TradeVolumeVol: Adjust Volatility based on Liquidity (Daily Traded Volume)

In helenristov/aCompiler: What the package does (short line)

Description

Calculates Volatility Controllling for Potential Limited Liquidity.

Usage

TradeVolumeVol(OR_Contracts, StartTime, EndTime, Types, MinTrdVolume,
  ID = "X.RIC", DataSource = "TRS")

Arguments

OR_Contracts	List of outright contracts to liquidity test. Derive other types from OR_Contracts vector.
StartTime	Beginning date of liquidity analysis.
EndTime	Ending date of liquidity analysis.
Types	Types of combinations to examine for liquidity.
MinTrdVolume	Minimum amount of liquidity necessary to prevent a liquidity risk adjustment to the regular volatility measurement.

Details

Compares recent daily traded volume to a minimally-accepted daily volume and adjusts volatility if violated.

Author(s)

Nicholas Dregne

helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.