tech.nmfin.algoquant.demo.misc

Class MCSimulationDemo

java.lang.Object

tech.nmfin.algoquant.demo.misc.MCSimulationDemo

@Demo
public final class MCSimulationDemo
extends Object

This example, using Monte Carlo simulation, runs the GMA12 strategy on returns generated from a KnightSatchellTran1995 model. The results can then be compared to the analytical results.

Using this example. Supplies MCSimulation with factories for generated order-book paths, strategies and simulators. AlwaysFillModel is an explicit optimistic execution assumption; the per-trade statistic uses SimpleTradeCalculator, whose trade definition differs from the cited model. Repeated runs are simulated scenarios, not out-of-sample evidence.

Field Summary

Fields

Modifier and Type	Field and Description
static SimulatorBuilderFactory	SIMULATOR_BUILDER_FACTORY

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

SIMULATOR_BUILDER_FACTORY

public static final SimulatorBuilderFactory SIMULATOR_BUILDER_FACTORY

Method Detail

main

public static void main(String[] args)
                 throws MapOfExceptions

Throws:

MapOfExceptions