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Entropy

Stress testing of Black Litterman vs entropy

Stress testing of Black Litterman vs entropy Video comparison of 2 equity distributions Join my FREE newsletter to learn more about these trading analytics for automated trading NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don’t worry as I don’t post stupid cat videos or what I eat!

An interesting take on Matlab vs Python with Entropy foe a quant research trading model or algo

An interesting take on Matlab vs Python with Entropy foe a quant research trading model or algo Go here for some feedback including my own https://quantlabs.net/blog/2014/02/in-python-backtesting-an-intraday-mean-reversion-pairs-strategy-between-spy-and-iwm/] BTW we have Iron Python as an option as well. Let me know what you think commenting at this post or the other. Join my FREE newsletter to see …

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Entropy and Optimization of Portfolio for quant analysis

Entropy and Optimization of Portfolio for quant analysis We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modication that can improve the outcome of the optimization process. The modication takes account of the entropic contribution from the time series used to compute the parameters in …

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