The dispositionEffect package allows to quickly evaluate
the presence of disposition effect’s behaviors of an investor based
solely on his transactions and the market prices of the traded
assets.
You can install the released version of
dispositionEffect from CRAN with:
install.packages("dispositionEffect")Otherwise, you can also install the development version from GitHub with:
install.packages("devtools")
devtools::install_github("marcozanotti/dispositionEffect")The package contains few user-friendly purpose specific interfaces:
portfolio_compute is a wrapper function that compute
realized and paper gains and losses from the investor’s transactions and
the market prices of the traded assets and updates the investor’s
portfolio
gains_losses is the core function of the package. It
performs all the necessary calculations and can be used for real-time
processing (it is intended for advanced users only)
disposition_effect computes the disposition
effect
disposition_difference computes the disposition
difference
disposition_computeand
disposition_summaryinterfaces that allow to easily compute
disposition effect and summary statistics.
Mazzucchelli, 2022, An Analysis of Short Selling and Volatility Impact on the Disposition Effect (working paper)
Filippin, Mazzucchelli, and Zanotti, 2022, Portfolio driven disposition effect: the wide framing approach (working paper)
Mazzucchelli, and Zanotti, 2022, Mean reverting expectations to rationalize the disposition effect (working paper)
Computing Disposition Effect on Financial Market Data, 2021, useR! Conference
If you encounter a clear bug, please file an issue with a minimal reproducible example on GitHub.
For questions and other discussion, mail us at zanottimarco17@gmail.com.
A special thank to Claud Graphics for our logo.