public class RobustCointegration extends Object
Modifier and Type | Field and Description |
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protected static double |
REMAINING_ROWS_PCT_THRESHOLD |
Constructor and Description |
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RobustCointegration() |
Modifier and Type | Method and Description |
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void |
addCheck(PairingCheck check) |
protected static double |
computeCointegratingBeta(Matrix prices) |
TradingPair |
computeRobustPair(String symbol1,
String symbol2,
Vector price1,
Vector price2) |
protected static double |
computeShortTermCointegratingBeta(Matrix prices,
double tailed) |
protected static Matrix |
filterPrices(Matrix prices0)
Filters out invalid prices.
|
protected static Matrix |
filterUnchangedPrices(Matrix prices0)
Filters out prices that are unchanged between consecutive times.
|
protected static Matrix |
getTailedMatrix(Matrix A,
double tailed) |
protected static final double REMAINING_ROWS_PCT_THRESHOLD
public void addCheck(PairingCheck check)
public TradingPair computeRobustPair(String symbol1, String symbol2, Vector price1, Vector price2) throws NoPairFoundException
NoPairFoundException
protected static double computeCointegratingBeta(Matrix prices)
protected static double computeShortTermCointegratingBeta(Matrix prices, double tailed)
protected static Matrix filterPrices(Matrix prices0) throws NoPairFoundException
prices0
- the prices to be filteredNoPairFoundException
- when no pair is foundprotected static Matrix filterUnchangedPrices(Matrix prices0) throws NoPairFoundException
prices0
- the prices to be filteredNoPairFoundException
- when no pair is foundCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.