tech.nmfin.algoquant.demo.model.daspremont2008

Class MultiPeriodKagiMRStrategyDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.daspremont2008.MultiPeriodKagiMRStrategyDemo

@Demo
public class MultiPeriodKagiMRStrategyDemo
extends Object

Using this example. Runs MultiPeriodKagiMRStrategySim using MRSimParamSP500 and inspects the resulting basket analysis and performance report. Basket construction and subsequent trading are separate stages; review their data windows before adapting the example.

Model and publication. Sparse mean-reverting portfolio construction motivates the basket search. The paper’s predictability criterion is not itself a trading return.

Implementation in this tutorial. MultiPeriodKagiMRStrategySim repeatedly combines selection and trading according to MRSimParamSP500, then exposes a PerformanceReport and basket diagnostics. Basket renewal, Kagi execution and the chosen universe are application settings; compare estimation windows with trade dates to avoid future information.

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
MultiPeriodKagiMRStrategyDemo()

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

MultiPeriodKagiMRStrategyDemo

public MultiPeriodKagiMRStrategyDemo()

Method Detail

main

public static void main(String[] args)