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v1.0.2 (#4)
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* Example updates

* README update

* Binder environment update

* Poetry update
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antonvorobets committed Mar 3, 2024
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8 changes: 8 additions & 0 deletions README.md
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Expand Up @@ -47,3 +47,11 @@ A useful statistic when working with Entropy Pooling is the effective number of
scenarios introduced by [Meucci (2012)](https://ssrn.com/abstract=1971808). For
a causal Bayesian nets overlay on top of Entropy Pooling, see
[Vorobets (2023)](https://ssrn.com/abstract=4444291).

Video walkthroughs
------------------

Video walkthroughs of the two notebook examples for this package are available here
https://youtu.be/hDt103zEML8 and here https://youtu.be/DK1Pv5tuLgo. The videos give
additional insights into the Entropy Pooling theory and its sequential refinements.
It is highly encouraged to watch these two quickly increase your understanding.
5 changes: 4 additions & 1 deletion environment.yml
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Expand Up @@ -4,7 +4,10 @@ channels:
dependencies:
- python=3.10
- scipy
- seaborn
- pandas
- pip
- pip:
- fortitudo.tech
- entropy-pooling
- entropy-pooling
- yfinance
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"# Entropy Pooling example\n",
"This notebook replicates the results of the original EP method (Table 4 and Table 7) from the Sequential Entropy Pooling Heuristics article, available on https://ssrn.com/abstract=3936392.\n",
"\n",
"You can watch a video walkthrough of the example here: https://youtu.be/hDt103zEML8."
"You can watch a video walkthrough of the example here: https://youtu.be/hDt103zEML8.\n",
"\n",
"For additional useful information about Entropy Pooling and an application of the sequential heuristic H1 to S&P 500 and STOXX 50 data, see the next example as well as this video walkthrough: https://youtu.be/DK1Pv5tuLgo."
]
},
{
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"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.12.1"
"version": "3.12.0"
},
"orig_nbformat": 4,
"vscode": {
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606 changes: 606 additions & 0 deletions example/2_SequentialEntropyPooling.ipynb

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