Package tech.nmfin.trend.kst1995

Class KnightSatchellTran1995

java.lang.Object
dev.nm.stat.markovchain.SimpleMC
dev.nm.stat.hmm.HMMRNG
tech.nmfin.trend.kst1995.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. invalid input: '&' Tran K. C. "Statistical modelling of asymmetric risk in asset returns," Applied Mathematical Finance, Volume 2, Issue 3, 1995.

  • Field Details

    • 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 Details

    • 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 Details

    • 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

    • nextDouble

      public double nextDouble()
      Gets the next simulated observation.
      Specified by:
      nextDouble in interface RandomNumberGenerator
      Overrides:
      nextDouble in class HMMRNG
      Returns:
      next observation

    • toString

      public String toString()
      Overrides:
      toString in class Object