Examples with LinearRegression suite.math.numeric.Statistic.LinearRegression used on opensource projects

Example 11 with LinearRegression

use of suite.math.numeric.Statistic.LinearRegression in project suite by stupidsing.

the class StatisticalArbitrageTest method testCointegration.

// Auto-regressive test
@Test
public void testCointegration() {
    // 0004.HK, 0020.HK
    // 0011.HK, 0005.HK
    int tor = 8;
    String symbol0 = "0004.HK";
    String symbol1 = "0945.HK";
    AlignKeyDataSource<String> akds = cfg.dataSources(period, Read.each(symbol0, symbol1));
    Map<String, float[]> pricesBySymbol = akds.dsByKey.mapValue(DataSource::returns).toMap();
    int length = akds.ts.length;
    float[] prices0 = pricesBySymbol.get(symbol0);
    float[] prices1 = pricesBySymbol.get(symbol1);
    LinearRegression lr = stat.linearRegression(// 
    Ints_.range(tor, // 
    length).map(i -> FltObjPair.of(prices1[i], Floats_.toArray(tor, j -> prices0[i + j - tor]))));
    System.out.println(lr);
}