Description Usage Arguments Examples
Get the log-rate-returns of a time-series
1 | log_rate_returns(x, na.omit = TRUE)
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prices |
the values to calculated the log-rate returns from. |
1 2 3 4 5 6 7 8 9 10 11 | 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)
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