Class PairingModelUtils
- java.lang.Object
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- tech.nmfin.meanreversion.cointegration.PairingModelUtils
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public class PairingModelUtils extends Object
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Constructor Summary
Constructors Constructor Description PairingModelUtils()
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Method Summary
All Methods Static Methods Concrete Methods Modifier and Type Method Description static List<List<Integer>>
findClusters(Matrix R, double covPenalty)
static Map<Integer,Integer>
getClusters(Matrix returns, double covPenalty)
static List<Integer[]>
getPossiblePairs(int N)
static List<Integer[]>
getPossiblePairs(List<String> allSymbols, List<String> tradableSymbols)
static Matrix
getPriceMatrix(Vector p1, Vector p2)
static Matrix
getTailedMatrix(Matrix A, double tailed)
static Map<Integer,Integer>
mapClusterIndices(List<List<Integer>> clusters)
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