return_autocovariance: Return Autocovariance

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes autocovariance of position returns for a certain time lag.

Usage

return_autocovariance(asset, lag)

Arguments

asset	Position object created using position_add( ) function
lag	Time lag (in seconds) between observations in question.

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(return_autocovariance(positionGOOG,10),return_autocovariance(positionAAPL,10)) 
plot(return_autocovariance(positionGOOG,10),return_autocovariance(positionAAPL,10),
legend=c('GOOG','AAPL'),title='Return Autocovariance')

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(return_autocovariance(positionC,10),return_autocovariance(positionGOOG,10),
return_autocovariance(positionAAPL,10)) 
plot(return_autocovariance(positionC,10),return_autocovariance(positionGOOG,10),
return_autocovariance(positionAAPL,10),legend=c('C','GOOG','AAPL'),title='Return Autocovariance')

## End(Not run)

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