

<dl><dt>x</dt>
<dd>a vector containing the track record of the underlying asset/strategy (can be a data.table, data.frame, vector etc)</dd>
<dt>y</dt>
<dd>a vector containing the track record of the underlying asset/strategy (can be a data.table, data.frame, vector etc)</dd>
<dt>m</dt>
<dd>an integer value defining the embedding dimension for the sample entropy calculation, default value is 2</dd>
<dt>r</dt>
<dd>a double value defining the tolerance for the sample entropy calculation, default value is 0.2</dd></dl>

Arguments

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

Author

Information Adjusted Correlation — InformationAdjustedCorr

<dl>

<dt>x</dt>
<dd>a vector containing the track record of the underlying asset/strategy (can be a data.table, data.frame, vector etc)</dd>


<dt>y</dt>
<dd>a vector containing the track record of the underlying asset/strategy (can be a data.table, data.frame, vector etc)</dd>


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


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

</dl>

InformationAdjustedCorr: Information Adjusted Correlation

Description

Usage

Value

Arguments

Author

References

Examples