v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Assets / Indicators

Turbulence Index

Compute the turbulence index associated to a universe of assets.

References

M. Kritzman, Y. Li, Skulls, Financial Turbulence, and Risk Management,Financial Analysts Journal, Volume 66, Number 5, Pages 30-41, Year 2010
Kinlaw, W., Turkington, D. Correlation surprise. J Asset Manag 14, 385–399 (2013)

post/assets/indicators/turbulence-index

Request body

assetsinteger required

The number of assets

assetsMeanReturnsnumber[] required

assetsMeanReturns[i] is the mean return of asset i over an historical reference period, in percentage

assetsReturnsnumber[] required

assetsReturns[i] is the return of asset i over a period different from the historical reference period in the same frequency as assetsMeanReturns[i], in percentage

Response

assetsTurbulenceIndexnumber required

the turbulence index of the universe of assets