portfolio_hurstExponent
Computes Hurst exponent of portfolio returns.
Usage
portfolio_hurstExponent(portfolio)
- portfolio
- Portfolio object created using portfolio_create() function
Return Value
Numeric vector of portfolio Hurst exponent values.Examples
# load data
data(goog.data)
data(aapl.data)
data(spy.data)
# create portfolio
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio, windowLength = '1h')
portfolio_addPosition(portfolio,'GOOG',goog.data,100)
portfolio_addPosition(portfolio,'AAPL',aapl.data,300)
# plot metric
util_plot2d(portfolio_hurstExponent(portfolio))
% load data
goog.data=importdata('data_goog.mat');
aapl.data=importdata('data_aapl.mat');
spy.data=importdata('data_spy.mat');
% create portfolio
portfolio=portfolio_create(spy.data,1);
portfolio_settings(portfolio, 'windowLength', '1h');
portfolio_addPosition(portfolio,'GOOG',goog.data,100);
portfolio_addPosition(portfolio,'AAPL',aapl.data,300);
% plot metric
util_plot2d(portfolio_hurstExponent(portfolio));