CrossSampleEntropy: Angular distance metrics
In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

CrossSampleEntropy

R Documentation

Angular distance metrics

Description

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

Usage

CrossSampleEntropy(returns_matrix, m = 2, r = 0.2)

Arguments

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

Value

The value of cross sample entropy

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

https://physoc.onlinelibrary.wiley.com/doi/epdf/10.1113/expphysiol.2007.037150

Examples


## calling CrossSampleEntropy() without an argument loads the historical edhec data
## for the "Short Selling" and "Convertible Arbitrage" strategies
returns_matrix = PerformanceAnalytics::edhec[,c("Short Selling","Convertible Arbitrage")]
Cross_Sample_Entropy = CrossSampleEntropy(returns_matrix,m=2,r=0.2)

Trading documentation built on Feb. 13, 2024, 3 a.m.