fintech-algorithms
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Levels, Changes, Differences, and Returns

Install and import#

bash
npm install fintech-algorithms
ts
import { levelsChangesDifferencesAndReturns } from "fintech-algorithms/financial-mathematics-statistics-and-data-foundations/financial-time-series-foundations/levels-changes-differences-and-returns";

Signature#

levelsChangesDifferencesAndReturns(input)

Worked example#

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input#

input
{
  "timestamps": [
    "2025-01-01T00:00:00Z",
    "2025-01-02T00:00:00Z",
    "2025-01-03T00:00:00Z",
    "2025-01-04T00:00:00Z",
    "2025-01-05T00:00:00Z",
    "2025-01-06T00:00:00Z"
  ],
  "values": [100, 102, 101, 104, 106, 105],
  "lag": 1,
  "window": 3,
  "resampleSize": 2,
  "period": 3,
  "stationarityTolerance": 3,
  "alpha": 0.4,
  "splitIndex": 4
}

Call#

levelsChangesDifferencesAndReturns(input)

Returns#

object with 2 fields: levels, changes

{
  "levels": [100, 102, 101, 104, 106, 105],
  "changes": [2, -1, 3, 2, -1]
}

Diagrams#

Levels, Changes, Differences, and Returns — article hero
Levels, Changes, Differences, and Returns — calculation ledger
Levels, Changes, Differences, and Returns — concept anatomy
Levels, Changes, Differences, and Returns — failure boundary
Levels, Changes, Differences, and Returns — method map
Levels, Changes, Differences, and Returns — scenario contrast

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

The rest of the Financial Time-Series Foundations family#