tech.nmfin.algoquant.demo.model.factormodel

Class FactorModelUtils

java.lang.Object

tech.nmfin.algoquant.demo.model.factormodel.FactorModelUtils

public class FactorModelUtils
extends Object

Using this example. Supports factor-model demonstrations with benchmark and report utilities. Read the callers for the chosen currency and measurement period; a benchmark lookup is a comparison series, not an independently simulated strategy account.

Model and publication. This is reporting/benchmark support for the factor examples, not an implementation of the Fama–French research portfolios.

Implementation in this tutorial. newBenchmark loads a comparison series, and byPeriodMeasures assembles report statistics. These helpers do not construct SMB/HML or estimate factor loadings; read the strategy demo and model objects for those steps.

See Also:

E. F. Fama and K. R. French (1993), Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33(1), 3–56

Constructor Summary

Constructors

Constructor and Description
FactorModelUtils()

Method Summary

Modifier and Type	Method and Description
static Map<PeriodByPeriodMeasure,List<IntervalValue>>	byPeriodMeasures(List<Execution> executions, OrderBookCaches orderBookCaches, dev.nm.misc.datastructure.time.LocalDateTimeInterval interval, Period period, List<PeriodByPeriodMeasure> byPeriodMeasures)
static BenchmarkLookup	newBenchmark(String symbol, dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)
static BenchmarkLookup	newHsiBenchmark(dev.nm.misc.datastructure.time.LocalDateTimeInterval interval) Uses the same supplied HSI history as the Compustat market database.

Methods inherited from class java.lang.Object

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

Constructor Detail

FactorModelUtils

public FactorModelUtils()

Method Detail

newHsiBenchmark

public static BenchmarkLookup newHsiBenchmark(dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)
                                       throws IOException,
                                              ParseException

Uses the same supplied HSI history as the Compustat market database. This keeps historical factor tutorials reproducible without a live Yahoo request. The configured HSI.csv.zip must cover the requested period.

Parameters:

interval - the reporting period

Returns:

an as-of lookup of the local HSI index level

Throws:

IOException - if the configured archive cannot be read

ParseException - if the archive has invalid dates

newBenchmark

public static BenchmarkLookup newBenchmark(String symbol,
                                           dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)

byPeriodMeasures

public static Map<PeriodByPeriodMeasure,List<IntervalValue>> byPeriodMeasures(List<Execution> executions,
                                                                              OrderBookCaches orderBookCaches,
                                                                              dev.nm.misc.datastructure.time.LocalDateTimeInterval interval,
                                                                              Period period,
                                                                              List<PeriodByPeriodMeasure> byPeriodMeasures)