get_conversion_rates: Get conversion rates

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

Description

calculates for each time instant the conversion rate for converting asset i into asset j; that is the ratio of the prices of asset i and asset j

Usage

get_conversion_rates(prices)

Arguments

prices

Matrix of asset prices, where each column represents an asset.

Value

Array[i,j,t] of conversion rates for converting asset i into asset j at time instant t.

Examples

# load data
data(NYSE)
# select stocks
x = cbind(kinar=NYSE$kinar, iroqu=NYSE$iroqu)

# get conversion rates
get_conversion_rates(x)

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