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Miha Kralj
2026-02-27 07:48:12 -08:00
parent 8a1ba95173
commit 4ab3a7fb53
389 changed files with 6682 additions and 468 deletions
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lib/statistics/cointegration/Cointegration.Tests.cs
+7 -6
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@@ -581,12 +581,12 @@ public class CointegrationTests
{
// Create two cointegrated series: B = A + noise
var indicator = new Cointegration(20);
var random = new Random(42);
var random = new GBM(startPrice: 100.0, sigma: 1.0, seed: 42);
for (int i = 0; i < 100; i++)
{
double a = 100.0 + i * 0.1;
double b = a + random.NextDouble() * 0.1 - 0.05; // Highly correlated
double b = a + Math.Log(random.Next().Close / 100.0) * 0.1; // Highly correlated
indicator.Update(a, b);
}
@@ -601,7 +601,7 @@ public class CointegrationTests
// Create two non-cointegrated series (random walks)
var indicatorCointegrated = new Cointegration(20);
var indicatorRandom = new Cointegration(20);
var random = new Random(42);
var random = new GBM(startPrice: 100.0, sigma: 1.0, seed: 42);
double walkA = 100.0;
double walkB = 100.0;
@@ -610,12 +610,13 @@ public class CointegrationTests
{
// Cointegrated pair
double a1 = 100.0 + i * 0.1;
double b1 = a1 + random.NextDouble() * 0.1;
double noise1 = Math.Log(random.Next().Close / 100.0);
double b1 = a1 + noise1 * 0.1;
indicatorCointegrated.Update(a1, b1);
// Random walks
walkA += random.NextDouble() - 0.5;
walkB += random.NextDouble() - 0.5;
walkA += Math.Log(random.Next().Close / 100.0);
walkB += Math.Log(random.Next().Close / 100.0);
indicatorRandom.Update(walkA, walkB);
}