imbalance_tick: The auxiliary function b_t for constructing tick imbalance...
In larryleihua/fmlr: Financial Machine Learning using R
Description
Usage
Arguments
Author(s)
Examples
Description
The auxiliary function b_t for constructing tick imbalance bars. The first b_t is assigned the value 0 because no information is available
Usage
1
imbalance_tick(dat)
Arguments
dat
dat input with at least the following columns: Price
Author(s)
Larry Lei Hua, ming08108(github)
Examples
1
2
3
4
set.seed(1)
dat <- data.frame(Price = c(rep(0.5, 4), runif(2), 0.5, 0.5, 0.4, runif(2) ))
b_t <- imbalance_tick(dat)
larryleihua/fmlr documentation built on Jan. 31, 2020, 8:55 a.m.
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Description Usage Arguments Author(s) Examples
Description
The auxiliary function b_t for constructing tick imbalance bars. The first b_t is assigned the value 0 because no information is available
Usage
1 | imbalance_tick(dat)
|
Arguments
dat |
dat input with at least the following columns: Price |
Author(s)
Larry Lei Hua, ming08108(github)
Examples
1 2 3 4 | set.seed(1)
dat <- data.frame(Price = c(rep(0.5, 4), runif(2), 0.5, 0.5, 0.4, runif(2) ))
b_t <- imbalance_tick(dat)
|
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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