The dispositionEffect
package allows to quickly evaluate the presence
of disposition effect’s behaviors of an investor based solely on his
transactions and the market prices of the traded assets.
You can install the released version of dispositionEffect
from
CRAN with:
install.packages("dispositionEffect")
Otherwise, you can also install the development version from GitHub with:
install.packages("devtools")
devtools::install_github("marcozanotti/dispositionEffect")
The package contains few user-friendly purpose specific interfaces:
portfolio_compute
is a wrapper function that compute realized and
paper gains and losses from the investor’s transactions and the
market prices of the traded assets and updates the investor’s
portfolio
gains_losses
is the core function of the package. It performs all
the necessary calculations and can be used for real-time processing
(it is intended for advanced users only)
disposition_effect
computes the disposition effect
disposition_difference
computes the disposition difference
disposition_compute
and disposition_summary
interfaces that allow
to easily compute disposition effect and summary statistics.
Mazzucchelli, 2022, An Analysis of Short Selling and Volatility Impact on the Disposition Effect (working paper)
Filippin, Mazzucchelli, and Zanotti, 2022, Portfolio driven disposition effect: the wide framing approach (working paper)
Mazzucchelli, and Zanotti, 2022, Mean reverting expectations to rationalize the disposition effect (working paper)
Computing Disposition Effect on Financial Market Data, 2021, useR! Conference
If you encounter a clear bug, please file an issue with a minimal reproducible example on GitHub.
For questions and other discussion, mail us at zanottimarco17@gmail.com.
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