manipulate_initial_data: Pre-process transactions and market prices data frames

In dispositionEffect: Analysis of Disposition Effect on Financial Portfolios

Pre-process transactions and market prices data frames

Description

These functions allows to pre-process transactions and market prices data frames performing aggregation and subsetting operations.

Usage

aggregate_transactions(portfolio_transactions, unit = "1 mins")

reduce_transactions(portfolio_transactions, unit = "1 mins")

clean_transactions(portfolio_transactions, unit = "1 mins", reduce = FALSE)

aggregate_market_prices(market_prices, unit = NULL, aggregate_price_fun = mean)

subset_market_prices(
  market_prices,
  portfolio_assets,
  portfolio_datetimes,
  unit = NULL
)

generate_data(
  portfolio_transactions,
  market_prices,
  investor_name = NULL,
  unit = NULL,
  subset = FALSE
)

Arguments

portfolio_transactions	Data frame. The investor's transactions data frame.
unit	Character string specifying a time unit or a multiple of a unit to be rounded to. Valid base units are second, minute, hour, day, week, etc. See lubridate::round_date.
reduce	Logical. If TRUE use reduce_transactions, otherwise use aggregate_transactions to aggregate portfolio transactions.
market_prices	Data frame containing the market prices.
aggregate_price_fun	Function to use to aggregate prices within the round unit. Default to mean.
portfolio_assets	Character vector of the transaction assets.
portfolio_datetimes	POSIXct vector of the transaction datetimes.
investor_name	Character. The name to be assigned to the investor.
subset	Logical. If TRUE, subset_market_prices is used to generate investor's data.

Value

A modified version of the input data frame.

Functions

• aggregate_transactions: Aggregate the data frame of investors' transactions that happened at the same datetime.

• reduce_transactions: Reduce the data frame of investors' transactions by aggregating those transactions that happened within a time interval.

• clean_transactions: Clean the data frame of investors' transactions.

• aggregate_market_prices: Aggregate the data frame of market prices with a specific aggregate function within a time interval.

• subset_market_prices: Subset the data frame of market prices based on investor's traded assets and datetimes of transactions.

• generate_data: Generate investors' data from transactions and market prices.

See Also

closest_market_price, lubridate::round_date

dispositionEffect documentation built on May 30, 2022, 9:05 a.m.