poissonJumps: Ad-hoc Poisson jump model

In shill1729/trader: Mathematical finance analysis package

Ad-hoc Poisson jump model

Description

An ad-hoc model fitting a Poisson distribution to the number of jumps excess a threshold per week.

Usage

poissonJumps(symbol, jump_thresh = 0.03, side = "up", envir = parent.frame())

Arguments

symbol	ticker symbol; can be stock ticker or a cryptocurrency
jump_thresh	threshold of jump size
side	direction of jump: up or down
envir	environment to load stock data into

Details

A chi-square test is run against the expected Poisson counts of jumps over the observed number of events. Log-returns are used so that this can be used in an ad-hoc way to assess fits for a Merton jump diffusion.

Value

numeric

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