PortfolioEffectHFT (version 1.7)

moment: N-th Order Central Moment

Description

Computes N-th order central moment of portfolio return distribution.

Usage

moment(asset, order)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

order

moment order (from 1 to 4)

Value

Examples

## Not run: 
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio=portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
# positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
# result=compute(moment(portfolio, 3),moment(positionGOOG, 3),moment(positionAAPL, 3)) 
# plot(moment(portfolio, 3),moment(positionGOOG, 3),moment(positionAAPL, 3),
# legend=c('Portfolio','GOOG','AAPL'),title='3-th Order Central Moment')
# 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio=portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# positionGOOG=position_add(portfolio,'GOOG',150) 
# result=compute(moment(positionC,4),moment(positionGOOG,4),moment(positionAAPL,4)) 
# plot(moment(positionC,4),moment(positionGOOG,4),moment(positionAAPL,4),
# legend=c('C','GOOG','AAPL'),title='4-th Order Central Moment')
# ## End(Not run)