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The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.
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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 …
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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 …