function tick2ret
tick2ret(
x: array,
mode?: string,
dim?: 0 | 1,
): array

Convert price series to returns.

Convert a price series to continuous or discrete returns

Examples

Simple returns from price series

import { assertEquals } from "jsr:@std/assert";

const x = [1, 3, 2, 5];
assertEquals(tick2ret(x), [2, -0.33333333333333337, 1.5]);

Continuous (log) returns

import { assertEquals } from "jsr:@std/assert";

const x = [1, 3, 2, 5];

assertEquals(tick2ret(x, "continuous"), [1.0986122886681096, -0.40546510810816444, 0.9162907318741551]);

Continuous returns for different price series

import { assertEquals } from "jsr:@std/assert";

const y = [0.5, 1.5, 2.5, 3.5];
assertEquals(tick2ret(y, "continuous"), [1.0986122886681096, 0.5108256237659907, 0.33647223662121284]);

Parameters

x: array

Array of values (prices)

optional
mode: string

Calculation mode: 'simple' (default) or 'continuous'

optional
dim: 0 | 1

Dimension to operate on (0: row-wise, 1: column-wise) (defaults to 1)

Return Type

Returns array or matrix

Throws

If input is not an array or matrix

tick2ret(
x: matrix,
mode?: string,
dim?: 0 | 1,
): matrix

Convert price series to returns.

Convert a price series to continuous or discrete returns

Examples

Simple returns from price series

import { assertEquals } from "jsr:@std/assert";

const x = [1, 3, 2, 5];
assertEquals(tick2ret(x), [2, -0.33333333333333337, 1.5]);

Continuous (log) returns

import { assertEquals } from "jsr:@std/assert";

const x = [1, 3, 2, 5];

assertEquals(tick2ret(x, "continuous"), [1.0986122886681096, -0.40546510810816444, 0.9162907318741551]);

Continuous returns for different price series

import { assertEquals } from "jsr:@std/assert";

const y = [0.5, 1.5, 2.5, 3.5];
assertEquals(tick2ret(y, "continuous"), [1.0986122886681096, 0.5108256237659907, 0.33647223662121284]);

Parameters

Array of values (prices)

optional
mode: string

Calculation mode: 'simple' (default) or 'continuous'

optional
dim: 0 | 1

Dimension to operate on (0: row-wise, 1: column-wise) (defaults to 1)

Return Type

Returns array or matrix

Throws

If input is not an array or matrix

Usage

import tick2ret from "quants/tick2ret.ts";