Description
Compute the Adjusted Market Inefficiency Measure.
Description
Fast tool to calculate the Adjusted Market Inefficiency Measure following Tran & Leirvik (2019) <doi:10.1016/j.frl.2019.03.004>. This tool provides rolling window estimates of the Adjusted Market Inefficiency Measure for multiple instruments simultaneously.
README.md
AMIM
The goal of AMIM is to provide an easy function to compute the rolling window AMIM following the paper of Tran & Leirvik (2019), “A simple but powerful measure of market efficiency”. Finance Research Letters, 29, pp.141-151.
Installation
You can install the released version of AMIM from CRAN with:
install.packages("AMIM")
Example
This is a basic example which shows you how to solve a common problem:
library(AMIM)
library(data.table)
data <- AMIM::exampledata # load the example data
AMIM <- AMIM.roll(data.table = data, identity.col = "ticker", rollWindow = 60, Date.col = "Date", return.col = "RET", min.obs = 30, max.lag = 10)
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AMIM[, .SD[(.N - 5):(.N), ], by = ticker] # show the last 5 observations for each ticker
#> ticker N Date MIM CI AMIM
#> 1: A 2 2021-07-06 0.7044131 0.7604725 -0.23404162
#> 2: A 2 2021-07-07 0.7044131 0.7604725 -0.23404162
#> 3: A 3 2021-07-08 0.8058670 0.8110500 -0.02743054
#> 4: A 3 2021-07-09 0.8017444 0.8110500 -0.04924920
#> 5: A 3 2021-07-10 0.8017444 0.8110500 -0.04924920
#> 6: A 3 2021-07-11 0.8017444 0.8110500 -0.04924920
#> 7: B NA 2021-07-06 NA NA NA
#> 8: B NA 2021-07-07 NA NA NA
#> 9: B NA 2021-07-08 NA NA NA
#> 10: B NA 2021-07-09 NA NA NA
#> 11: B NA 2021-07-10 NA NA NA
#> 12: B NA 2021-07-11 NA NA NA