V. 22:9 (10-13): Letters To S&C by Technical Analysis, Inc.
MAXIMUM ENTROPY METHOD
I am a 34-year-old Italian engineer. I am interested in the maximum entropy method as applied to the financial markets. I would implement this method in an Excel spreadsheet. Could you kindly suggest a list of articles I could buy from you in order to do that?
GIUSEPPE BASSETTO, via email
Publisher Jack K. Hutson replies:
Over the years, we have published many articles on maximum entropy spectrum analysis (MESA). In Volume 2 (1984) of Technical Analysis of STOCKS & COMMODITIES, The Traders’ Magazine, Anthony W. Warren and I published a series of articles that included BASIC code to implement the maximum entropy method (MEM) for short-term market forecasting. The code is written in Applesoft BASIC for an Apple II computer, but could be adapted to run under Microsoft Excel using Excel’s Visual Basic for Applications. MESA is too complex to implement directly in a spreadsheet.
We’ve also published many articles by John F. Ehlers on MESA and other engineering techniques. Ehlers has developed a commercial program that he sells under the name MESA (see www.mesasoftware.com). We also interviewed Ehlers earlier this year in the January 2004 S&C; an article description follows. . .