hurst_exponent: Hurst Exponent

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes portfolio Hurst exponent as a weighted sum of the Hurst exponents of its position returns.

Usage

hurst_exponent(asset)

Arguments

asset

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

Value

Metric object

Author(s)

Kostin Andrey <[e-mail]>

Examples

## 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(hurst_exponent(portfolio),hurst_exponent(positionGOOG),hurst_exponent(positionAAPL)) 
plot(hurst_exponent(portfolio),hurst_exponent(positionGOOG),hurst_exponent(positionAAPL),
legend=c('Portfolio','GOOG','AAPL'),title='Hurst Exponent')

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(hurst_exponent(positionC),hurst_exponent(positionGOOG),hurst_exponent(positionAAPL)) 
plot(hurst_exponent(positionC),hurst_exponent(positionGOOG),hurst_exponent(positionAAPL),
legend=c('C','GOOG','AAPL'),title='Hurst Exponent')

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.