From: John Conover <john@email.johncon.com>
Subject: Tsinvest Version 1.5
Date: 3 Apr 2003 09:31:31 -0000
The tsinvest program release 1.5 is available at:
http://www.johncon.com/ntropix/
An option was added that optimizes margin buying. There were no bug
fixes or other documentation changes.
The tsinvest program does quantitative financial analysis of equities.
The optimal gains of multiple equity investments are computed. The
program decides which of all available equities to invest in at any
single time, by calculating the instantaneous Shannon probability of
all equities, and using statistical estimation techniques to estimate
the accuracy of the calculated Shannon probability. Entropic
techniques are used throughout. A tutorial is presented in the man(1)
pages. A companion equity market simulation program is included, as is
a simple data blade program template. A fragment of the daily US
exchange tickers, from 1993 to 1996, is included as a demonstration of
the program's capabilities. Additionally, there is a program provided
that will translate the Yahoo! historical database of stock daily
closing prices at http://finance.yahoo.com/ to a compatible database
format.
The tsinvest program provides "engineered" solutions for equity
investing, (i.e., optimal maximum gain, minimum risk, high frequency
trading on "noise", long term investing, exploiting short term market
inefficiencies, asset allocation in the portfolio, etc.,) from a
universe of equities, (like provided by a stock ticker,) and assembles
an optimal portfolio that simultaneously maximizes portfolio gain in
value while minimizing investment risk. How the solutions are
"engineered" is controlled via command line arguments.
John
--
John Conover, john@email.johncon.com, http://www.johncon.com/