Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies
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. Some basic functionality about climate risk
was also added in the latest version.
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