dif4mtx function

order four differencing of a matrix of time series

This is for momentum traders who focus on growth, acceleration, its growth and further acceleration. The diff function of R seems to do recycling of available numbers, not wanted for our purposes. Hence, this function is needed in portfolio studies based on time series.

dif4mtx(mtx)

Arguments

• mtx: (n X p) matrix of p time series (market returns) with n items each

Returns

out matrix having 12 rows, (data, D1 to D4 and ranks of D1 to D4 The column names of out are those of input matrix mtx.

Examples

x=c(2,8,3,5,1,8,19,22,23)
y=c(3,11,2,6,7,9,20,25,21)
dif4mtx(cbind(x,y))

Author(s)

Prof. H. D. Vinod, Economics Dept., Fordham University, NY