Class PairsHedger

java.lang.Object

com.quantfinlib.hedging.PairsHedger

public final class PairsHedger
extends Object

Statistical (pairs) hedging: regresses one price series on another to get the hedge ratio, builds the spread, and characterizes its mean reversion — z-score for entry/exit signals and half-life (from an AR(1) fit of spread changes on spread levels) for expected holding time.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	PairsHedger.PairsAnalysis

Method Summary

Modifier and Type	Method	Description
static PairsHedger.PairsAnalysis	analyze(double[] pricesA, double[] pricesB)
static double	halfLife(double[] spread)	Mean-reversion half-life in bars from the AR(1)-style regression Δs(t) = c + λ·s(t-1): half-life = -ln(2)/λ.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

analyze

public static PairsHedger.PairsAnalysis analyze(double[] pricesA,
 double[] pricesB)

halfLife

public static double halfLife(double[] spread)

Mean-reversion half-life in bars from the AR(1)-style regression Δs(t) = c + λ·s(t-1): half-life = -ln(2)/λ. Returns +INF when the spread shows no mean reversion (λ >= 0).