simu

The main file is "e.ml" (ocaml) and contains various functions to "integrate" a Kandle or Uniswapv3 strategy against a price series (we think of it as a stochastic integral)

price series

1. generators of price series (from data, from Brownian motion (BM), from geometric Brownian motion (GBM))

2. filters of price series

vf = viscous filter

given a (time,price) series vf generates a new (time, price) series which is the "eta-viscous" filter of the input

eta is the viscosity (or fee)

the larger the viscosity eta, the more the output series lags behind the driver series

Univ3 strategies

1. Square root variation of prices series

2. Capital allocation function (to determine the initial partitioning of wealth in quote/base)

Kandel strategies

1. Kandel simulator with main function "sim"

let sim 
~tightness:width ~price_increment:gridstep ~cash:qB 
(* when we enter game and how long we play *)
(* NB: duration could be a stopping time in general, eg looking at a price-crossing event *)
~start:start ~duration:duration 
(* the future *)
~price_series:price_series 
= ...

sim takes as input:

1. strat parameters = price grid and cash
2. price series (delimited by start and duration) outputs the return (the stochastic integral of strat against price) and number of up- and down-crossings