Description Usage Arguments Value References
Provided with futures contract front price and open interest data from Bloomberg retrieved with pullit, construct open interest growth (OI) nearby factor. The open interest factor relates to futures market liquidity and is popular in the literature, in particular in the context of commodity markets research \insertCitehong_what_2012factorem. The nearby open interest factor is concerned with liquidity at the very front end of the term structure where it sorts on nearby front contract's open interest.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 | OI_nearby_factor(
data,
update_frequency = "month",
return_frequency = "day",
ranking_period = 1L,
long_threshold = 0.5,
short_threshold = 0.5,
weighted = F
)
## S4 method for signature 'FuturesTS'
OI_nearby_factor(
data,
update_frequency = "month",
return_frequency = "day",
ranking_period = 1L,
long_threshold = 0.5,
short_threshold = 0.5,
weighted = F
)
|
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 OIFactor
.
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