oj! Algorithms or ojAlgo, is an 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.
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.
It requires Java 8 since version v38. As of version 44.0, the finance specific code has been moved to its own project/module named ojAlgo-finance.
Usage example
Example of singular value decomposition:
Example of matrix multiplication:
See also
References
External links