README.md

In joaodmrodrigues/tsmodels: Time-series models

tsmodels - Time series models in R

Overview

The tsmodels package implements several families of time-series models. The current version includes:

• Ornstein-Uhlenbeck process (models spread of pairs-trading strategies, etc)

• Geometric Ornstein-Uhlenbeck process (models mean-reverting price series, etc)

• Geometric Brownian motion (models stock prices, indices, etc)

• etc

Instalation

The easiest way begin using the package is by directly installing it on RStudio from github:

remotes::install_github('joaodmrodrigues/tsmodels')

Alternatively, you can clone to repository to your local machine using git:

git clone https://github.com/joaodmrodrigues/tsmodels.git

Usage

The package is organized as a collection of several functions, each implementing a different time-series model. You can find more detailed examples and technical explanations of each model in the vignettes folder.

As an example, let’s generate a single realization of the Ornstein-Uhlenbeck process:

library(tsmodels)

T <- 100
dt <- 0.01
mu <- 100
sigma <- 1
tau <- 5
Y0 <- 50

result <- Ornstein_Uhlenbeck(T=T, dt=dt, mu=mu, sigma=sigma, tau=tau, Y0=Y0)
t <- result[[1]]
Y <- result[[2]]

Let’s use ggplot to plot the path:

library(tidyverse)

ggplot()+
    geom_line(mapping = aes(x=t, y=Y), color="black")

joaodmrodrigues/tsmodels documentation built on Jan. 9, 2021, 3:21 p.m.