Trading (Q28538): Difference between revisions
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publication date: 6 September 2016
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publication date: 20 November 2016
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publication date: 12 January 2019
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publication date: 19 April 2020
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publication date: 12 August 2020
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publication date: 4 July 2021
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publication date: 14 February 2024
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14 February 2024
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Property / last update: 14 February 2024 / rank | |||||||||||||||
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Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets while for the dynamic beta calculation the Kalman filter methodology has been utilized. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs 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 and EuroJackpot lotteries.Furthermore, some basic functionality about climate risk has been included. | |||||||||||||||
Property / description: Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets while for the dynamic beta calculation the Kalman filter methodology has been utilized. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs 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 and EuroJackpot lotteries.Furthermore, some basic functionality about climate risk has been included. / rank | |||||||||||||||
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Property / author: Tasos Grivas / rank | |||||||||||||||
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Property / copyright license: GNU General Public License, version 3.0 / rank | |||||||||||||||
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Property / imports: PerformanceAnalytics / rank | |||||||||||||||
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Property / imports: RcppAlgos / rank | |||||||||||||||
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Revision as of 12:54, 22 February 2024
CCR, Advanced Correlation & Beta Estimates, Betting Strategies
Language | Label | Description | Also known as |
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English | Trading |
CCR, Advanced Correlation & Beta Estimates, Betting Strategies |
Statements
14 February 2024
0 references
Contains performance analysis metrics of track records including entropy-based correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method has been implemented which produces accurate entropy estimation even on smaller datasets while for the dynamic beta calculation the Kalman filter methodology has been utilized. On a separate stream, trades from the five major assets classes and also functionality to use pricing curves, rating tables, CSAs 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 and EuroJackpot lotteries.Furthermore, some basic functionality about climate risk has been included.
0 references