tech.nmfin.algoquant.demo.model.volarb

Class MRModelPeriodicDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.volarb.MRModelPeriodicDemo

@Demo
public class MRModelPeriodicDemo
extends Object

Using this example. Applies a periodic mean-reversion model to local GainCapital data. Separate the model period from the timestamps delivered by the cache, and distinguish the model signal from the strategy scale used to translate it into orders.

Model and publication. No single original research publication is claimed for this library/example policy.

Implementation in this tutorial. The periodic variant updates its continuous deviation state after the configured duration has elapsed; its mean estimator still receives each tick. The strategy rounds the target into tradable quantities. These are library-specific spread/grid trading policies. A basket converts product prices into a spread; the configured mean-reversion model maps its level or deviation into a desired state, and MeanReversionStrategy translates that state into product orders. Grid distance, periodic/ranged update behavior and scale are distinct controls. The folder name does not mean that option implied volatility is being traded. Mean reversion is an assumption to check, not a property guaranteed by this policy.

Constructor Summary

Constructors

Constructor and Description
MRModelPeriodicDemo()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)
void	run(String dataFolder)

Methods inherited from class java.lang.Object

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

Constructor Detail

MRModelPeriodicDemo

public MRModelPeriodicDemo()

Method Detail

main

public static void main(String[] args)

run

public void run(String dataFolder)