tech.nmfin.algoquant.demo.model.daspremont2008

Class MRSimParamSP500

java.lang.Object

tech.nmfin.algoquant.demo.model.daspremont2008.MRSimParamSP500

All Implemented Interfaces:

MRSimParam

public class MRSimParamSP500
extends Object
implements MRSimParam

Using this example. Provides shared S&P 500 simulation settings for the Kagi basket examples, including the Yahoo price-matrix factory. Treat the embedded universe and dates as historical example settings, not a point-in-time constituent database.

Model and publication. Sparse basket selection is the research background; this class is configuration rather than a portfolio-selection algorithm.

Implementation in this tutorial. Its overrides choose the stock pool, Yahoo price-matrix factory, estimation/trading windows, basket count and size. Changing these alters the experiment, so an S&P 500 configuration should not be described as reproducing the paper’s swap-rate or FX datasets.

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
MRSimParamSP500()

Method Summary

Modifier and Type	Method and Description
int	basketCount()
Period	basketRenewalPeriod()
int	basketSize()
double	covPenalty()
Currency	currency()
Exchange	exchange()
Period	inSamplePeriodForBasketSelection()
Period	inSamplePeriodForClustering()
PriceMatrixFactory<String>	priceMatrixFactory()
List<String>	symbolPool()
dev.nm.misc.datastructure.time.LocalDateTimeInterval	tradingInterval()

Methods inherited from class java.lang.Object

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

Constructor Detail

MRSimParamSP500

public MRSimParamSP500()

Method Detail

symbolPool

public List<String> symbolPool()

Specified by:

symbolPool in interface MRSimParam

basketCount

public int basketCount()

Specified by:

basketCount in interface MRSimParam

basketSize

public int basketSize()

Specified by:

basketSize in interface MRSimParam

currency

public Currency currency()

Specified by:

currency in interface MRSimParam

tradingInterval

public dev.nm.misc.datastructure.time.LocalDateTimeInterval tradingInterval()

Specified by:

tradingInterval in interface MRSimParam

basketRenewalPeriod

public Period basketRenewalPeriod()

Specified by:

basketRenewalPeriod in interface MRSimParam

inSamplePeriodForClustering

public Period inSamplePeriodForClustering()

Specified by:

inSamplePeriodForClustering in interface MRSimParam

inSamplePeriodForBasketSelection

public Period inSamplePeriodForBasketSelection()

Specified by:

inSamplePeriodForBasketSelection in interface MRSimParam

covPenalty

public double covPenalty()

Specified by:

covPenalty in interface MRSimParam

priceMatrixFactory

public PriceMatrixFactory<String> priceMatrixFactory()

Specified by:

priceMatrixFactory in interface MRSimParam

exchange

public Exchange exchange()

Specified by:

exchange in interface MRSimParam