alpha_common_parameters: Definitions of common parameters used in alpha functions.

Description Usage Arguments

View source: R/alphas.R

Description

Definitions of common parameters used in alpha functions.

Usage

1

Arguments

k

(numeric) vector of constants used to evaluate the alpha.

op

(xts) matrix with asset open prices.

cl

(xts) matrix with asset close prices.

hi

(xts) matrix with asset high prices.

lo

(xts) matrix with asset low prices.

vol

(xts) matrix with volume traded.

dvol

(xts) matrix with dollar volume traded.

r

(xts) matrix with logarithmic returns.

cap

(xts) matrix with market capitalisation values. #FIXME:


Inpirical/alphassess documentation built on March 19, 2018, 4:15 a.m.