INNER CODE UNIT · Python

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AlexShakaev/backtesting_and_algotrading_options_with_Interactive_Brokers_API · utils/bocd.py:24

    def pdf(self, data):
        return stats.t.pdf(x=data, 
                           df=2*self.alpha,
                           loc=self.mu,
                           scale=np.sqrt(self.beta * (self.kappa+1) / (self.alpha *
                               self.kappa)))

    def update_theta(self, data):
        muT0 = np.concatenate((self.mu0, (self.kappa * self.mu + data) / (self.kappa + 1)))
        kappaT0 = np.concatenate((self.kappa0, self.kappa + 1.))
        alphaT0 = np.concatenate((self.alpha0, self.alpha + 0.5))
        betaT0 = np.concatenate((self.beta0, self.beta + (self.kappa * (data -
            self.mu)**2) / (2. * (self.kappa + 1.))))
            
        self.mu = muT0
        self.kappa = kappaT0
        self.alpha = alphaT0
        self.beta = betaT0

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