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Results tagged with programming
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user 24955
For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.
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How to calculate the hedge ratio between two securities using the Least Squares model in Java
How does one, having two lists of prices Y and X and wishing to fit the Least Squares model, perform this in Java?
The fit is required to calculate the hedge ratio in a pairs trading strategy.
For e …
- 31
1
vote
How to calculate the hedge ratio between two securities using the Least Squares model in Java
The below code works for us:
final boolean includeIntercept = false;
SimpleRegression simpleRegression = new SimpleRegression(includeIntercept);
for (int i = 0; i < symbol1Bars.size(); i …
- 31