tech.nmfin.algoquant.demo.model.volarb

Class MeanReversionPortfolioDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.volarb.MeanReversionPortfolioDemo

@Demo
public class MeanReversionPortfolioDemo
extends Object

Demonstrates how to create a MeanReversionPortfolio with different grid sizes.

Using this example. Combines mean-reversion components with different grid sizes on local GainCapital data. Follow each basket and scale into the combined portfolio; adding components changes total exposure and does not automatically normalize the allocation.

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

Implementation in this tutorial. This composition combines components with different grid sizes. Read their individual scales before comparing the aggregate P/L with a single component. 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
MeanReversionPortfolioDemo()

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

MeanReversionPortfolioDemo

public MeanReversionPortfolioDemo()

Method Detail

main

public static void main(String[] args)

run

public void run(String dataFolder)