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