joshdoug / financial-herding-analysis Goto Github PK

Checked against results for Security UNP and any B/B+S that results in a non-integer value is incorrect.

Code currently takes a security for a specific institution, orders by date in case the data is in the wrong order (seen a couple of times), but then assumes that there are no gaps in the dates.

So if a date is missing in the midst of that data subset, all later dates will essentially be shifted to a quarter earlier and processed as such.

Any changes should be isolated to the walkSecurityInstance function.

P is currently calculated by the total of B/B+S per quarter for each security, divided by the total number of securities. Instead it should be divided only by the number of active securities - where N is not 0.

Also affects final calculations for H, which relies on results produced using p.

• Gather total number of active securities per quarter
• Calculate p(t) by number of active securities per quarter
• Calculate H(t) by number of active securities per quarter