return_jump_size: Return Jump Size

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes relative magnitude of jumps in position returns.

Usage

return_jump_size(asset)

Arguments

asset

Position object created using position_add( ) function

Value

Metric object

Author(s)

Kostin Andrey <[e-mail]>

Examples

## Not run: 
dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-30 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=list(return_jump_size(positionC),return_jump_size(positionGOOG),
return_jump_size(positionAAPL))

## End(Not run)

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