OrnsteinUhlenbeckHalfLife: Calculate Half-Life for Mean-Reversion
In ivanliu1989/RQuantTrader: A collection of functions for pair trading
Description
Usage
Arguments
Value
Examples
View source: R/OrnsteinUhlenbeckHalfLife.R
Description
Computed from an Ornstein–Uhlenbeck process. This is the theoretically computed time, based on a historical window of data,
that it will take for the spread to mean-revert half of its distance after having diverged from the mean of the spread.
Usage
1
OrnsteinUhlenbeckHalfLife(price.Ratio)
Arguments
price.Ratio
price ratio between pairs
Value
A list of half life results
Examples
1
2
3
4
getFX("AUD/USD")
getFX("CAD/USD")
half.life <- OrnsteinUhlenbeckHalfLife(AUDUSD/CADUSD)
half.life
ivanliu1989/RQuantTrader documentation built on Sept. 13, 2019, 11:54 a.m.
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Description Usage Arguments Value Examples
View source: R/OrnsteinUhlenbeckHalfLife.R
Description
Computed from an Ornstein–Uhlenbeck process. This is the theoretically computed time, based on a historical window of data, that it will take for the spread to mean-revert half of its distance after having diverged from the mean of the spread.
Usage
1 | OrnsteinUhlenbeckHalfLife(price.Ratio)
|
Arguments
price.Ratio |
price ratio between pairs |
Value
A list of half life results
Examples
1 2 3 4 | getFX("AUD/USD")
getFX("CAD/USD")
half.life <- OrnsteinUhlenbeckHalfLife(AUDUSD/CADUSD)
half.life
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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