Class HConstruction<T extends Comparable<? super T>>

  • Type Parameters:
    T - time type

    public class HConstruction<T extends Comparable<? super T>>
    extends Object
    A construction of extreme and trade points based on H discretization, ignoring changes smaller than H.
    • Method Detail

      • times

        public List<T> times()
      • N

        public int N()
        Gets the number of H inversions.
        Returns:
        the number of H inversions
      • variation

        public double variation()
        Gets the H variation/fluctuation.
        Returns:
        the H variation/fluctuation
        See Also:
        "eq. 6"
      • volatility

        public double volatility()
        Gets the H volatility.
        Returns:
        the H volatility
        See Also:
        "eq. 8"
      • K

        public double K()
        Gets the H property. The process is mean reverting if K < 2; arbitrage fee for K = 2; and trendy if K > 2
        Returns:
        the H property
        See Also:
        "eq. 24"
      • expectedPnL

        public double expectedPnL()
        Gets the expected PnL when playing the H strategy in mean-reverting model.
        Returns:
        the expected PnL when playing the H strategy in mean-reverting model