tech.nmfin.algoquant.demo.model.daspremont2008

Class KagiMRBasketSimulationDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.daspremont2008.KagiMRBasketSimulationDemo

@Demo
public class KagiMRBasketSimulationDemo
extends Object

Using this example. Creates mean-reverting baskets with SimpleMRBasketProvider and evaluates a basket through KagiMRBasketSimulation. MRSimParamSP500 supplies the data and interval conventions; the plotted P/L belongs to the selected basket and trading period.

Model and publication. The paper searches for sparse portfolios with low autoregressive predictability, using generalized eigenvalue formulations and sparse approximations. Basket selection and profitable execution are separate questions.

Implementation in this tutorial. SimpleMRBasketProvider uses the configured price matrix, covariance penalty, clustering and basket-selection windows. The demo selects the first basket and passes it to KagiMRBasketSimulation for a trading interval. The Kagi simulation and S&P 500 settings are implementation choices; the example does not demonstrate every greedy/semidefinite method in the paper.

See Also:

A. d’Aspremont (2008 preprint; published 2011), Identifying Small Mean Reverting Portfolios, Quantitative Finance 11(3), 351–364

Constructor Summary

Constructors

Constructor and Description
KagiMRBasketSimulationDemo()

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

Constructor Detail

KagiMRBasketSimulationDemo

public KagiMRBasketSimulationDemo()

Method Detail

main

public static void main(String[] args)