Description Usage Arguments Value References Examples
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.
1 | gen_market_instance(data, m, t = nrow(data), N = 1)
|
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 |
a subset of the dataset as a matrix.
Dochow, R.; Leppek, C.; Schmidt, G.; A framework for automated performance evaluation of portfolio selection algorithms. Working paper, 2015
1 2 3 | 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)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.