Open interest growth (OI) nearby factor — OI_nearby

Provided with futures contract front price and open interest data from Bloomberg retrieved with pullit, construct open interest growth (OI) nearby 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 nearby open interest factor is concerned with liquidity at the very front end of the term structure where it sorts on nearby front contract's open interest.

OI_nearby_factor(
  data,
  update_frequency = "month",
  return_frequency = "day",
  ranking_period = 1L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F
)

# S4 method for FuturesTS
OI_nearby_factor(
  data,
  update_frequency = "month",
  return_frequency = "day",
  ranking_period = 1L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F
)

Arguments

data	an S4 object of class `FuturesTS`. `FuturesTS` objects are returned by the `BBG_futures_TS` 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 nearby 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

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.