Class KnightSatchellTran1995

  • All Implemented Interfaces:
    RandomNumberGenerator, Seedable

    public class KnightSatchellTran1995
    extends HMMRNG
    Implements the Knight-Satchell-Tran model of financial asset returns.
    See Also:
    • Emmanual Acar, Stephen Satchell. "Section 5.3," Advanced Trading Rules, Second Edition (Quantitative Finance) Butterworth-Heinemann; 2nd edition. June 19, 2002
    • Knight J. L., Satchell S. E. & Tran K. C. "Statistical modelling of asymmetric risk in asset returns," Applied Mathematical Finance, Volume 2, Issue 3, 1995.
    • Field Detail

      • p

        public final double p
      • q

        public final double q
      • mu

        public final double mu
      • alpha0

        public final double alpha0
      • rate0

        public final double rate0
      • alpha1

        public final double alpha1
      • rate1

        public final double rate1
    • Constructor Detail

      • KnightSatchellTran1995

        public KnightSatchellTran1995​(double mu,
                                      double q,
                                      double alpha0,
                                      double rate0,
                                      double p,
                                      double alpha1,
                                      double rate1,
                                      RandomStandardNormalGenerator rnorm,
                                      RandomLongGenerator rlg)
        Constructs an instance of the Knight-Satchell-Tran model of returns.
        Parameters:
        mu - long term mean of returns
        q - Pr(Z_t = 0 | Z_{t-0} = 0)
        alpha0 - shape parameter of negative shocks in Z_t = 0
        rate0 - rate parameter; 1/scale parameter of negative shocks
        p - Pr(Z_t = 1 | Z_{t-1} = 1)
        alpha1 - shape parameter of positive shocks in Z_t = 1
        rate1 - rate parameter; 1/scale parameter of positive shocks
        rnorm - a standard normal rng
        rlg - a uniform rlg
      • KnightSatchellTran1995

        public KnightSatchellTran1995​(double mu,
                                      double q,
                                      double alpha0,
                                      double rate0,
                                      double p,
                                      double alpha1,
                                      double rate1)
        Constructs an instance of the Knight-Satchell-Tran model of returns.
        Parameters:
        mu - long term mean of returns
        q - Pr(Z_t = 0 | Z_{t-0} = 0)
        alpha0 - shape parameter of negative shocks in Z_t = 0
        rate0 - rate parameter; 1/scale parameter of negative shocks
        p - Pr(Z_t = 1 | Z_{t-1} = 1)
        alpha1 - shape parameter of positive shocks in Z_t = 1
        rate1 - rate parameter; 1/scale parameter of positive shocks
      • KnightSatchellTran1995

        public KnightSatchellTran1995​(KnightSatchellTran1995 that)
        Copy constructor.
        Parameters:
        that - another KST model
    • Method Detail

      • PrZt0

        public double PrZt0()
        Computes the stationary probability of in state Z_t = 0.
        Returns:
        the stationary probability of state 0
      • PrZt1

        public double PrZt1()
        Computes the stationary probability of in state Z_t = 1.
        Returns:
        the stationary probability of state 1