T
- time typepublic class HConstruction<T extends Comparable<? super T>> extends Object
Modifier and Type | Method and Description |
---|---|
double |
expectedPnL()
Gets the expected PnL when playing the H strategy in mean-reverting
model.
|
List<Double> |
extrema() |
double |
K()
Gets the H property.
|
int |
N()
Gets the number of H inversions.
|
List<T> |
times() |
List<Double> |
trades() |
double |
variation()
Gets the H variation/fluctuation.
|
double |
volatility()
Gets the H volatility.
|
public int N()
public double variation()
public double volatility()
public double K()
public double expectedPnL()
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