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Title:

Estimate Holding Cost Distributions for Chinese Equities

Version:

0.2.1

Description:

Estimates holding-cost distributions of mainland Chinese A-share equities from daily price, volume, amount and turnover data. Implements the linear turnover-based cost-distribution recurrence of Liu and Wang (2018) <doi:10.1016/j.physa.2017.11.154>, and adds a package-specific exponential-retention alternative and price-allocation choices. Provides optional adjustment factors and initial distributions, offline preparation of 'Tushare' tables, weighted cost summaries and diagnostics for reproducible sensitivity analysis.

License:

MIT + file LICENSE

Encoding:

UTF-8

Depends:

R (≥ 4.1.0)

Imports:

graphics

Suggests:

testthat (≥ 3.0.0), knitr, rmarkdown

VignetteBuilder:

knitr

Config/testthat/edition:

Language:

en-US

NeedsCompilation:

Packaged:

2026-10-26 03:11:39 UTC; zhaoruihong

Author:

Ruihong Zhao [aut, cre]

Maintainer:

Ruihong Zhao <3142115360@qq.com>

Repository:

CRAN

Date/Publication:

2026-11-10 17:20:08 UTC

Estimate A-Share Holding-Cost Distributions

Description

Offline preparation and estimation of daily holding-cost distributions for mainland Chinese A-share equities. Models expose their initialization, turnover replacement, price allocation and price-basis assumptions.

Details

The preparation function joins locally supplied tables. The estimator returns weights, statistics and diagnostics. A weighted-mean cost utility is also provided. Examples and the vignette use synthetic data and require no token. See the introduction vignette for a worked example and limitations.

Author(s)

Ruihong Zhao 3142115360@qq.com

Inspect and Plot a Chip Distribution

Description

Print a brief model summary, extract statistics or weights, or plot estimated cost on the vertical axis against estimated chip share on the horizontal axis.

Usage

## S3 method for class 'chip_distribution'
print(x, ...)
## S3 method for class 'chip_distribution'
summary(object, ...)
## S3 method for class 'chip_distribution'
as.data.frame(x, row.names = NULL, optional = FALSE, ...)
## S3 method for class 'chip_distribution'
plot(x, ..., col = "#4C78A8", close_col = "#D62728")

Arguments

x, object

A chip_distribution object returned by estimate_chip_distribution().

...

For plot, named arguments forwarded to graphics::plot; defaults such as xlab, ylim and main can be overridden. x and y cannot be overridden. For as.data.frame, arguments forwarded to the data-frame method. Otherwise ignored.

row.names, optional

Passed to as.data.frame.

col

Colour for horizontal chip segments.

close_col

Colour for the final closing-price reference line.

Value

summary returns the one-row summary data frame; as.data.frame returns the distribution data frame. print and plot return x invisibly. plot draws on the current graphics device without opening an external viewer or saving files.

Examples

daily <- data.frame(
  trade_date = c("20260102", "20260105"),
  high = c(10, 11), low = c(10, 11), close = c(10, 11),
  vol = c(100, 100), amount = c(100, 110), turnover_rate = c(0, 20)
)
chips <- estimate_chip_distribution(daily)
print(chips)
summary(chips)
as.data.frame(chips)
plot(chips, main = "Synthetic example", xlab = "Share (%)")

Calculate a Share-Weighted Mean Cost

Description

Calculate the weighted mean of prices without R's vector recycling. Prices and share counts must correspond in the same order.

Usage

chip_mean_cost(price, shares)

Arguments

price

Non-empty vector of positive, finite prices. Numeric text and factors containing numeric text are also accepted.

shares

Equally sized vector of non-negative, finite share counts or weights with a finite positive sum.

Value

A numeric scalar equal to the sum of prices multiplied by normalized share counts. Prices retain the input monetary units.

Examples

chip_mean_cost(c(10, 11, 12), c(50, 20, 30)) # 10.8
chip_mean_cost(c(10, 11, 12), c(0.5, 0.2, 0.3))

Estimate a Holding-Cost Distribution from Daily Market Data

Description

Estimate the cost distribution of circulating shares using an explicitly specified daily turnover-replacement model. Returns auditable weights, descriptive cost statistics and a per-day diagnostic record.

Usage

estimate_chip_distribution(
  data, date_col = "trade_date", high_col = "high", low_col = "low",
  close_col = "close", turnover_col = "turnover_rate", volume_col = "vol",
  amount_col = "amount", adjustment_col = NULL, price_step = 0.01,
  price_method = c("vwap", "typical", "close", "uniform"),
  turnover_transform = c("exponential", "linear"),
  initial_distribution = NULL
)

Arguments

data

A non-empty data frame containing one row per observed day and one stock. A ts_code column, if present, must identify a single stock. Missing trading days are not imputed.

date_col

Date column name. Accepts Date objects, eight-digit YYYYMMDD numbers or text, or YYYY-MM-DD text. Dates must be valid and unique; they are normalized to YYYYMMDD and sorted.

high_col, low_col, close_col

Column names for positive finite daily high, low and closing prices in CNY per share. High must be at least low and close must lie in that range. Use unadjusted prices when supplying factors.

turnover_col

Column name for non-negative daily turnover in percentage points: 5 means five percent. Tushare's turnover_rate uses unrestricted circulating shares; turnover_rate_f uses a different denominator and should not be mixed with it.

volume_col, amount_col

Volume and amount column names, required for VWAP. Units are lots of 100 shares and thousand CNY, respectively, as in Tushare daily data. Zero values are permitted together only on rows on which no transaction price is needed. Negative values are rejected.

adjustment_col

Optional column name for strictly positive adjustment factors. Historical prices are multiplied by that day's factor divided by the last observed day's factor. Without factors, prices must already share a consistent basis.

price_step

Positive price-grid spacing in CNY. Smaller spacing increases resolution and computational work. Grids above one million bins are rejected. The spacing must exceed the numerical resolution of the input prices.

price_method

Placement of newly traded weight: "vwap" uses amount * 10 / vol; "typical" uses the mean of high, low and close; "close" uses close; "uniform" distributes weight across the high-low interval using overlap with each grid cell.

turnover_transform

"exponential" retains \exp(-r/100) of previous weight, allowing turnover above 100 percent. "linear" retains 1-r/100 and requires turnover at most 100 percent.

initial_distribution

Optional non-empty data frame with positive price and non-negative weight columns. Weights are normalized and must have a finite positive sum. Prices must already use the last observed day's price basis. The distribution describes holdings immediately before the first row; that row's turnover is therefore applied.

Details

Let w_{t-1} be the previous grid distribution, g_t the normalized distribution assigned to newly traded shares and s_t the retention fraction. The recurrence is

w_t = s_t w_{t-1} + (1-s_t) g_t.

The exponential transformation assumes homogeneous random replacement; the linear alternative assumes a fraction of existing shares changes hands once. Neither transformation identifies actual sellers or individual accounts.

If initial_distribution is NULL, all initial weight is placed using the first day's price rule. Its turnover is not used as a replacement step. If an initial distribution is supplied, every row is a replacement step. history_coverage describes the amount of initial weight replaced by those steps, not coverage of actual shareholder records.

Point prices are rounded to the nearest grid centre using R's ties-to-even rounding. Centres are spaced by price_step; the first centre is the largest non-negative grid multiple not exceeding the minimum input price, except that a zero centre is replaced by the minimum positive input price. Uniform allocation uses overlap with cells extending half a step either side of each centre. A zero-width high-low interval is allocated to one centre. No arbitrary small-weight threshold is used; only zero numerical weights are omitted. Very old weights may underflow in long histories.

VWAP values beyond the high-low range by more than 1e-6 * max(1, high) in original price units are rejected. Smaller rounding discrepancies are clamped to the range and flagged. The optional float_share column must be positive; a consecutive relative change above 1e-6 produces a warning and a diagnostic flag. Issuances, unlocks, repurchases, fees and taxes are not modelled. Dividend factors provide a comparable price basis rather than literal historical cash acquisition costs.

Runtime is approximately proportional to the product of the number of days and grid bins. Memory usage is proportional to bins plus input rows.

Value

A chip_distribution object, a list with four components:

distribution

Data frame with positive grid price, normalized weight (sum one, subject to numerical precision), and percent = 100 * weight.

summary

One-row data frame, with these groups of fields:

Stock identifier: ts_code.
Date interval: start_date and end_date.
Input count: observations. Final price: last_close.
Weighted mean: average_cost. Weighted median: median_cost.
Peak cost: peak_price. Peak share: peak_percent. Tied peaks use the lowest price.
Profitable share: profit_ratio and profit_percent; only costs strictly below the last close are included.
Equal-price share: breakeven_ratio. Higher-cost share: loss_ratio. Equality allows only numerical rounding error. The profit, break-even and loss ratios sum to one.
Central interval: cost_low_90 and cost_high_90, the discrete 5th and 95th weighted quantiles.
Range width: concentration_90, the interval's width divided by the sum of its endpoints. Smaller values mean narrower cost ranges, not higher ownership concentration.
Turnover sum: cumulative_turnover_percent, over applied rows.
Surviving prior: initialization_weight, the product of retention fractions over applied update rows.
Replaced prior: history_coverage, one minus surviving prior.

diagnostics

One row per sorted date with the following fields:

Date: trade_date. Turnover: turnover_rate.
Proposed replacement: replacement_fraction.
Used replacement: applied_replacement_fraction; zero for an initialized first row.
Old-weight retention: retention.
Final-basis price: transaction_price.
Original-basis price: raw_transaction_price.
Factor normalization: adjustment_ratio.
Minor VWAP corrections: vwap_rounding_adjusted.
Initialization flag: initialized_here.
Share-count change flag: capital_changed.

vwap_outside_range is retained for backwards compatibility and is always false because material violations are errors. Uniform allocation's transaction price is a representative typical price, not the allocation itself.

settings

Column mappings, grid spacing and origin, price and turnover methods, initialization rule and price_basis = "last_trading_day".

The estimates depend on modelling assumptions, observed history and grid spacing. They do not establish investor identity or future returns.

References

Liu, H. and Wang, L. (2018). “The price momentum of stock in distribution.” Physica A: Statistical Mechanics and its Applications, 492, 2336–2344. doi:10.1016/j.physa.2017.11.154.

Tushare daily prices and units: https://tushare.pro/document/2?doc_id=27. Turnover definitions: https://tushare.pro/document/2?doc_id=32. Adjustment factors: https://tushare.pro/document/2?doc_id=28.

Examples

# Entirely synthetic data; no network access or API token is required.
daily <- data.frame(
  trade_date = c("20260106", "20260102", "20260105"),
  high = c(12, 10, 11), low = c(12, 10, 11), close = c(12, 10, 11),
  vol = c(100, 100, 100), amount = c(120, 100, 110),
  turnover_rate = c(30, 0, 20)
)
chips <- estimate_chip_distribution(daily)
summary(chips)
as.data.frame(chips)

initial <- data.frame(price = c(8, 12), weight = c(0.5, 0.5))
estimate_chip_distribution(daily, initial_distribution = initial)

Prepare Matching Tushare Tables without Network Access

Description

Validate and join locally supplied daily price, turnover and optional factor tables with complete one-to-one stock/date matches. Dates are normalized and sorted. No API requests, token storage or file writes are performed.

Usage

prepare_tushare_data(daily, daily_basic, adj_factor = NULL,
                    ts_code = NULL, as_of = NULL)

Arguments

daily

Unadjusted daily prices, supplied as a non-empty data frame with ts_code, trade_date, high, low, close, vol (lots of 100 shares), and amount (thousand CNY).

daily_basic

Non-empty data frame with ts_code, trade_date, turnover_rate (percentage points) and optionally float_share (ten thousand shares).

adj_factor

Optional factor table with three columns: ts_code for stock codes; trade_date for dates; and adj_factor for positive factors.

ts_code

Optional single stock code to select from all tables. Without it, each table must refer to one and the same stock.

as_of

Optional cutoff date. Accepts a Date, YYYYMMDD number or text, or YYYY-MM-DD text. Rows after it are excluded. The cutoff need not be a trading date; the last remaining daily row determines the price basis used by the estimator.

Details

Duplicate selected stock/date keys, different stocks or a missing turnover or factor row for any retained daily date are errors. Extra dates in the indicator or factor table are ignored. Daily prices remain authoritative; for example, daily_basic$close does not replace daily$close. Columns from daily are preserved except reserved indicator/factor columns, which are supplied by their authoritative tables. Arithmetic and price-range validation is performed by the estimator.

Value

A data frame ready for estimate_chip_distribution(), with daily price columns, matched turnover_rate, optional float_share and optional adj_factor. If factors are included, explicitly specify adjustment_col = "adj_factor" in the estimator.

Examples

daily <- data.frame(
  ts_code = rep("000001.SZ", 2), trade_date = c("20260105", "20260102"),
  high = c(11, 10), low = c(11, 10), close = c(11, 10),
  vol = c(100, 100), amount = c(110, 100)
)
basic <- data.frame(
  ts_code = rep("000001.SZ", 2), trade_date = c("20260102", "20260105"),
  turnover_rate = c(0, 20)
)
input <- prepare_tushare_data(daily, basic)
estimate_chip_distribution(input)

Package {asharechips}

Estimate A-Share Holding-Cost Distributions

Description

Details

Author(s)

See Also

Inspect and Plot a Chip Distribution

Description

Usage

Arguments

Value

See Also

Examples

Calculate a Share-Weighted Mean Cost

Description

Usage

Arguments

Value

Examples

Estimate a Holding-Cost Distribution from Daily Market Data

Description

Usage

Arguments

Details

Value

References

See Also

Examples

Prepare Matching Tushare Tables without Network Access

Description

Usage

Arguments

Details

Value

See Also

Examples