mkurtosisTopN

mkurtosisTopN(X, S, window, top, [biased=true], [ascending=true], [tiesMethod='latest'])

Please see mTopN for the parameters and windowing logic.

biased (optional) is a Boolean value indicating whether the result is biased. The default value is true, meaning the bias is not corrected.

Within a sliding window of given length (measured by the number of elements), the function stably sorts X by S in the order specified by ascending, then calculates the moving kurtosis of the first top elements.

Return value: DOUBLE type

X=1 2 3 10 100 4 3
S = 0.3 0.5 0.1 0.1 0.5 0.2 0.4
mkurtosisTopN(X, S, 6, 4)
// output
[,,1.49,2.23,2.31,2.11,2.27]

X = matrix(1..10, 11..20)
S = matrix(2022.01.01 2022.02.03 2022.01.23 NULL 2021.12.29 2022.01.20 2022.01.23 2022.01.22 2022.01.24 2022.01.24, NULL 2022.02.03 2022.01.23 2022.04.06 NULL 2022.02.03 2022.02.03 2022.02.05 2022.02.08 2022.02.03)
mkurtosisTopN(X, S, 6, 4)

// output
col1   col2


1.5
1.5    1.5
1.8457 1.5
1.5734 1.8457
1.8457 1.2215
1.64   2
1.64   1.64
1.64   1.8457



symbol = ["A","A","A","B","A","A","B","A","A","B","B","B","A","B","A","B","B","A","B","A"]
time = temporalAdd(2023.07.05T09:30:00.000,[10,20,40,60,70,80,90,140,160,170,180,190,200,210,220,230,250,360,390,400],"ms")
price = [28.11,28.25,28.44,52.31,28.98,28.89,52.22,28.16,28.52,52.62,52.56,52.2,28.01,52.43,28.57,52.42,52.19,28.16,52.84,28.18]
qty = [5000,400,3100,100,2400,3700,700,3700,4600,4700,3100,3300,3900,3500,3000,3000,4000,4700,2000,4400]
BSFlag = [1,0,0,0,1,1,0,1,0,0,0,1,0,0,1,1,1,0,1,0]
t = table(time, symbol, price, qty, BSFlag)
select time,symbol,mkurtosisTopN(price, qty, 8, 5) as mskewTop5price from t context by symbol

Related function: mkurtosis