Interface  Description 

ReturnsGenerator 
Generates a sequence of returns.

ReturnsOrderBookCacheFactory 
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:
\[
(r_t  \mu)  \varphi (r_{t1}  \mu) = \varepsilon_t  \vartheta
\varepsilon_{t1},
\]
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.

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.

ReturnsOrderBookCache 
A simulated order book cache where the timing of updates is matched to the
given times.

VectorReturnsOrderBookCachesFactory 
Provides simulated sources of multiple returns.

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