aqFilterOHLCSD {aqr}R Documentation

Removes outliers based on standard deviation filters. Overwrites these with the open value.

Description

Removes outliers based on standard deviation filters. Overwrites these with the open value.

Usage

aqFilterOHLCSD(ohlcv, sdFilterAmount = 10)

Arguments

ohlcv

an input Open/High/Low/Close/Volume dataset

sdFilterAmount

the amount of standard deviations a value has to be off, to be considered errenuous data

Value

retuns a filtered ohlcv object


[Package aqr version 0.4 Index]