mkurtosisTopN
Syntax
mkurtosisTopN(X, S, window, top, [biased=true], [ascending=true], [tiesMethod=’latest’])
Please see Moving TopN Functions (mTopN functions) for the parameters and windowing logic.
Arguments
biased is a Boolean value indicating whether the result is biased. The default value is true, meaning the bias is not corrected.
Details
After stably sorting S in the specified ascending order, the function calculates the moving kurtosis of the first top elements of X in a sliding window.
Return value: DOUBLE type.
例子
$ X=1 2 3 10 100 4 3
$ S = 0.3 0.5 0.1 0.1 0.5 0.2 0.4
$ mkurtosisTopN(X, S, 6, 4)
[,,1.49,2.23,2.31,2.11,2.27]
$ X = matrix(1..10, 11..20)
$ S = matrix(2022.01.01 2022.02.03 2022.01.23 NULL 2021.12.29 2022.01.20 2022.01.23 2022.01.22 2022.01.24 2022.01.24, NULL 2022.02.03 2022.01.23 2022.04.06 NULL 2022.02.03 2022.02.03 2022.02.05 2022.02.08 2022.02.03)
$ mkurtosisTopN(X, S, 6, 4)
col1 col2
1.5
1.5 1.5
1.8457 1.5
1.5734 1.8457
1.8457 1.2215
1.64 2
1.64 1.64
1.64 1.8457
$ symbol = ["A","A","A","B","A","A","B","A","A","B","B","B","A","B","A","B","B","A","B","A"]
$ time = temporalAdd(2023.07.05T09:30:00.000,[10,20,40,60,70,80,90,140,160,170,180,190,200,210,220,230,250,360,390,400],"ms")
$ price = [28.11,28.25,28.44,52.31,28.98,28.89,52.22,28.16,28.52,52.62,52.56,52.2,28.01,52.43,28.57,52.42,52.19,28.16,52.84,28.18]
$ qty = [5000,400,3100,100,2400,3700,700,3700,4600,4700,3100,3300,3900,3500,3000,3000,4000,4700,2000,4400]
$ BSFlag = [1,0,0,0,1,1,0,1,0,0,0,1,0,0,1,1,1,0,1,0]
$ t = table(time, symbol, price, qty, BSFlag)
$ select time,symbol,mkurtosisTopN(price, qty, 8, 5) as mskewTop5price from t context by symbol
time |
symbol |
mskewTop5price |
---|---|---|
2023.07.05T09:30:00.010 |
A |
|
2023.07.05T09:30:00.020 |
A |
|
2023.07.05T09:30:00.040 |
A |
1.5 |
2023.07.05T09:30:00.070 |
A |
2.0147 |
2023.07.05T09:30:00.080 |
A |
1.3355 |
2023.07.05T09:30:00.140 |
A |
1.2976 |
2023.07.05T09:30:00.160 |
A |
1.2976 |
2023.07.05T09:30:00.200 |
A |
1.2976 |
2023.07.05T09:30:00.220 |
A |
2.2021 |
2023.07.05T09:30:00.360 |
A |
1.656 |
2023.07.05T09:30:00.400 |
A |
1.351 |
2023.07.05T09:30:00.060 |
B |
|
2023.07.05T09:30:00.090 |
B |
|
2023.07.05T09:30:00.170 |
B |
1.5 |
2023.07.05T09:30:00.180 |
B |
1.1993 |
2023.07.05T09:30:00.190 |
B |
1.289 |
2023.07.05T09:30:00.210 |
B |
1.7383 |
2023.07.05T09:30:00.230 |
B |
1.8183 |
2023.07.05T09:30:00.250 |
B |
1.8183 |
2023.07.05T09:30:00.390 |
B |
1.923 |
Related function: mkurtosis