A Javascript library that introduces R idioms and vectorization
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README.md
arbitrage.js
test_arbitrage.js

README.md

arbitrage.js

Arbitrage.js takes advantage of R idioms in the world of Javascript giving you a risk-free gain in productivity.

For those working with data and looking to perform data visualization, the concept of vectorization is extremely useful. The short definition of vectorization is that all scalars are actually vectors of length 1. Additionally, functions are vector-aware, so operations like addition natively perform element-wise addition while operations like max natively know how to operate on an array.

Since Javascript doesn't support vectors out of the box, an external library must do the work. Arbitrage.js does just this, while also providing tools to work with sequences in general as well as sample spaces and probability distributions.

Sequence Operations

Sequences

Definition: seq(from, to, by=1)

A sequence is any regularly spaced set of numbers, such as [1,2,3,4,5]. To create this integer sequence, use seq(1,5). A decreasing sequence is also possible using seq(5,1).

Suppose instead that you want a step size greater than 1. Then explicitly set the step size with the by argument: seq(1,18, 3). The by argument can also be used to specify non-integer step sizes, such as seq(1,5, 0.2).

Note that if the step size does not yield a value coincident with the to value, the number of elements is rounded up such that to is within the bounds of the resulting array: seq(1,20, 3).

Replication

Definition: rep(x, times)

The rep function replicates the input argument a specified number of times. For example to create an array of four 1s, use rep(1,4). It is possible to pass an array as an argument, in which case the result is a single array with all elements concatenated: rep([1,2,3], 4).

Selections

Definition: select(x, idx) Definition: which(x, fn)

Algebra

Arithmetic

Definition: add(x,y) Definition: multiply(x,y)

Summation operator

Definition: sum(x) Definition: cumsum(x)

Product operator

Definition: prod(x) Definition: cumprod(x)

Dot product

Definition: inner_prod(x,y)

Minima and maxima

Definition: min(x) Definition: max(x)

Probability and Sampling

Definition: sample(x, size, prob=cumsum(rep(1/x,x)))

The sample function provides a way to make repeated draws from a sample space with replacement.

x = seq(1,20)
y = sample(x, 100)

You might then want to draw the results using d3.js.

Credits

Author: Brian Lee Yung Rowe