Description Usage Arguments Details Author(s)
Calculates Volatility Controllling for Potential Limited Liquidity.
1 2 | TradeVolumeVol(OR_Contracts, StartTime, EndTime, Types, MinTrdVolume,
ID = "X.RIC", DataSource = "TRS")
|
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. |
Compares recent daily traded volume to a minimally-accepted daily volume and adjusts volatility if violated.
Nicholas Dregne
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