log_rate_returns: Get the log-rate-returns of a time-series

In hafen/nxcore: Utilities for working with NxCore data

Description

Get the log-rate-returns of a time-series

Usage

log_rate_returns(x, na.omit = TRUE)

Arguments

prices

the values to calculated the log-rate returns from.

Examples

data(aapl_fix)
data(a_fix)
aapl_cons = consolidate_prices(aapl_fix$sys_date, aapl_fix$sys_time,
 aapl_fix$td_price, aapl_fix$td_size)
a_cons = consolidate_prices(a_fix$sys_date, a_fix$sys_time,
 a_fix$td_price, a_fix$td_size)
trades = merge(aapl_cons$price, a_cons$price)
trades = carry_prices_forward(trades)
trade_llr = log_rate_returns(trades)
names(trades_lrr) = c("aapl", "a")
cointegration_p_matrix(trades_lrr)

hafen/nxcore documentation built on May 17, 2019, 2:03 p.m.