Description Usage Arguments Value References
Provided with futures contract front price and term structure aggregated position data from Bloomberg retrieved with pullit, construct commercial hedging pressure factor. The futures commercial hedging pressure factor is based on the well-known hedging pressure-based theory \insertCiteanderson_hedger_1983,chang_returns_1985,cootner_returns_1960,dusak_futures_1973,hicks_value_1939,hirshleifer_risk_1988,hirshleifer_determinants_1989,hirshleifer_hedging_1990,kolb_is_1992,keynes_treatise_1930factorem which postulates that futures prices for a given commodity are inversely related to the extent that commercial hedgers are short or long and the mimicking portfolio here aims at capturing the impact of hedging pressure as a systemic factor \insertCitebasu_capturing_2013factorem.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 | CHP_factor(
price_data,
CHP_data,
update_frequency = "month",
return_frequency = "day",
ranking_period = 6L,
long_threshold = 0.5,
short_threshold = 0.5,
weighted = F
)
## S4 method for signature 'FuturesTS,FuturesCFTC'
CHP_factor(
price_data,
CHP_data,
update_frequency = "month",
return_frequency = "day",
ranking_period = 6L,
long_threshold = 0.5,
short_threshold = 0.5,
weighted = F
)
|
price_data |
an S4 object of class |
CHP_data |
an S4 object of class |
update_frequency |
a scalar |
return_frequency |
a scalar |
ranking_period |
a scalar |
long_threshold |
a scalar |
short_threshold |
a scalar |
weighted |
a scalar |
An S4 object of class CHPFactor
.
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