axe {sisireg}

Data model for the AxE-Model (Axiomatic Econometric Modeling Paradigm)

Description

Calculation of the relevant data for the AxE-model from a financial time series: trend, volatiliy, change in quotes and risk level.

Usage

axe(quotes)

Arguments

quotes

financial time series

Value

data frame

quotes

the given time series

trend5

5-day trend

trend10

10-day trend

trend20

20-day trend

vola5

5-day volatility

vola10

10-day volatility

vola20

20-day volatility

chng5

5-day price change

chng10

10-day price change

chng20

20-day price change

risk5

5-day risk level

risk10

10-day risk level

risk20

20-day risk level

Author(s)

Dr. Lars Metzner

References

Dr. Lars Metzner (2020) Trendbasierte Prognostik. Independently Published.

Examples

set.seed(1234)
s <- 13000 + cumsum(rnorm(100))
df_axe <- axe(s)
op <- par(mfrow=c(3,1))
plot(s, type = "l")
plot(df_axe$trend5, type = "l")
abline(a = 0, b = 0)
plot(df_axe$vola5, type = "l")
par(op)