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The REWARD_CLASS_PRICEMOVEMENT_DISPARITY is comprised of the following elements:
As may be seen from the graph below, this class of parameter has been found to be overwhelmingly important to the computation of total valuation:
| Regression Analysis |
| Intercept |
3.646 ± 0.5234 |
| Slope |
1.0897 ± 0.1228 |
| Regression Sum of Squares |
1618.9337 |
| Residual Sum of Squares |
20.5718 |
| R Squared |
0.9875 |
| F Statistic |
2951.1413 |
| Rejection Threshold (SDev) |
3.0 |
| Rejection Count |
11 |
| Observation Count |
77 |
Price disparity is the difference between the curvePrice and the nearest of the bid and ask. If the curvePrice is between these two values, the price disparity is zero.
| Regression Analysis |
| Intercept |
3.8786 ± 1.0793 |
| Slope |
1.3608 ± 0.3149 |
| Regression Sum of Squares |
1744.6396 |
| Residual Sum of Squares |
93.4133 |
| R Squared |
0.9492 |
| F Statistic |
775.0778 |
| Rejection Threshold (SDev) |
3.0 |
| Rejection Count |
3 |
| Observation Count |
85 |
Yield disparity is the amount by which the yieldCurveBaseRate must change in order for the priceDisparity to become zero.
| Regression Analysis |
| Intercept |
3.4841 ± 1.8734 |
| Slope |
4.7426 ± 2.1259 |
| Regression Sum of Squares |
1468.8783 |
| Residual Sum of Squares |
295.1518 |
| R Squared |
0.8327 |
| F Statistic |
209.0209 |
| Rejection Threshold (SDev) |
3.0 |
| Rejection Count |
2 |
| Observation Count |
86 |
REWARD_COMPONENT_REVERSION_PRICEDISPARITY quantifies expected return based on the relationship between priceDisparity-spot and priceDisparity-average.
| Regression Analysis |
| Intercept |
2.5357 ± 3.8413 |
| Slope |
0.2971 ± 2.4086 |
| Regression Sum of Squares |
18.9706 |
| Residual Sum of Squares |
1246.527 |
| R Squared |
0.0150 |
| F Statistic |
0.6316 |
| Rejection Threshold (SDev) |
3.0 |
| Rejection Count |
3 |
| Observation Count |
85 |
REWARD_COMPONENT_REVERSION_YIELDDISPARITY quantifies expected return based on the relationship between yieldDisparity-spot and yieldDisparity-average.
| Regression Analysis |
| Intercept |
2.6908 ± 4.2437 |
| Slope |
-60.6422 ± 133.5558 |
| Regression Sum of Squares |
319.1135 |
| Residual Sum of Squares |
1547.8203 |
| R Squared |
0.1709 |
| F Statistic |
8.7622 |
| Rejection Threshold (SDev) |
3.0 |
| Rejection Count |
2 |
| Observation Count |
87 |
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