get_kelly_seq: Get Kelly Sequence from price relatives

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

Description

transform any sequence of price relatives into a Kelly market sequence. That is, for each trading period t the maximum relative price is assigned 1, otherwise 0. If there exist 2 or more assets with maximum value assign 1 randomly amongst them.

Usage

get_kelly_seq(x)

Arguments

x	Matrix of price relatives (rows=time, columns=assets)

Value

Matrix, where each row represents a Kelly market (rows=time, columns=assets)

Examples

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

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