tech.nmfin.meanreversion.cointegration

Class PairingModel3

java.lang.Object

tech.nmfin.meanreversion.cointegration.PairingModel3

All Implemented Interfaces:

PairingModel

public class PairingModel3
extends Object
implements PairingModel

Constructor Summary

Constructors

Constructor and Description
PairingModel3(double lowerCorrelationBound, double upperCorrelationBound, double tail)

Method Summary

Modifier and Type	Method and Description
List<TradingPair>	getTradingPairs(List<String> allSymbols, List<String> tradableSymbols, Matrix prices)

Methods inherited from class java.lang.Object

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

Constructor Detail

PairingModel3

public PairingModel3(double lowerCorrelationBound,
                     double upperCorrelationBound,
                     double tail)

Method Detail

getTradingPairs

public List<TradingPair> getTradingPairs(List<String> allSymbols,
                                         List<String> tradableSymbols,
                                         Matrix prices)

Specified by:

getTradingPairs in interface PairingModel