tech.nmfin.algoquant.demo.model.infantino2010

Class Infantino2010PredictionAnalysisDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.infantino2010.Infantino2010PredictionAnalysisDemo

@Demo
public class Infantino2010PredictionAnalysisDemo
extends Object

Analyzes the correlation between predicted returns and realized returns to check if the prediction algorithm has any prediction power.

Using this example. Compares predicted and realized returns for the Infantino model and writes correlation analysis to log/pca-corr.csv.zip. This is forecast analysis rather than a funded portfolio simulation; a prediction correlation is not an account return.

Model and publication. PCA supplies a low-dimensional systematic-return representation for an accumulated-return regression. This example studies the forecasts on daily data, unlike the thesis’s intraday experiment.

Implementation in this tutorial. DynamicInfantino2010PCA receives T=500, k=2 and H=120 by default; N follows setupStocks(). MovingWindowOfReturns creates realized log-return comparisons and Covariance accumulates prediction/realization diagnostics. The CSV is a forecast-diagnostic output, not simulated account NAV. Overlapping H-period observations can be serially dependent; correlation alone does not establish tradable performance.

See Also:

L. R. Infantino and S. Itzhaki (2010), Developing high-frequency equities trading models, MIT MBA thesis

Constructor Summary

Constructors

Constructor and Description
Infantino2010PredictionAnalysisDemo()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)
void	run(List<Stock> stocks, dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)
static List<Stock>	setupStocks()

Methods inherited from class java.lang.Object

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

Constructor Detail

Infantino2010PredictionAnalysisDemo

public Infantino2010PredictionAnalysisDemo()

Method Detail

main

public static void main(String[] args)
                 throws dev.nm.misc.parallel.MultipleExecutionException,
                        IOException

Throws:

dev.nm.misc.parallel.MultipleExecutionException

IOException

setupStocks

public static List<Stock> setupStocks()

run

public void run(List<Stock> stocks,
                dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)
         throws dev.nm.misc.parallel.MultipleExecutionException,
                IOException

Throws:

dev.nm.misc.parallel.MultipleExecutionException

IOException