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πŸ”’ Information & negentropy (knob-free)

9 novel Β· 1 crypto-prior Β· 0 excluded. Each row links its FOSS implementation + license + paper. Empirical orthogonality deferred.

#CandidateFOSS implementation @ licensePaper Β· provenanceCoverage
#37 cumulative_residual_entropy
Rao's CDF-based entropy: CRE = -∫ S(x) log S(x) dx, replacing the density in Shannon entropy with the survival function; a parameter-free uncertainty
reimplement from paper
none
DOI:10.1109/TIT.2004.828057
git-anchor: absent @c803ef96e + @2d308f1c
not-covered
#38 cumulative_residual_extropy
The CDF-based dual of extropy: CREx = -1/2 ∫ S(x)^2 dx where S is the survival function; a knob-free concentration/dispersion measure that replaces th
reimplement from paper
none
DOI:10.1017/S0269964819000196
git-anchor: absent @c803ef96e + @2d308f1c
not-covered
#39 empirical_cumulative_entropy
Di Crescenzo–Longobardi cumulative entropy: CE = -∫ F(x) log F(x) dx using the CDF (left-tail dual of Rao's CRE); a parameter-free spread/uncertainty
reimplement from paper
none
DOI:10.1016/j.jspi.2009.05.038
git-anchor: absent @c803ef96e + @2d308f1c
not-covered
#40 lziv_complexity_signs
Lempel-Ziv (1976) complexity of the binary up/down sign sequence of the path: counts distinct sub-patterns produced by recursive copy, an entropy-rate
πŸ”Ž CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable
raphaelvallat/antropy
BSD-3-Clause
DOI:10.1109/TIT.1976.1055501
git-anchor: absent @c803ef96e + @2d308f1c
crypto-prior
#41 interval_entropy_dispersion_coeff
Entropy-based (information) dispersion coefficient of the unit-mean-normalized inter-quote interval distribution β€” quantifies arrival-timing randomnes
gregversteeg/NPEET
MIT (NPEET); BSD-3-Clause (scipy)
DOI:10.1016/j.ins.2012.12.046
git-anchor: absent @c803ef96e + @2d308f1c
not-covered
#82 sign_negentropy_logcosh_gap
Hyvarinen robust negentropy of the standardized log-return series: the squared gap between the expected logcosh contrast on the data and on a matched
scikit-learn (sklearn.decomposition.FastICA, _gs
BSD-3-Clause
DOI:10.1016/S0893-6080(00)0002
git-anchor: absent @c803ef96e + @2d308f1c
not-covered
#83 sign_two_state_entropy_rate
Shannon entropy rate of the return-sign sequence modeled as a two-state (up/down) Markov chain: estimate the up->down and down->up flip probabilities
⚠ lag-1 Markov sign-transition entropy (structural) · forex-roadmap-mentioned (listed as an UNTESTED inventory item in the
πŸ”Ž FOREX-MENTIONED-ONLY (roadmap inventory, not evaluated)
github.com/gregversteeg/NPEET (entropy estimator
MIT
DOI:10.3390/e23081046
git-anchor: absent @c803ef96e + @2d308f1c
not-covered
#84 empirical_cdf_fisher_rao_arclength
Fisher-Rao (square-root-density / SRVF) arc length of the path traced by the empirical distribution of returns when read as a curve on the unit sphere
github.com/jdtuck/fdasrsf_python (fdasrsf)
BSD-3-Clause
arXiv:1103.3817
git-anchor: absent @c803ef96e + @2d308f1c
not-covered
#107 etc_effort_to_compress_logret_sign
Effort-To-Compress complexity of the per-bar log-return sign string {+,0,-}: run Non-Sequential Recursive Pair Substitution (NSRPS) β€” at each step rep
pranaysy/ETCPy
Apache-2.0
DOI:10.1140/epjst/e2013-01888-
git-anchor: absent @c803ef96e + @2d308f1c
not-covered
#108 sequitur_grammar_compression_ratio_logret_sign
Run the Sequitur (Nevill-Manning–Witten) online grammar-inference algorithm on the log-return sign string. Sequitur is fully deterministic β€” it enforc
markomanninen/pysequitur
MIT
arXiv:cs/9709102 (Nevill-Manning & Witte
git-anchor: absent @c803ef96e + @2d308f1c
not-covered