Construct futures open interest growth (OI) aggregate factor

Provided with futures contract front price and aggregate open interest data from Bloomberg retrieved with pullit, construct aggregate open interest growth (OI) factor. The open interest factor relates to futures market liquidity and is popular in the literature, in particular in the context of commodity markets research (Hong and Yogo 2012) . The aggregate open interest factor (Basu and Bauthéac 2018) is concerned with liquidity over the whole futures term strucutre and sorts on open interest aggregated (summed up) over the futures term structure.

OI_aggregate_factor(
  price_data,
  aggregate_data,
  update_frequency = "month",
  return_frequency = "day",
  ranking_period = 1L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F
)

# S4 method for FuturesTS,FuturesAggregate
OI_aggregate_factor(
  price_data,
  aggregate_data,
  update_frequency = "month",
  return_frequency = "day",
  ranking_period = 1L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F
)

Arguments

price_data	an S4 object of class FuturesTS. FuturesTS objects are returned by the BBG_futures_TS function from the pullit package.
aggregate_data	an S4 object of class FuturesAggregate. FuturesAggregate objects are returned by the BBG_futures_aggregate function from the pullit package.
update_frequency	a scalar character vector. Specifies the rebalancing frequency. Must be one of 'year', 'semester', 'quarter', 'month' or 'week'. Defaults to 'month'.
return_frequency	a scalar character vector. Specifies the frequency of the returns output. Must be one of 'year', 'semester', 'quarter', 'month', 'week' or 'day'. Defaults to 'day'.
ranking_period	a scalar integer vector. Specifies number of periods in term of update_frequency looking backward for aggregate open interest average growth calculation. Defaults to 1 where sort is done on last observation only.
long_threshold	a scalar numeric vector. Specifies the threshold for short positions. Default: 0.5.
short_threshold	a scalar numeric vector. Specifies the threshold for long positions. Default: 0.5.
weighted	a scalar logical vector. If 'TRUE' adjusts portoflio weights with respect to sorting variable values, else equal weights are used. Defaults to 'FALSE'.

Value

An S4 object of class OIFactor.

References

Basu D, Bauthéac O (2018). “Financialization of commodities: an asset pricing perspective.” Working paper.

Hong H, Yogo M (2012). “What does futures market interest tell Us about the macroeconomy and asset prices?” Journal of Financial Economics, 105(3), 473--490. doi: 10.1016/j.jfineco.2012.04.005 , https://doi.org/10.1016/j.jfineco.2012.04.005.