Puneet Varma (Editor)

OjAlgo

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Original author(s)
  
Anders Peterson

Type
  
Library

Website
  
ojalgo.org

Operating system
  
Cross-platform

License
  
MIT License

Stable release
  
v37.1 / January 31, 2015 (2015-01-31)

oj! Algorithms or ojAlgo, is open source Java library for mathematics, linear algebra and optimisation. It was first released in 2003 and is 100% pure Java source code and free from external dependencies. Its feature set make it particularly suitable for use within the financial domain.

Contents

Capabilities

  • Linear Algebra in Java
  • "high performance" multi-threaded feature-complete linear algebra package.
  • Optimisation (mathematical programming) including LP, QP and MIP solvers.
  • Finance related code (certainly usable in other areas as well):
  • Extensive set of tools to work with time series - CalendarDateSeries, CoordinationSet & PrimitiveTimeSeries.
  • Random numbers and stochastic processes - even multi-dimensional such - and the ability to drive these to do things like Monte Carlo simulations.
  • A collection of Modern Portfolio Theory related classes - FinancePortfolio and its subclasses the Markowitz and Black-Litterman model implementations.
  • Ability to download data from Yahoo Finance and Google Finance.

    • Usage Example

    Example of Singular Value Decomposition (SVD):

    Example of matrix multiplication:

    References

    OjAlgo Wikipedia
    (Text) CC BY-SA


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