library(CPMIstats)
# This script gives an example of how these functions can be used to
# create a model
#------------------------------------------------------------------------------
# Inter Decile Range
deciles <- decile(example_data2)
# Need only the 10th and 90th percentile
deciles <- deciles[percentile == 10 | percentile == 90]
# Convert the times to numeric values
deciles$time <- time_to_seconds_from_midnight(deciles$time)
deciles <- deciles[, .(time_spread = time[2] - time[1]), by = .(date)]
#------------------------------------------------------------------------------
# Q measure
Q_measure <- sys_wide_liq_eff(example_data2)
#------------------------------------------------------------------------------
setkey(deciles, date)
setkey(Q_measure, date)
model_data <- merge(deciles, Q_measure, all = T)
model <- lm(efficiency ~ time_spread, data = model_data)
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