Fractal Dimension

Description

Computes portfolio fractal dimension as a weighted sum of fractal dimensions of its position returns.

Usage

1

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

Value

Metric object

Author(s)

Kostin Andrey <andrey.kostin@portfolioeffect.com>

Examples

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## Not run: 
data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
result=compute(fractal_dimension(portfolio),fractal_dimension(positionGOOG),
fractal_dimension(positionAAPL)) 
plot(fractal_dimension(portfolio),fractal_dimension(positionGOOG),
fractal_dimension(positionAAPL),legend=c('Portfolio','GOOG','AAPL'),title='Fractal Dimension')

dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 
result=compute(fractal_dimension(positionC),fractal_dimension(positionGOOG),
fractal_dimension(positionAAPL)) 
plot(fractal_dimension(positionC),fractal_dimension(positionGOOG),
fractal_dimension(positionAAPL),legend=c('C','GOOG','AAPL'),title='Fractal Dimension')

## End(Not run)

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