CrossSampleEntropy {Trading} | 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)
[Package Trading version 3.0 Index]