Trading

CCR, Advanced Correlation & Beta Estimates, Betting Strategies

Last update: 14 February 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 2.5, 1.0, 1.1, 1.2, 2.0, 2.1, 2.2, 3.0

Source code repository: https://github.com/cran/Trading

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.