fun_dailyDf: fun_dailyDf
In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.
Description
Usage
Arguments
Value
Description
fun_dailyDf
Usage
1
fun_dailyDf(xtsObj, dateFrom, delta = 60/61, annu = 261)
Arguments
xtsObj
a xts object
dateFrom
date at which period one want to get the date from. Choose beginning period if one want all
delta
weight used in the exponential weighted average and volatility
annu
to annualize data. From daily to year use 261 if assets and 365 for crypto (since they are traded all year round all day)
Value
Dataframe with prices, mean and standard deviation where mean and standard deviation is calculated using exponential weighted average and sum of squares
3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.
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Description Usage Arguments Value
Description
fun_dailyDf
Usage
1 | fun_dailyDf(xtsObj, dateFrom, delta = 60/61, annu = 261)
|
Arguments
xtsObj |
a xts object |
dateFrom |
date at which period one want to get the date from. Choose beginning period if one want all |
delta |
weight used in the exponential weighted average and volatility |
annu |
to annualize data. From daily to year use 261 if assets and 365 for crypto (since they are traded all year round all day) |
Value
Dataframe with prices, mean and standard deviation where mean and standard deviation is calculated using exponential weighted average and sum of squares
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