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return-model-grk-physa2010's Introduction

Return model

This java program implements a model of absolute return in financial markets based on a paper by V. Gontis, J. Ruseckas, A. Kononovicius "Long-range memory stochastic model of the return in financial markets" (arXiv:0901.0903, doi: 10.1016/j.physa.2009.09.011).

The model was implemented in 2009-2010 by Aleksejus Kononovicius, other implementations were also used to produce results in the aforemetioned paper.

Another implementation of the model (as well as model description) is available at Physics of Risk blog and also on GitHub (see here).

--help output

The available options include:
  * Direct model parameters:
    --lambda or -l  This option sets lambda value used in model equations
                    (option followed by 1 double). Might be interpreted as
                    power of SDE stationary distribution power law tail.
    --epsilon or -e This options sets epsilon value used in model equations
                    (option followed by 1 double). Might be used to control
                    break point in PSD.
    --eta or -n     This options sets eta value used in model equations
                    (option followed by 1 double). Has a meanings of
                    stochastic multiplicativity.
    --kappa or -k   This options sets kappa value used in model equations
                    (option followed by 1 double). Model precission parameter.
    --tau or -t     This options sets tau value used by model (option
                    followed by 1 double). Dimensionless time window width
                    within which we integrated SDE sollutions.
    --tau60 or      This options sets tau60 value used by model (option
    -t60            followed by 1 double). Dimensionless time corresponding
                    to real time 60 seconds.
    --deltaT or -dT This options sets deltaT value used by model
                    (option followed by 1 double). Constant timestep size.
                    Numerical SDE solutions might become unstable with wrong
                    parameter value.
    --xmax or -x    This option sets differing exponential diffusion limit in
                    case of default diffusion limiter or (and) physical limit
                    to maximum return value in case if useLimits option
                    supplied (option followed by 1 integer).
    --oldLimiter    This options tells program to use old diffusion limiter
    or -ol          ((x*epsilon^n)^2).
    --useLimits     This option tells program to use physical limit while
    or -ul          modelling.
    --simpleSDE     This option tells program to use simple SDE while
    or -ss          modelling.
  * Noise parameters:
    --lambda2       This parameter sets lambda value used by noise formula
    or -l2          (option followed by 1 double). Basicly power of noise
                    distribution power law tail.
    --r0b or -rb    This parameter sets constant without MA(r) in r0() formula
                    near (option followed by 1 double). Constant noise
                    "variance".
    --r0a or -ra    This parameters set constant near MA(r) in r0() formula
                    (option followed by 1 double). Variable part of noise
                    "variance".
    --noNoise       This option disables usage of additional noise.
    or -nn
  * Mixed parameters (both model and software related):
    --experiment or This option allows to set experiment id (option followed 
    -ex             by integer). Experiment id can be used in output template.
                    If not set, experiment id equals Unix time.
    --core or -c    This options sets number of threads used for concurent
                    calculation (option followed by 1 integer). For best
                    preformance should equal to number of processor cores
                    available on machine.
    --points or -p  This option sets amount of points in each realization
                    (option followed by 1 integer).
    --realizations  This option sets amount of realizations calculated
    or -r           (option followed by 1 integer).
    --outPoints     This option sets amount of values calculated then
    or -op          calculating probability density function and spectra
                    (option followed by 1 integer).
    --pdfMax or     This option sets maximum value outputed then
    -pmx            calculating probability density function (option followed
                    by 1 integer).
    --pdfMin or     This option sets minimum value outputed then
    -pmn            calculating probability density function (option followed
                    by 1 integer).
    --notMinusMean  Options tells software not to subtract mean before
    or -!mm         calculating spectral density (might improve overlaping
                    with empirical results in term of magnitude).
    --approx or -a  This option sets approximation bounds which are used
                    then pdf and spectra aproximations are calculated
                    (option followed by 8 doubles or 1 string). PDF - first
                    two doubles; PSD, not simple SDE - 3rd to 6th double;
                    PSD, simple SDE - 7th and 8th double; String - "no".
    --approxDrop    This option forces output of approximated functions
    or -ad          to file. At least seven numbers are outputed to file
                    during this operation (pdf a, b coeficients, spectra
                    a1, b1, a2, b2 coefiencients and "break-point" in
                    spectra). Additionaly included numbers are from output
                    template. File name is set according to output template.
  * Directly related to software parameters:
    --version or -v This option forces output of version data asociated
                    with this program. No modelling is done.
    --license or -l This option forces output of license data asociated
                    with this program. No modelling is done.
    --window or -w  This option sets window parameters (option followed
                    by 2 integers and 1 string). Integers - width and height;
                    string can be equal to "centered" (or "c") or
                    "notCentered" (or "nc"). Doesn't imply graphical mode
                    (which is used by default).
    --image or -i   This option sets image parameters (option followed
                    by 2 integers and 1 string) and forces output to graphical
                    file. Integers - width and height; string - "png" or
                    "svg". Implies --notGui option.
    --notGui or -ng This option disables all windows but calculation progress
    or --!gui       window. Calculation results are outputed to text files.
    or -!g
    --commandLine   This option disables all windows. Calculation messages
    or -cl          are shown in terminal. Implies --notGui option.
    --noOut or -no  This option disables all output except for maintance
                    output (ex. error messages) and result output to text
                    file. Implies --commandLine option.
    --outTxt or -ot This option tells program to output results as text
                    files. Implies --notGui option.
    --output or -o  This option sets template of output directory and file
                    (option followed by 1 string). Some wild cards can be
                    used:
                      * "[l]" is substituted with lambda value,
                      * "[e]" is substituted with epsilon value,
                      * "[n]" is substituted with eta value,
                      * "[k]" is substituted with kappa value,
                      * "[t]" is substituted with tau value,
                      * "[l2]" is substituted with lambda2 value,
                      * "[rb]" is substituted with r0b value,
                      * "[ra]" is substituted with r0a value,
                      * "[ex]" is substituted with experiment id,
                      * "^" is substituted with empty string.

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