Re: [ojAlgo-user] Financial Module - OjAlgo

[Anders P. <an...@op...>]

No, there is not. /Anders



> On 5 maj 2016, at 20:56, Vincent de CHACUS C. <dec...@ya...> wrote:
> 
> thank you for your reply.
> I was talking about a 1D matrix of excess returns.
> For example, if I have 16 assets, my input will be a 16 X 1 matrix of excess returns.
> Is there a method in any of the classes that will return a 16 x 16 covariance matrix?
> 
> thanks,
> Vince
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> Le Jeudi 5 mai 2016 14h28, Anders Peterson <an...@op...> a écrit :
> 
> 
> 
> > On 5 maj 2016, at 14:37, Vincent de CHACUS C. <dec...@ya...> wrote:
> > 
> > Hey Anders,
> > 
> > I think I made some progress, but I still have a few questions:
> > 
> > - Is there any methods anywhere in the codebase that can take a 1D BasicMatrix (or any other 
> > Access1D data structure) and return an Access2D covariance matrix? 
> > In all the examples in the test package that use a covariance matrix, they all start with hardcoded values...
> > 
> > - Same thing for the correlation matrix (the one used as input for the constructor of the SimplePortfolio class)? 
> 
> 
> I don’t understand. What does that 1D vector contain?
> 
> 
> 
> > - One of the MarkowitzModel constructor takes an expected excess returns argument as input. Conceptually, what is the excess relative to? I'm asking this because in my model, i have an asset price, and an asset intrinsic value. My expected return is the improvement potential I see between the current price and what I think the intrinsic value is. Is that in line with the definition of the expected excess return argument?
> 
> 
> It’s excess relative to the risk-free return. Generally it’s no problem to assume that to be zero. These are not questions regarding how ojAlgo works. You need to read up on modern portfolio theory:
> 
> https://en.wikipedia.org/wiki/Modern_portfolio_theory
> 
> 
> 
> > - Also, in one of your responses in the mail archive, you said the RAF is a value between 0 and 100. But in the TestEquilibrium class, the example uses an RAF of 1000. Is it a typo? 
> 
> 
> Just think of the RAF as a parameter that corresponds to one point on the efficient frontier. Zero is not a very good choice. It can be very large or very small, but not zero. Experiment with different values. Start with 1.0 to 10.0 range.
> 
> 
> 
> /Anders
> 
> 
> 
> > Best Regards,
> > Vince
> > 
> > PS: Thanks for making OjAlgo available to everyone. It's truly a useful tool!!!!
> > 
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> >    To accomplish great things, we must not only act, but also dream; not only plan, but also believe
> > 
> > 
> > Le Mercredi 13 avril 2016 10h06, Vincent de CHACUS C. <dec...@ya...> a écrit :
> > 
> > 
> > Thanks for your prompt response Anders!
> > 
> > I will go over it again with this new perspective and let you know if I hit a roadblock.
> > If I get it to work, I will gladly contribute a small sample of my implementation as documentation for the finance package.
> > 
> > 
> > Regards,
> > Vince
> >  
> >  
> >  
> >  
> >  
> >  
> >    To accomplish great things, we must not only act, but also dream; not only plan, but also believe
> > 
> > 
> > Le Mercredi 13 avril 2016 7h05, Anders Peterson <an...@op...> a écrit :
> > 
> > 
> > There’s not yet any specific example documentation for the finanace.portfolio classes (MarkowitzModel). The test cases that you already found is probably the best alternative.
> > 
> > https://github.com/optimatika/ojAlgo/tree/master/test/org/ojalgo/finance/portfolio
> > 
> > There is no need or requirement to use a DataSource with the porfolio classes. The Yahoo and Google finance data sources are simply there to allow you to download and/or parse data. If you already have the data you need, in a database, the just fetch it and use it.
> > 
> > If your database stores time series data then fetch that and put in CalendarDateSeries. Create a CoordinationSet with all your CalendarDateSeries instances.. Call #complete(), #prune() or #resample() as needed. Then there are methods in FinanceUtils that can give you a covariance matrix and other things.
> > 
> > Also note that CalendarDateSeries also has a method getPrimitiveTimeSeries() that can be useful, and can be wrapped in SampleSet.
> > 
> > /Anders
> > 
> > 
> > 
> > > On 13 apr. 2016, at 04:26, Vincent de CHACUS C. <dec...@ya...> wrote:
> > > 
> > > Hey Guys,
> > > 
> > > I am working on a financial application and I am trying to use the finance module of ojalgo. 
> > > For the past week, I've been scouring the source code trying to understand how to use it and I have a few questions.
> > > 
> > > - Is there any example that shows how to make use of the Markowitz Optimization? (Other than the one on the ConvexSolver Performance page in the wiki?)
> > > 
> > > - Is there any way to get the datasource to use my DB as source directly without having to load all the symbols manually in an array?
> > > 
> > > - Could you please point me to an example (if possible) that uses stock symbols, their price, etc....and runs through the optimization and returns a set of recommendations? 
> > > All the examples I found in the test package all have hardcoded numbers in the arrays and not a lot of explanation about the context.
> > > 
> > > I understand you may not have the answers to all the questions. I just thought I would throw them out there in case someone does.
> > > 
> > > thanks,
> > > Vince
> > >  
> > >  
> > >  
> > >  
> > >  
> > >  
> > >    To accomplish great things, we must not only act, but also dream; not only plan, but also believe
> > 
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