mlfinlab.microstructural_features.entropy

Entropy calculation module (Shannon, Lempel-Ziv, Plug-In, Konto)

Module Contents

Functions

get_shannon_entropy(→ float)

Function returns the Shannon entropy of an encoded message (encoding should consist

get_lempel_ziv_entropy(→ float)

Function returns the Lempel-Ziv entropy of an encoded message (encoding should consist

get_plug_in_entropy(→ float)

Function returns the Plug-In entropy of an encoded message (encoding should consist

get_konto_entropy(→ float)

Function returns the Kontoyiannis entropy of an encoded message (encoding should consist
get_shannon_entropy(message: str | pandas.Series) → float

Function returns the Shannon entropy of an encoded message (encoding should consist of exclusively 1s and 0s).

Parameters:

message – (str or pd.Series) Encoded message.

Returns:

(float) Shannon entropy.

get_lempel_ziv_entropy(message: str | pandas.Series) → float

Function returns the Lempel-Ziv entropy of an encoded message (encoding should consist of exclusively 1s and 0s).

Parameters:

message – (str or pd.Series) Encoded message.

Returns:

(float) Lempel-Ziv entropy.

get_plug_in_entropy(message: str | pandas.Series, word_length: int = 1) → float

Function returns the Plug-In entropy of an encoded message (encoding should consist of exclusively 1s and 0s).

A key component of the algorithm is specifying a constant that represents the average word length in the encoded message. For our purposes, this average will always be 1, since each trade classification is represented by a single digit.

Parameters:

  • message – (Option: str/pd.Series) Encoded message.

  • word_length – (int) Average word length.

Returns:

(float) Plug-in entropy.

get_konto_entropy(message: str | pandas.Series, window_size: int | None = None) → float

Function returns the Kontoyiannis entropy of an encoded message (encoding should consist of exclusively 1s and 0s).

A fixed window size can be specified for the calculation of the Kontoyiannis entropy. If no window size is specified then an expanding window is used.

Parameters:

  • message – (Option: str/pd.Series) Encoded message.

  • window_size – (int) Window length to be used.

Returns:

(float) Kontoyiannis entropy.