noise_nts: Noise to Signal Ratio
In PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect
Description
Usage
Arguments
Value
Author(s)
Examples
Description
Noise to Signal Ratio is a measure that compares the level of noise to the level of a desired signal.
Usage
1
noise_nts(estimator)
Arguments
estimator
Vector of (time, price) observations for market asset when external market data is used.
Value
a numeric vector of the same length as data.
Author(s)
Kostin Andrey <andrey.kostin@portfolioeffect.com>
Examples
1
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10
## Not run:
data(spy.data)
estimator=estimator_create(priceData=spy.data)
estimator_settings(estimator,
inputSamplingInterval = '10s',
resultsSamplingInterval = '10s')
util_plot2d(noise_nts(estimator),title="NTS")
## End(Not run)
PortfolioEffectEstim documentation built on May 2, 2019, 8:50 a.m.
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Description Usage Arguments Value Author(s) Examples
Description
Noise to Signal Ratio is a measure that compares the level of noise to the level of a desired signal.
Usage
1 | noise_nts(estimator)
|
Arguments
estimator |
Vector of (time, price) observations for market asset when external market data is used. |
Value
a numeric vector of the same length as data.
Author(s)
Kostin Andrey <andrey.kostin@portfolioeffect.com>
Examples
1 2 3 4 5 6 7 8 9 10 |
## Not run:
data(spy.data)
estimator=estimator_create(priceData=spy.data)
estimator_settings(estimator,
inputSamplingInterval = '10s',
resultsSamplingInterval = '10s')
util_plot2d(noise_nts(estimator),title="NTS")
## End(Not run)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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