PortfolioEffectHFT (version 1.8)

hurst_exponent: Hurst Exponent

Description

Computes portfolio Hurst exponent as a weighted sum of the Hurst exponents of its position returns.

Usage

hurst_exponent(asset)

Arguments

asset

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

Value

Metric object

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(hurst_exponent(portfolio),hurst_exponent(positionGOOG),hurst_exponent(positionAAPL)) 
# plot(hurst_exponent(portfolio),hurst_exponent(positionGOOG),hurst_exponent(positionAAPL),
# legend=c('Portfolio','GOOG','AAPL'),title='Hurst Exponent')
# 
# 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(hurst_exponent(positionC),hurst_exponent(positionGOOG),hurst_exponent(positionAAPL)) 
# plot(hurst_exponent(positionC),hurst_exponent(positionGOOG),hurst_exponent(positionAAPL),
# legend=c('C','GOOG','AAPL'),title='Hurst Exponent')
## ---------------------------------------------