Package: dispositionEffect 1.0.1

dispositionEffect: Analysis of Disposition Effect on Financial Portfolios

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.

Authors:Lorenzo Mazzucchelli [aut], Marco Zanotti [aut, cre]

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dispositionEffect.pdf |dispositionEffect.html
dispositionEffect/json (API)
NEWS

# Install 'dispositionEffect' in R:
install.packages('dispositionEffect', repos = c('https://marcozanotti.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/marcozanotti/dispositioneffect/issues

Datasets:

On CRAN:

behavioral-economicsbehavioral-scienceseconometricseconomicsfinancefinancial-analysisfinancial-datafinancial-marketstime-series

5.20 score 4 stars 9 scripts 124 downloads 23 exports 24 dependencies

Last updated 2 years agofrom:abb1ac72e5. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 01 2024
R-4.5-winOKNov 01 2024
R-4.5-linuxOKNov 01 2024
R-4.4-winOKNov 01 2024
R-4.4-macOKNov 01 2024
R-4.3-winOKNov 01 2024
R-4.3-macOKNov 01 2024

Exports:%>%closest_market_pricedifftime_financialdisposition_computedisposition_compute_tsdisposition_differencedisposition_effectdisposition_summarydisposition_summary_tsevaluate_portfoliogains_lossespaper_computepaper_countpaper_durationpaper_totalpaper_valueportfolio_computerealized_computerealized_countrealized_durationrealized_emptyrealized_totalrealized_value

Dependencies:clicpp11crayondplyrfansigenericsgluehmslifecyclelubridatemagrittrpillarpkgconfigprettyunitsprogresspurrrR6rlangtibbletidyselecttimechangeutf8vctrswithr

Disposition Effect in Parallel

Rendered fromde-parallel.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2021-07-29
Started: 2021-03-18

Getting Started

Rendered fromgetting-started.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2021-07-29
Started: 2020-12-07

The Analysis of Disposition Effect

Rendered fromde-analysis.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2022-05-27
Started: 2021-03-18

Time Series Disposition Effect

Rendered fromde-timeseries.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2021-07-29
Started: 2021-03-18

Readme and manuals

Help Manual

Help pageTopics
dispositionEffect: behavioral Analysis on Financial DatadispositionEffect-package
Closest market priceclosest_market_price
Real sample data for Disposition Effect analysisDEanalysis
Disposition Effectdisposition_compute disposition_compute_ts disposition_difference disposition_effect disposition_summary disposition_summary_ts
Portfolio evaluationevaluate evaluate_portfolio
Gains & Lossesgains_losses
Sample investor financial transactionsinvestor
Market prices of assets traded by the sample investormarketprices
Papers' estimationpaper_compute paper_count paper_duration paper_total paper_value
Portfolio Computeportfolio_compute
Realized and paper resultsportfolio_results
Realized and paper resultsportfolio_results_ts
Realized estimationrealized_compute realized_count realized_duration realized_empty realized_total realized_value