Evaluate the complexity of an index based on Quantitative Complexity Theory (QCT). Complexity is a fundamental physical property of any system, defined as a function of the structure of information flow and entropy. Optimum’s proprietary algorithm extracts all linear and non-linear relationships between the components of a system. It requires no models and accounts for the nonlinearities and dispersion of data using entropy concepts, not standard deviations. Applied to an equity index, the algorithm output is the complexity contribution of each stock [components] to the overall complexity of the Equity Index [system]. The stocks are then ranked from highest to lowest complexity contribution and gathered in the Index Complexity Profile.
- Firm Information
- Created in 2016, Optimum is the first company to measure complexity based on a proven model-free approach and to launch complexity-based investment strategies. Optimum uses proprietary technology and Quantitative Complexity Theory (QCT), a model-free measure of correlation created by company Co-founder & CTO Dr. Jacek Marcyk, to trade investment portfolios. Optimum also offers risk management advisory services to financial companies.