countJumps: Count the number of jumps per period above a threshold

In shill1729/trader: Mathematical finance analysis package

Count the number of jumps per period above a threshold

Description

Counts the number of jumps X_n >= a (and the other respective events) for some jump-threshold a for different periods

Usage

countJumps(
  prices,
  jump_thresh = 0.01,
  return_type = "arithmetic",
  side = "down",
  period = "weekly"
)

Arguments

prices	the time-series of close prices
jump_thresh	the jump-threshold (positive)
return_type	the return type "log" or "arithmetic
side	the side of the jump: "up", "down" or "both"
period	the period, "daily", "weekly", "monthly", "quarterly", "yearly"

Value

time-series of counts per period

shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.