tech.nmfin.algoquant.demo.model.kst1995

Class KnightSatchellTran1995MLEDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.kst1995.KnightSatchellTran1995MLEDemo

@Demo
public class KnightSatchellTran1995MLEDemo
extends Object

Compares the fitted model with the real model.

Using this example. Generates observations from a configured Knight-Satchell-Tran model and fits its parameters by maximum likelihood. Compare fitted and generating parameters to understand the estimator; finite samples and random draws affect the result.

Model and publication. The original model concerns asymmetric upward and downward returns. The publication identity was verified, but its full text was unavailable; distributional and estimator details below follow the code/API, not an asserted paper reproduction.

Implementation in this tutorial. Generate N=100 returns from KnightSatchellTran1995, fit them with KnightSatchellTran1995MLE.fitModel and compare generating versus fitted parameters. The parameters supplied to the constructor govern the return generator; GMA12 then computes model- based holding-time and long-return statistics. These are analytical/simulation diagnostics without a funded trading account.

Author:

Haksun Li

See Also:

J. L. Knight, S. E. Satchell and K. C. Tran (1995), Statistical modelling of asymmetric risk in asset returns, Applied Mathematical Finance 2(3), 155–172

Constructor Summary

Constructors

Constructor and Description
KnightSatchellTran1995MLEDemo()

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

KnightSatchellTran1995MLEDemo

public KnightSatchellTran1995MLEDemo()

Method Detail

main

public static void main(String[] args)