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Model KnightSatchellTran1995MLEDemo
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Compares the fitted model with the real model.
Using this example. Generates observations from a configured Knight-Satchell-Tran model and fits its parameters by maximum likelihood. Compare fitted and generating parameters to understand the estimator; finite samples and random draws affect the result.
Model and publication. The original model concerns asymmetric upward and downward returns. The publication identity was verified, but its full text was unavailable; distributional and estimator details below follow the code/API, not an asserted paper reproduction.
Implementation in this tutorial. Generate N=100 returns from KnightSatchellTran1995, fit them with KnightSatchellTran1995MLE.fitModel and compare generating versus fitted parameters. The parameters supplied to the constructor govern the return generator; GMA12 then computes model- based holding-time and long-return statistics. These are analytical/simulation diagnostics without a funded trading account.
| Item | Value |
|---|---|
| Status | completed |
| Run | 39114006111 |
| UTC publication | 2026-10-18 09:11 UTC |
| Source commit | 0097e73c040bdaaddac570e2fe694d9836b676ee |
| Data mode | original main defaults |
| Exit code | 0 |
| Elapsed seconds | 0.68 |
| Time limit seconds | 180 |
| Maximum Java heap | 1200m |
The original main returned successfully. Read the output and model assumptions before interpreting it.
Follow the repository setup for JDK 8, Maven credentials and an external NM license. From the repository root:
mvn -U -Dmaven.test.skip=true clean package
mvn exec:java -Dexec.mainClass=tech.nmfin.algoquant.demo.model.kst1995.KnightSatchellTran1995MLEDemoThe automated run uses scripts/ModelDemoRunner.java to initialize the external license before the unchanged main, save JFreeChart windows as PNGs, and exit after main returns. It uses an isolated working directory with the repository datasets/configuration linked in. Running directly may leave desktop windows open.
state 0: q = 0.185185, alpha0 = 0.497543, rate0 = 0.583580; state 1: p = 0.694444, alpha1 = 2.121277, rate1 = 1.237473; mu: -0.268287
the probability of holding till time = 1: 0.266667
the expected pnl for long position: -0.750000
the probability of holding till time = 1: 0.222222the expected pnl for long position: 3.043342DEMO_RUNNER_MAIN_RETURNED
Download KnightSatchellTran1995MLEDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
Read the reported units: optimizer weights, model-fit coefficients, forecast correlations and simulated P/L are different outputs. Synthetic runs demonstrate the API rather than historical market returns. Inspect undefined values and open positions instead of replacing them with zero. Chart exports visualize exactly this run.
For model assumptions, original publications and adaptation limits, use the literature guide.