Package index

Event prices

Standardize and screen traded event probabilities.

as_event_prices() print(<event_prices>) summary(<event_prices>) plot(<event_prices>)

Standardize traded event probabilities as an event_prices object

q_from_price()

Convert traded state prices into risk-adjusted event probabilities

q_from_ffutures()

Meeting-implied probability from a fed funds futures price

q_from_deal_spread()

Completion probability from a merger-arbitrage spread

ec_validate() print(<ec_validation>)

Data-quality report for an event-probability series

The event clock

Estimate information time A from log-odds variation.

event_clock()

Estimate event-clock (information) time from log-odds variation

event_clock_path() plot(<event_clock_path>)

Cumulative event-clock path

event_clock_forecast()

Real-time event-clock forecast

ec_signature() plot(<ec_signature>)

Sampling-frequency signature of the event clock

plot_signature()

Plot the sampling-frequency signature

ec_default_params()

Default parameters of the eventclock package

Assets & finance

Event exposures and pricing relevance.

event_beta() print(<event_beta>)

Event beta: realized loading of asset returns on event-probability news

ec_relevance()

Pricing relevance of event learning: the sufficient statistic

Formula book

Closed-form calculators in (q, A).

ec_moments()

Moments of the terminal probability and log-odds

ec_exceedance()

Exceedance probability of the terminal event probability

ec_revision()

Typical revision of the event probability

ec_atm_event_call()

ATM claim on the event factor

ec_sigma_eff()

Effective volatility ahead of a scheduled event

ec_variance_share()

Variance share of event learning

ec_iv_rule()

Rule of thumb: implied-volatility contribution of event learning

ec_target_clock()

Event-clock time needed to reach near-certainty

ec_logit() ec_ilogit()

Log-odds (logit) transform

Transition & simulation

ec_transition_density()

Density of the terminal log-odds

ec_simulate()

Simulate the exact transition to resolution

ec_simulate_path()

Simulate event-clock consistent probability paths

Plots

plot_q()

Plot the event-probability path

plot_clock()

Clock plot: the cumulative event clock

plot_clock_vs_calendar()

Event-clock time versus calendar time

Polymarket connector

pm_daily()

Collapse intraday event prices to one daily snapshot

pm_markets()

List the markets and outcome tokens of a Polymarket event

pm_prices()

Download Polymarket price history for one outcome token

pm_search()

Search Polymarket events

Data

brexit2016

Brexit 2016 event probabilities

us2016

U.S. presidential election 2016 event probabilities

polymarket2024

Polymarket 2024 U.S. presidential election prices (hourly)

fomc_meetings

Scheduled FOMC meetings 2021-2027

djt2024

Trump Media & Technology Group (DJT) daily prices, June-November 2024