Example #1
0
 public void CanSample()
 {
     var n = new Laplace();
     n.Sample();
 }
Example #2
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 public void CanSampleSequence()
 {
     var n = new Laplace();
     var ied = n.Samples();
     GC.KeepAlive(ied.Take(5).ToArray());
 }
Example #3
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 public void ValidateDensity(double location, double scale, double x)
 {
     var n = new Laplace(location, scale);
     double expected = Math.Exp(-Math.Abs(x - location)/scale)/(2.0*scale);
     Assert.AreEqual(expected, n.Density(x));
     Assert.AreEqual(expected, Laplace.PDF(location, scale, x));
 }
Example #4
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 public void ValidateDensityLn(double location, double scale, double x)
 {
     var n = new Laplace(location, scale);
     double expected = -Math.Log(2.0*scale) - (Math.Abs(x - location)/scale);
     Assert.AreEqual(expected, n.DensityLn(x));
     Assert.AreEqual(expected, Laplace.PDFLn(location, scale, x));
 }
Example #5
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 public void ValidateMean(double location, double scale)
 {
     var n = new Laplace(location, scale);
     Assert.AreEqual(location, n.Mean);
 }
 public void SetScaleFailsWithNegativeScale(double scale)
 {
     var n = new Laplace();
     Assert.Throws<ArgumentOutOfRangeException>(() => n.Scale = scale);
 }
Example #7
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 public void ValidateEntropy(double location, double scale)
 {
     var n = new Laplace(location, scale);
     Assert.AreEqual(Math.Log(2.0 * Constants.E * scale), n.Entropy);
 }
Example #8
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 public void CanCreateLaplace(double location, double scale)
 {
     var n = new Laplace(location, scale);
     Assert.AreEqual(location, n.Location);
     Assert.AreEqual(scale, n.Scale);
 }
Example #9
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 public void ValidateVariance(double location, double scale)
 {
     var n = new Laplace(location, scale);
     Assert.AreEqual(2.0 * scale * scale, n.Variance);
 }
Example #10
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 public void ValidateStdDev(double location, double scale)
 {
     var n = new Laplace(location, scale);
     Assert.AreEqual(Constants.Sqrt2 * scale, n.StdDev);
 }
Example #11
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 public void SetScaleFailsWithNegativeScale(double scale)
 {
     var n = new Laplace();
     Assert.That(() => n.Scale = scale, Throws.ArgumentException);
 }
Example #12
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 public void SetLocationFailsWithNegativeLocation()
 {
     var n = new Laplace();
     Assert.That(() => n.Location = Double.NaN, Throws.ArgumentException);
 }
Example #13
0
        static void Main(string[] args)
        {
            var randomGenerator = new Random();

            var fundamentalValue = GenerateFunamentalValuePath(SimulationSteps, FundamentalValueInitial, FundamentalValueDrift, FundamentalValueVariance);

            var fundamentalistScale = 10;
            var chartistScale = 1.2;
            var noiseScale = 1;

            var fundamentalistDistribution = new Laplace(0, fundamentalistScale);
            fundamentalistDistribution.RandomSource = randomGenerator;
            var chartistDistribution = new Laplace(0, chartistScale);
            chartistDistribution.RandomSource = randomGenerator;
            var noiseDistribution = new Laplace(0, noiseScale);
            noiseDistribution.RandomSource = randomGenerator;

            var normal = new Normal(0, 5);

            _agents = new HetroTradingRulesAgent[NumberOfAgents];

            var solver = new Brent();

            for (int i = 0; i < NumberOfAgents; i++)
            {
                _agents[i] = new HetroTradingRulesAgent(Math.Abs(fundamentalistDistribution.Sample()), Math.Abs(chartistDistribution.Sample()), Math.Abs(noiseDistribution.Sample()), ReferenceAgentTimeHorizon, ReferenceRiskAversionLevel, randomGenerator, solver);
                _agents[i].StockHeld = (int)Math.Floor(MaxNumberOfStock * randomGenerator.NextDouble());

                _agents[i].CashHeld = Math.Round(MaxNumberOfStock * FundamentalValueInitial * randomGenerator.NextDouble(), 2);
            }

            Thread.Sleep(1000);

            var connection = new HubConnection(@"http://*****:*****@"c:\temp\hetroTradingRulesNoiseFundChart.csv";

            File.WriteAllLines(outputFile, new string[] { string.Format("{0},{1},{2}", "TimeStep", "Price", "Fundamental") });

            for (int i = stepsToFill; i < SimulationSteps - ReferenceAgentTimeHorizon; i++)
            {
                var agentIndex = (int)Math.Round((NumberOfAgents - 1) * randomGenerator.NextDouble());
                Order order = null;
                try
                {
                    order = _agents[agentIndex].GetAction(i, spotPrice, fundamentalValue, noise, _currentLimitOrderBook != null ? _currentLimitOrderBook.BestBidPrice : null, _currentLimitOrderBook != null ? _currentLimitOrderBook.BestAskPrice : null);
                }
                catch (Exception e)
                {
                    System.Console.WriteLine("ERROR: {0}", e.Message);
                }

                if (order != null)
                {
                    order.UserID = agentIndex.ToString();
                    var r = hub.Invoke<bool>("ProcessOrderInstruction", order, agentIndex.ToString());
                    r.Wait();
                    Thread.Sleep(10);
                    if (order.Type == OrderType.MarketOrder)
                    {
                        spotPrice[i] = order.Price;
                    }
                    else
                        if (_currentLimitOrderBook != null && _currentLimitOrderBook.BestAskPrice.HasValue && _currentLimitOrderBook.BestBidPrice.HasValue)
                        {
                            spotPrice[i] = (_currentLimitOrderBook.BestBidPrice.Value + _currentLimitOrderBook.BestAskPrice.Value) / 2;
                        }
                        //else if (_currentLimitOrderBook != null && _currentLimitOrderBook.BestAskPrice.HasValue)
                        //{
                        //    spotPrice[i] = _currentLimitOrderBook.BestAskPrice.Value;
                        //}
                        //else if (_currentLimitOrderBook != null && _currentLimitOrderBook.BestBidPrice.HasValue)
                        //{
                        //    spotPrice[i] = _currentLimitOrderBook.BestBidPrice.Value;
                        //}
                        else
                        {
                            spotPrice[i] = spotPrice[i - 1];
                        }
                }
                else
                {
                    spotPrice[i] = spotPrice[i - 1];
                }
                File.AppendAllLines(outputFile, new string[] { string.Format("{0},{1},{2}", i, spotPrice[i], fundamentalValue[i]) });
                System.Console.WriteLine(string.Format("{0}\t\t{1}",i,spotPrice[i]));
            }
        }
Example #14
0
 public void ValidateCumulativeDistribution(double location, double scale, double x)
 {
     var n = new Laplace(location, scale);
     double expected = 0.5*(1.0 + (Math.Sign(x - location)*(1.0 - Math.Exp(-Math.Abs(x - location)/scale))));
     Assert.AreEqual(expected, n.CumulativeDistribution(x));
     Assert.AreEqual(expected, Laplace.CDF(location, scale, x));
 }
Example #15
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 public void ValidateSkewness(double location, double scale)
 {
     var n = new Laplace(location, scale);
     Assert.AreEqual(0.0, n.Skewness);
 }
Example #16
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 public void CanCreateLaplace()
 {
     var n = new Laplace();
     Assert.AreEqual(0.0, n.Location);
     Assert.AreEqual(1.0, n.Scale);
 }
Example #17
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 public void ValidateMinimum()
 {
     var n = new Laplace();
     Assert.AreEqual(Double.NegativeInfinity, n.Minimum);
 }
Example #18
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 public void ValidateToString()
 {
     var n = new Laplace(-1d, 2d);
     Assert.AreEqual("Laplace(μ = -1, b = 2)", n.ToString());
 }
Example #19
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 public void ValidateMaximum()
 {
     var n = new Laplace();
     Assert.AreEqual(Double.PositiveInfinity, n.Maximum);
 }
        /// <summary>
        /// Run example
        /// </summary>
        /// <a href="http://en.wikipedia.org/wiki/Laplace_distribution">Laplace distribution</a>
        public void Run()
        {
            // 1. Initialize the new instance of the Laplace distribution class with parameters Location = {0}, Scale = {1}
            var laplace = new Laplace(0, 1);
            Console.WriteLine(@"1. Initialize the new instance of the Laplace distribution class with parameters Location = {0}, Scale = {1}", laplace.Location, laplace.Scale);
            Console.WriteLine();

            // 2. Distributuion properties:
            Console.WriteLine(@"2. {0} distributuion properties:", laplace);

            // Cumulative distribution function
            Console.WriteLine(@"{0} - Сumulative distribution at location '0.3'", laplace.CumulativeDistribution(0.3).ToString(" #0.00000;-#0.00000"));

            // Probability density
            Console.WriteLine(@"{0} - Probability density at location '0.3'", laplace.Density(0.3).ToString(" #0.00000;-#0.00000"));

            // Log probability density
            Console.WriteLine(@"{0} - Log probability density at location '0.3'", laplace.DensityLn(0.3).ToString(" #0.00000;-#0.00000"));

            // Entropy
            Console.WriteLine(@"{0} - Entropy", laplace.Entropy.ToString(" #0.00000;-#0.00000"));

            // Largest element in the domain
            Console.WriteLine(@"{0} - Largest element in the domain", laplace.Maximum.ToString(" #0.00000;-#0.00000"));

            // Smallest element in the domain
            Console.WriteLine(@"{0} - Smallest element in the domain", laplace.Minimum.ToString(" #0.00000;-#0.00000"));

            // Mean
            Console.WriteLine(@"{0} - Mean", laplace.Mean.ToString(" #0.00000;-#0.00000"));

            // Median
            Console.WriteLine(@"{0} - Median", laplace.Median.ToString(" #0.00000;-#0.00000"));

            // Mode
            Console.WriteLine(@"{0} - Mode", laplace.Mode.ToString(" #0.00000;-#0.00000"));

            // Variance
            Console.WriteLine(@"{0} - Variance", laplace.Variance.ToString(" #0.00000;-#0.00000"));

            // Standard deviation
            Console.WriteLine(@"{0} - Standard deviation", laplace.StdDev.ToString(" #0.00000;-#0.00000"));

            // Skewness
            Console.WriteLine(@"{0} - Skewness", laplace.Skewness.ToString(" #0.00000;-#0.00000"));
            Console.WriteLine();

            // 3. Generate 10 samples of the Laplace distribution
            Console.WriteLine(@"3. Generate 10 samples of the Laplace distribution");
            for (var i = 0; i < 10; i++)
            {
                Console.Write(laplace.Sample().ToString("N05") + @" ");
            }

            Console.WriteLine();
            Console.WriteLine();

            // 4. Generate 100000 samples of the Laplace(0, 1) distribution and display histogram
            Console.WriteLine(@"4. Generate 100000 samples of the Laplace(0, 1) distribution and display histogram");
            var data = new double[100000];
            for (var i = 0; i < data.Length; i++)
            {
                data[i] = laplace.Sample();
            }

            ConsoleHelper.DisplayHistogram(data);
            Console.WriteLine();

            // 5. Generate 100000 samples of the Laplace(0, 4) distribution and display histogram
            Console.WriteLine(@"5. Generate 100000 samples of the Laplace(0, 4) distribution and display histogram");
            data = new double[100000];
            laplace.Scale = 4;
            for (var i = 0; i < data.Length; i++)
            {
                data[i] = laplace.Sample();
            }

            ConsoleHelper.DisplayHistogram(data);
            Console.WriteLine();

            // 6. Generate 100000 samples of the Laplace(-10, 4) distribution and display histogram
            Console.WriteLine(@"6. Generate 100000 samples of the Laplace(-10 4) distribution and display histogram");
            laplace.Location = -10;
            for (var i = 0; i < data.Length; i++)
            {
                data[i] = laplace.Sample();
            }

            ConsoleHelper.DisplayHistogram(data);
        }
 public void SetLocationFailsWithNegativeLocation()
 {
     var n = new Laplace();
     Assert.Throws<ArgumentOutOfRangeException>(() => n.Location = Double.NaN);
 }