PortfolioEffectHFT (version 1.7)

cumulant: N-th Cumulant

Description

Computes N-th cumulant of portfolio return distribution.

Usage

cumulant(asset,order)

Arguments

asset

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

order

moment order (3 or 4).

Value

See Also

moment

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(cumulant(portfolio, 3),cumulant(positionGOOG, 3),cumulant(positionAAPL, 3)) 
# plot(cumulant(portfolio, 3),cumulant(positionGOOG, 3),cumulant(positionAAPL, 3),
# legend=c('Portfolio','GOOG','AAPL'),title='3-th Cumulant')
# 
# 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(cumulant(positionC, 4),cumulant(positionGOOG, 4),cumulant(positionAAPL, 4)) 
# plot(cumulant(positionC, 4),cumulant(positionGOOG, 4),cumulant(positionAAPL, 4),
# legend=c('C','GOOG','AAPL'),title='4-th Cumulant')
# ## End(Not run)