Quantitative models

Quantitative model references

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AlgoQuant is a framework and a host/hub for studying, simulating, researching and applying quantitative strategies. It provides the building blocks for data handling, strategy logic, orders, execution, portfolio construction and performance analysis. You can bring your own quantitative models, adapt the supplied implementations and compare alternatives within the same framework.

We provide quantitative model implementations as references for study, further research, actual usage and application. They offer starting points for understanding published ideas, testing assumptions and developing your own strategies. Each page explains the underlying idea, its publication where identified, the Java adaptation, and the recorded outputs. Allocation methods, statistical models and trading policies are identified by their role; they are not all standalone trading systems.

Trend following and regimes

Example	What to study
Dai2011LongOnlyDemo	Dai–Zhang–Zhu regime-switching trend following.

Statistical arbitrage and mean reversion

Example	What to study
KagiMRBasketSimulationDemo	Sparse mean-reverting basket construction with a Kagi trading adaptation.
MultiPeriodKagiMRStrategyDemo	Repeated-period basket estimation and simulation.
Elliott2005StrategyDemo1	Latent-spread pairs-trading model and signal customization.
Elliott2005StrategyDemo2	Alternative pairs-trading configuration.
MeanReversionBasedOnSpreadQuantileDemo	Spread-quantile rule related to pairs trading.
OULogSpreadCRRASignalDemo	OU spread dynamics and CRRA allocation calculations.

Forecasting and factor models

Example	What to study
Infantino2010ParamAnalysisDemo	PCA-based accumulated-return forecasts and parameter sensitivity.
Infantino2010PredictionAnalysisDemo	Analyze forecasts against observed returns.
EconomicModelStrategyDemo	Construct a strategy using economic factor inputs.
FundamentalModelStrategyDemo	Construct a strategy using fundamental factor inputs.

Portfolio allocation

Example	What to study
MarkowitzDemo	Mean–variance allocation in a historical simulation.
Corvalan2005Demo	Diversification among nearly equivalent risk–return allocations.
Lai2010NPEBModelDemo	Allocation accounting for uncertain estimates through resampling.

Statistical and seasonal models

Example	What to study
KnightSatchellTran1995MLEDemo	Fit an asymmetric return-distribution model; a statistical foundation.
JanuaryEffectStrategyDemo	Study an explicitly configured calendar-seasonality policy.

Grid and inventory policies

Example	What to study
MRModelFixedGridDemo	Fixed-grid inventory policy.
MRModelFixedGridOnSGXDataDemo	Fixed-grid policy applied to SGX observations.
MRModelPeriodicDemo	Periodically updated mean-reversion policy.
MRModelRanged1Demo	Range-based mean-reversion policy.
MRModelRanged2Demo	Alternative range-based policy.
MeanReversionPortfolioDemo	Simulate a portfolio of mean-reversion components.