gen_market_instance: Generate market instances

In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description

generates a random market instance from a given dataset with random number of assets and time instants, where the order of time instants is not changed.

Usage

gen_market_instance(data, m, t = nrow(data), N = 1)

Arguments

data	a matrix or dataframe from which the subdataset is generated
m	number of columns (assets)
t	number of rows (time instants)
N	number of market instances to be generated

Value

a subset of the dataset as a matrix.

References

Dochow, R.; Leppek, C.; Schmidt, G.; A framework for automated performance evaluation of portfolio selection algorithms. Working paper, 2015

Examples

dataset = matrix(runif(100), 10, 10)
# generate 10 market instances with two assets and 5 time instants from dataset
gen_market_instance(dataset, m=2, t=5, N=10)

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.