Kurtosis

v1.0.0

Compute the kurtosis of one or several asset(s), from the asset returns.

References

Input

{
  "type": "object",
  "required": [
    "assets"
  ],
  "properties": {
    "assets": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "assetReturns"
        ],
        "properties": {
          "assetReturns": {
            "type": "array",
            "description": "assetReturns[t] is the return of the asset at the time t",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "assets"
  ],
  "properties": {
    "assets": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "assetKurtosis"
        ],
        "properties": {
          "assetKurtosis": {
            "type": "number",
            "description": "The kurtosis of the asset"
          }
        }
      }
    }
  }
}