dispositionEffect1.0.1 package

Analysis of Disposition Effect on Financial Portfolios

checks

Checks functions

closest_market_price

Closest market price

difference_in_time

Difference in time

disposition_effect

Disposition Effect

dispositionEffect-package

dispositionEffect: behavioral Analysis on Financial Data

evaluate

Portfolio evaluation

gains_losses

Gains & Losses

initializers

Initializers functions

manipulate_initial_data

Pre-process transactions and market prices data frames

negative_match

Negative match operator

paper_compute

Papers' estimation

pipe

Pipe operator

portfolio_compute

Portfolio Compute

realized_compute

Realized estimation

updates

Update results over time

utils

Utilities

Download source packageRead PDF manual

Evaluate the presence of disposition effect and others irrational investor's behaviors based solely on investor's transactions and financial market data. Experimental data can also be used to perform the analysis. Four different methodologies are implemented to account for the different nature of human behaviors on financial markets. Novel analyses such as portfolio driven and time series disposition effect are also allowed.

  • Maintainer: Marco Zanotti
  • License: MIT + file LICENSE
  • Last published: 2022-05-30

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