Description Usage Arguments Value Examples
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.
1 |
x |
Matrix of price relatives (rows=time, columns=assets) |
Matrix, where each row represents a Kelly market (rows=time, columns=assets)
1 2 3 4 5 |
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