tech.nmfin.algoquant.demo.model.infantino2010

Enum TestData

java.lang.Object

java.lang.Enum<TestData>

tech.nmfin.algoquant.demo.model.infantino2010.TestData

All Implemented Interfaces:

Serializable, Comparable<TestData>

public enum TestData
extends Enum<TestData>

Using this example. Supplies historical example stock sets for the Infantino demos, including explicit exclusions for insufficient data. These lists are not current or point-in-time S&P 500 membership. TEN_CHOOSEN_PLUS_NDX currently returns TEN_CHOOSEN.stocks(), so the created Nasdaq index addition is discarded; see the audit notes before using it.

Model and publication. This enum is example input selection for the PCA demonstrations, not a model described in the thesis.

Implementation in this tutorial. stocks() supplies each example’s universe. Availability exclusions are historical hand- maintained choices, and the chosen names and sample frequency differ from the thesis. Retain a point-in-time universe when doing a historical study; do not equate this enum with the paper’s 50-stock sample.

Author:

Ken Yiu

See Also:

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

Enum Constant Summary

Enum Constants

Enum Constant and Description
SP500
SP500_IT
SP500_PLUS_GSPC
STOCKS_WITH_INSUFFICIENT_DATA
TEN_CHOOSEN
TEN_CHOOSEN_PLUS_NDX

Method Summary

Modifier and Type	Method and Description
abstract Set<Stock>	stocks()
static TestData	valueOf(String name) Returns the enum constant of this type with the specified name.
static TestData[]	values() Returns an array containing the constants of this enum type, in the order they are declared.

Methods inherited from class java.lang.Enum

clone, compareTo, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class java.lang.Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Detail

STOCKS_WITH_INSUFFICIENT_DATA

public static final TestData STOCKS_WITH_INSUFFICIENT_DATA

SP500

public static final TestData SP500

SP500_PLUS_GSPC

public static final TestData SP500_PLUS_GSPC

SP500_IT

public static final TestData SP500_IT

TEN_CHOOSEN

public static final TestData TEN_CHOOSEN

TEN_CHOOSEN_PLUS_NDX

public static final TestData TEN_CHOOSEN_PLUS_NDX

Method Detail

values

public static TestData[] values()

Returns an array containing the constants of this enum type, in the order they are declared. This method may be used to iterate over the constants as follows:

for (TestData c : TestData.values())
    System.out.println(c);

Returns:

an array containing the constants of this enum type, in the order they are declared

valueOf

public static TestData valueOf(String name)

Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum type has no constant with the specified name

NullPointerException - if the argument is null

stocks

public abstract Set<Stock> stocks()