fixparser-plugin-mcp
Version:
FIXParser MCP Plugin (Local/Remote)
103 lines (102 loc) • 2.86 kB
TypeScript
export declare class StatisticalModels {
/**
* Calculate Z-Score
*/
static calculateZScore(currentPrice: number, startPrice: number): number;
/**
* Calculate Ornstein-Uhlenbeck
*/
static calculateOrnsteinUhlenbeck(currentPrice: number, startPrice: number, avgVolume: number, priceChanges: number[]): {
mean: number;
speed: number;
volatility: number;
currentValue: number;
};
/**
* Calculate Kalman Filter
*/
static calculateKalmanFilter(currentPrice: number, startPrice: number, avgVolume: number, priceChanges: number[]): {
state: number;
covariance: number;
gain: number;
};
/**
* Calculate ARIMA
*/
static calculateARIMA(currentPrice: number, priceChanges: number[]): {
forecast: number[];
residuals: number[];
aic: number;
};
/**
* Calculate GARCH
*/
static calculateGARCH(avgVolume: number, priceChanges: number[]): {
volatility: number;
persistence: number;
meanReversion: number;
};
/**
* Calculate VAR (Vector AutoRegression)
*/
static calculateVAR(prices: number[], volumes: number[], lags?: number): {
priceForecast: number[];
volumeForecast: number[];
coefficients: number[][];
residuals: number[][];
};
/**
* Calculate Gaussian Process Regression
*/
static calculateGaussianProcess(prices: number[], periods?: number): {
mean: number[];
variance: number[];
confidenceInterval: {
lower: number[];
upper: number[];
};
};
/**
* Calculate Pairs Trading Strategy
*/
static calculatePairsTrading(asset1Prices: number[], asset2Prices: number[]): {
spread: number[];
zScore: number[];
hedgeRatio: number;
entrySignal: string;
exitSignal: string;
position: string;
};
/**
* Calculate Hilbert Transform
*/
static calculateHilbertTransform(currentPrice: number, priceChanges: number[]): {
analytic: number[];
phase: number[];
amplitude: number[];
};
/**
* Calculate Wavelet Transform
*/
static calculateWaveletTransform(currentPrice: number, priceChanges: number[]): {
coefficients: number[];
scales: number[];
};
/**
* Calculate Fourier Transform
*/
static calculateFourierTransform(prices: number[]): {
frequencies: number[];
amplitudes: number[];
phases: number[];
dominantFrequencies: number[];
};
/**
* Calculate Empirical Mode Decomposition (EMD)
*/
static calculateEMD(prices: number[]): {
imfs: number[][];
residual: number[];
frequencies: number[];
};
}