Package | Description |
---|---|
tech.nmfin.meanreversion.cointegration | |
tech.nmfin.meanreversion.cointegration.check |
Modifier and Type | Method and Description |
---|---|
TradingPair |
RobustCointegration.computeRobustPair(String symbol1,
String symbol2,
Vector price1,
Vector price2) |
protected static Matrix |
RobustCointegration.filterPrices(Matrix prices0)
Filters out invalid prices.
|
protected static Matrix |
RobustCointegration.filterUnchangedPrices(Matrix prices0)
Filters out prices that are unchanged between consecutive times.
|
Modifier and Type | Method and Description |
---|---|
boolean |
CorrelationCheck.isOK() |
boolean |
PairingCheck.isOK() |
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