AlgoQuant, an integrated trading strategy research and backtesting system

# Package com.numericalmethod.algoquant.execution.datatype.depth.cache.returns

• Interface Summary
Interface Description
ReturnsDepthCacheFactory
ReturnsGenerator
Generates a sequence of returns.
• Class Summary
Class Description
AR1GARCH11Returns
Creates depth caches which are generated from an AR(1)-GARCH(1,1) model as follows.
AR1Returns
Constructs a depth cache where the returns are modeled by an AR(1) process as follows.
ARCH1Returns
Constructs a depth cache which are based on a model that assumes $$E(r_t) = 0$$ and conditional variances.
ARIMA0d0Returns
Constructs a depth cache where the returns are modeled by an ARIMA(0, d, 0) process as follows.
ARMA11Returns
Constructs a depth cache where the returns are modeled by an ARMA(1, 1) process as follows: $(r_t - \mu) - \varphi (r_{t-1} - \mu) = \varepsilon_t - \vartheta \varepsilon_{t-1},$ where $$\varepsilon_t$$ are random variables with distribution $$N(0, \sigma)$$.
RandomWalkReturns
Constructs a depth cache where the price of an asset is modeled by a random walk.
ReturnsDepthCache
A simulated depth cache where the timing of updates is matched to the given times.
ReturnsFromPriceSeries
Wraps an Iterable of IntTimeTimeSeries.Entrys to provide a ReturnsGenerator.
ReturnsFromReturnsSeries
Wraps an Iterable of IntTimeTimeSeries.Entrys to provide a ReturnsGenerator.
ReturnsFromRNG
Wraps a RandomNumberGenerator to use as simulated returns.
VectorReturnsDepthCachesFactory
Provides simulated sources of multiple returns.