[Blotter-commits] r329 - pkg/RTAQ/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Apr 14 16:39:07 CEST 2010
Author: jonathan
Date: 2010-04-14 16:39:07 +0200 (Wed, 14 Apr 2010)
New Revision: 329
Added:
pkg/RTAQ/man/di_diff.Rd
pkg/RTAQ/man/di_div.Rd
pkg/RTAQ/man/liquidity.Rd
pkg/RTAQ/man/logqs.Rd
pkg/RTAQ/man/logqslope.Rd
pkg/RTAQ/man/logsize.Rd
pkg/RTAQ/man/mq_return_abs.Rd
pkg/RTAQ/man/mq_return_sqr.Rd
pkg/RTAQ/man/p_return_abs.Rd
pkg/RTAQ/man/p_return_sqr.Rd
pkg/RTAQ/man/pes.Rd
pkg/RTAQ/man/pqs.Rd
pkg/RTAQ/man/price_impact.Rd
pkg/RTAQ/man/prop_price_impact.Rd
pkg/RTAQ/man/prs.Rd
pkg/RTAQ/man/pts.Rd
pkg/RTAQ/man/qs.Rd
pkg/RTAQ/man/qslope.Rd
pkg/RTAQ/man/tspread.Rd
Modified:
pkg/RTAQ/man/es.Rd
pkg/RTAQ/man/rs.Rd
Log:
last help files
Added: pkg/RTAQ/man/di_diff.Rd
===================================================================
--- pkg/RTAQ/man/di_diff.Rd (rev 0)
+++ pkg/RTAQ/man/di_diff.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{di_diff}
+\Rdversion{1.1}
+\alias{di_diff}
+\title{
+Depth imbalance (as a difference)
+}
+
+\description{
+Function returns an xts object with the depth imbalance (as a difference), defined as
+
+\deqn{
+\mbox{depth imbalace (as difference)}_t = \frac{D_t *(\mbox{OFFERSIZE}_{t}-\mbox{BIDSIZE}_{t})}{(\mbox{OFFERSIZE}_{t}+\mbox{BIDSIZE}_{t})},
+}
+where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)).
+Note that the input of this function consists of the matched trades and quotes,
+ so this is were the time indication refers to (and thus not to the registered quote timestamp).
+}
+
+\usage{
+di_diff(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the depth imbalace (as difference).
+}
+
+\references{
+Bessembinder, H. (2003). Issues in assessing trade execution costs.
+Journal of Financial Markets, 223-257.
+
+Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
+equity markets. Journal of Financial Economics 78 (3), 553-582.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/di_div.Rd
===================================================================
--- pkg/RTAQ/man/di_div.Rd (rev 0)
+++ pkg/RTAQ/man/di_div.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{di_div}
+\Rdversion{1.1}
+\alias{di_div}
+\title{
+Depth imbalance (as a ratio)
+}
+
+\description{
+Function returns an xts object with the depth imbalance (as a ratio), defined as
+
+\deqn{
+\mbox{depth imbalace (as ratio)}_t = (\frac{D_t *\mbox{OFFERSIZE}_{t}}{\mbox{BIDSIZE}_{t}})^{D_t},
+}
+where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)).
+Note that the input of this function consists of the matched trades and quotes,
+ so this is were the time indication refers to (and thus not to the registered quote timestamp).
+}
+
+\usage{
+di_div(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the depth imbalace (as a ratio).
+}
+
+\references{
+Bessembinder, H. (2003). Issues in assessing trade execution costs.
+Journal of Financial Markets, 223-257.
+
+Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
+equity markets. Journal of Financial Economics 78 (3), 553-582.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Modified: pkg/RTAQ/man/es.Rd
===================================================================
--- pkg/RTAQ/man/es.Rd 2010-04-12 21:04:26 UTC (rev 328)
+++ pkg/RTAQ/man/es.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -38,7 +38,7 @@
Bessembinder, H. (2003). Issues in assessing trade execution costs. Journal of
Financial Markets, 223-257.
-Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for us
+Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
equity markets. Journal of Financial Economics 78 (3), 553-582.
}
Added: pkg/RTAQ/man/liquidity.Rd
===================================================================
--- pkg/RTAQ/man/liquidity.Rd (rev 0)
+++ pkg/RTAQ/man/liquidity.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,43 @@
+\name{liquidity}
+\Rdversion{1.1}
+\alias{liquidity}
+\title{
+Calculate numerous (22) liquidity measures
+}
+
+\description{
+Function returns an xts object containing the following liquidity measures:
+
+\code{\link{es}}, \code{\link{rs}}, \code{\link{value_trade}}, \code{\link{signed_value_trade}},
+ \code{\link{di_diff}}, \code{\link{di_div}}, \code{\link{pes}}, \code{\link{prs}}, \code{\link{price_impact}}, \code{\link{prop_price_impact}},
+ \code{\link{tspread}}, \code{\link{pts}}, \code{\link{p_return_sqr}}, \code{\link{p_return_abs}}, \code{\link{qs}}, \code{\link{pqs}},
+ \code{\link{logqs}}, \code{\link{logsize}}, \code{\link{qslope}}, \code{\link{logqslope}}, \code{\link{mq_return_sqr}},
+ \code{\link{mq_return_abs}}.
+}
+
+\usage{
+liquidity(data,tdata,qdata)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+\item{tdata}{ xts-object containing the trade data. Please see pdf documentation for the recommended format.}
+\item{qdata}{ xts-object containing the quote data. Please see pdf documentation for the recommended format.}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object the above mentioned liquidity measures.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/logqs.Rd
===================================================================
--- pkg/RTAQ/man/logqs.Rd (rev 0)
+++ pkg/RTAQ/man/logqs.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{logqs}
+\Rdversion{1.1}
+\alias{logqs}
+\title{
+Logarithm of the quoted spread
+}
+
+\description{
+Function returns an xts object with the logarithm of the quoted spread, defined as
+
+\deqn{
+\mbox{log quoted spread}_t = \log(\frac{\mbox{OFFERSIZE}_{t}}{\mbox{BID}_{t}})
+}
+
+(Hasbrouck and Seppi, 2001).
+Note that the input of this function consists of the matched trades and
+quotes, so this is where the time indication refers to (and thus not to the
+registered quote timestamp).
+}
+
+\usage{
+pqs(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the logarithm of the quoted spread.
+}
+
+\references{
+Hasbrouck, J. and D. J. Seppi (2001).
+Common factors in prices, order flows and liquidity.
+Journal of Financial Economics, 383-411.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/logqslope.Rd
===================================================================
--- pkg/RTAQ/man/logqslope.Rd (rev 0)
+++ pkg/RTAQ/man/logqslope.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,39 @@
+\name{logqslope}
+\Rdversion{1.1}
+\alias{logqslope}
+\title{
+Log quoted slope
+}
+
+\description{
+Function returns an xts object with the log quoted slope, defined as
+
+\deqn{
+\mbox{log quoted slope}_t = \frac{\mbox{log quoted spread}_t}{\mbox{log quoted size}_t}.
+}
+}
+
+\usage{
+logqslope(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the log quoted slope.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/logsize.Rd
===================================================================
--- pkg/RTAQ/man/logsize.Rd (rev 0)
+++ pkg/RTAQ/man/logsize.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{logsize}
+\Rdversion{1.1}
+\alias{logsize}
+\title{
+Log quoted size
+}
+
+\description{
+Function returns an xts object with the log quoted size, defined as
+
+\deqn{
+\mbox{log quoted size}_t = \log(\mbox{OFFERSIZE}_{t})-\log(\mbox{BIDSIZE}_{t})
+}
+
+(Hasbrouck and Seppi, 2001).
+Note that the input of this function consists of the matched trades and
+quotes, so this is where the time indication refers to (and thus not to the
+registered quote timestamp).
+}
+
+\usage{
+logsize(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the log quoted size.
+}
+
+\references{
+Hasbrouck, J. and D. J. Seppi (2001).
+Common factors in prices, order flows and liquidity.
+Journal of Financial Economics, 383-411.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/mq_return_abs.Rd
===================================================================
--- pkg/RTAQ/man/mq_return_abs.Rd (rev 0)
+++ pkg/RTAQ/man/mq_return_abs.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,41 @@
+\name{mq_return_abs}
+\Rdversion{1.1}
+\alias{mq_return_abs}
+\title{
+Midquote absolute return
+}
+
+\description{
+Function returns an xts object with the midquote absolute returns, defined as
+
+\deqn{
+\mbox{midquote absolute return}_t = |\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1})|,
+}
+
+where \eqn{\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFFERSIZE}_{t}}{2}}.
+}
+
+\usage{
+mq_return_abs(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing midquote absolute returns.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/mq_return_sqr.Rd
===================================================================
--- pkg/RTAQ/man/mq_return_sqr.Rd (rev 0)
+++ pkg/RTAQ/man/mq_return_sqr.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{mq_return_sqr}
+\Rdversion{1.1}
+\alias{mq_return_sqr}
+\title{
+Midquote squared return
+}
+
+\description{
+Function returns an xts object with the midquote squared returns, defined as
+
+\deqn{
+\mbox{midquote squared return}_t = (\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1}))^2,
+}
+
+where \eqn{\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFFERSIZE}_{t}}{2}}.
+}
+
+
+
+
+
+
+
+\usage{
+mq_return_sqr(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing midquote squared returns.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/p_return_abs.Rd
===================================================================
--- pkg/RTAQ/man/p_return_abs.Rd (rev 0)
+++ pkg/RTAQ/man/p_return_abs.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,42 @@
+\name{p_return_abs}
+\Rdversion{1.1}
+\alias{p_return_abs}
+\title{
+Absolute log returns
+}
+
+\description{
+Function returns an xts object
+with the absolute log return on Trade prices as xts object.
+
+\deqn{
+\mbox{absolute log return on Trade prices}_t = |\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})|.
+}
+
+}
+
+\usage{
+p_return_abs(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+Note: the first observation is set to zero.
+}
+
+\value{
+an xts object containing the absolute log returns.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/p_return_sqr.Rd
===================================================================
--- pkg/RTAQ/man/p_return_sqr.Rd (rev 0)
+++ pkg/RTAQ/man/p_return_sqr.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,42 @@
+\name{p_return_sqr}
+\Rdversion{1.1}
+\alias{p_return_sqr}
+\title{
+Squared log returns
+}
+
+\description{
+Function returns an xts object
+with the squared log return on Trade prices as xts object.
+
+\deqn{
+\mbox{squared log return on Trade prices}_t = (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1}))^2.
+}
+
+}
+
+\usage{
+p_return_sqr(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+Note: the first observation is set to zero.
+}
+
+\value{
+an xts object containing the squared log returns.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/pes.Rd
===================================================================
--- pkg/RTAQ/man/pes.Rd (rev 0)
+++ pkg/RTAQ/man/pes.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{pes}
+\Rdversion{1.1}
+\alias{pes}
+\title{
+Proportional effective spread
+}
+
+\description{
+Function returns an xts object with the proportional effective spread, defined as
+
+\deqn{
+\mbox{proportional effective spread}_t = \frac{\mbox{effective spread}_t}{(\mbox{OFFER}_{t}+\mbox{BID}_{t})/2}
+}
+(Venkataraman, 2001).
+
+Note that the input of this function consists of the matched trades and quotes,
+ so this is were the time indication refers to (and thus not to the registered quote timestamp).
+}
+
+\usage{
+pes(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the proportional effective spread.
+}
+
+\references{
+Venkataraman, K. (2001). Automated versus floor trading:
+An analysis of execution costs on the paris and new york exchanges.
+The Journal of Finance,
+56, 1445-1485.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/pqs.Rd
===================================================================
--- pkg/RTAQ/man/pqs.Rd (rev 0)
+++ pkg/RTAQ/man/pqs.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{pqs}
+\Rdversion{1.1}
+\alias{pqs}
+\title{
+Proportional quoted spread
+}
+
+\description{
+Function returns an xts object with the quoted spread, defined as
+
+\deqn{
+\mbox{proportional quoted spread}_t = \frac{\mbox{quoted spread}_t}{\frac{\mbox{OFFER}_{t}+\mbox{BID}_{t}}{2}}
+}
+(Venkataraman, 2001).
+Note that the input of this function consists of the matched trades and
+quotes, so this is where the time indication refers to (and thus not to the
+registered quote timestamp).
+}
+
+\usage{
+pqs(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the proportional quoted spread.
+}
+
+\references{
+Venkataraman, K. (2001). Automated versus floor trading:
+An analysis of execution costs on the paris and new york exchanges.
+The Journal of Finance, 56,
+1445-1485.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/price_impact.Rd
===================================================================
--- pkg/RTAQ/man/price_impact.Rd (rev 0)
+++ pkg/RTAQ/man/price_impact.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,45 @@
+\name{price_impact}
+\Rdversion{1.1}
+\alias{price_impact}
+\title{
+Price impact
+}
+
+\description{
+Function returns an xts object with the price impact, defined as
+
+\deqn{
+\mbox{price impact}_t = \frac{\mbox{effective spread}_t - \mbox{realized spread}_t}{2}
+}
+(see Bhoehmer (2005), Bessembinder (2003)).
+}
+
+\usage{
+price_impact(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the price impact.
+}
+
+\references{
+Bessembinder, H. (2003). Issues in assessing trade execution costs.
+Journal of Financial Markets, 223-257.
+
+Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
+equity markets. Journal of Financial Economics 78 (3), 553-582.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/prop_price_impact.Rd
===================================================================
--- pkg/RTAQ/man/prop_price_impact.Rd (rev 0)
+++ pkg/RTAQ/man/prop_price_impact.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{prop_price_impact}
+\Rdversion{1.1}
+\alias{prop_price_impact}
+\title{
+Proportional price impact
+}
+
+\description{
+Function returns an xts object with the proportional price impact, defined as
+
+\deqn{
+\mbox{proportional price impact}_t = \frac{100*\frac{(\mbox{effective spread}_t - \mbox{realized spread}_t)}{2}}{\frac{\mbox{OFFER}_{t}+\mbox{BID}_{t}}{2}}
+}
+(Venkataraman, 2001).
+Note that the input of this function consists of the matched trades and
+quotes, so this is where the time indication refers to (and thus not to the
+registered quote timestamp).
+}
+
+\usage{
+prop_price_impact(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the proportional price impact.
+}
+
+\references{
+Venkataraman, K. (2001). Automated versus floor trading:
+An analysis of execution costs on the paris and new york exchanges.
+The Journal of Finance, 56,
+1445-1485.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/prs.Rd
===================================================================
--- pkg/RTAQ/man/prs.Rd (rev 0)
+++ pkg/RTAQ/man/prs.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{prs}
+\Rdversion{1.1}
+\alias{prs}
+\title{
+Proportional realized spread
+}
+
+\description{
+Function returns an xts object with the proportional realized spread, defined as
+
+\deqn{
+\mbox{proportional realized spread}_t = \frac{\mbox{realized spread}_t}{(\mbox{OFFER}_{t}+\mbox{BID}_{t})/2}
+}
+(Venkataraman, 2001).
+
+Note that the input of this function consists of the matched trades and quotes,
+ so this is were the time indication refers to (and thus not to the registered quote timestamp).
+}
+
+\usage{
+prs(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the proportional realized spread.
+}
+
+\references{
+Venkataraman, K. (2001). Automated versus floor trading:
+An analysis of execution costs on the paris and new york exchanges.
+The Journal of Finance,
+56, 1445-1485.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/pts.Rd
===================================================================
--- pkg/RTAQ/man/pts.Rd (rev 0)
+++ pkg/RTAQ/man/pts.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,41 @@
+\name{pts}
+\Rdversion{1.1}
+\alias{pts}
+\title{
+Proportional half traded spread
+}
+
+\description{
+Function returns an xts object with the proportional half traded spread, defined as
+
+\deqn{
+\mbox{proportional half traded spread}_t = \frac{\mbox{half traded spread}_t}{\frac{\mbox{OFFER}_{t}+\mbox{BID}_{t}}{2}}.
+}
+Note that the input of this function consists of the matched trades and quotes,
+ so this is were the time indication refers to (and thus not to the registered quote timestamp).
+}
+
+\usage{
+pts(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the proportional half traded spread.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/qs.Rd
===================================================================
--- pkg/RTAQ/man/qs.Rd (rev 0)
+++ pkg/RTAQ/man/qs.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,42 @@
+\name{qs}
+\Rdversion{1.1}
+\alias{qs}
+\title{
+Quoted spread
+}
+
+\description{
+Function returns an xts object with the quoted spread, defined as
+
+\deqn{
+\mbox{quoted spread}_t = \mbox{OFFER}_{t}-\mbox{BID}_{t}
+}
+Note that the input of this function consists of the matched trades and
+quotes, so this is where the time indication refers to (and thus not to the
+registered quote timestamp).
+}
+
+\usage{
+qs(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the quoted spread.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Added: pkg/RTAQ/man/qslope.Rd
===================================================================
--- pkg/RTAQ/man/qslope.Rd (rev 0)
+++ pkg/RTAQ/man/qslope.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,43 @@
+\name{qslope}
+\Rdversion{1.1}
+\alias{qslope}
+\title{
+Quoted slope
+}
+
+\description{
+Function returns an xts object with the quoted slope, defined as
+
+\deqn{
+\mbox{quoted slope}_t = \frac{\mbox{quoted spread}_t}{\mbox{log quoted size}_t}
+}
+(Hasbrouck and Seppi, 2001).
+}
+
+\usage{
+qslope(data)
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the quoted slope.
+}
+
+\references{
+Hasbrouck, J. and D. J. Seppi (2001).
+Common factors in prices, order flows and liquidity.
+Journal of Financial Economics, 383-411.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Modified: pkg/RTAQ/man/rs.Rd
===================================================================
--- pkg/RTAQ/man/rs.Rd 2010-04-12 21:04:26 UTC (rev 328)
+++ pkg/RTAQ/man/rs.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -40,7 +40,7 @@
Bessembinder, H. (2003). Issues in assessing trade execution costs. Journal of
Financial Markets, 223-257.
-Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for us
+Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
equity markets. Journal of Financial Economics 78 (3), 553-582.
}
Added: pkg/RTAQ/man/tspread.Rd
===================================================================
--- pkg/RTAQ/man/tspread.Rd (rev 0)
+++ pkg/RTAQ/man/tspread.Rd 2010-04-14 14:39:07 UTC (rev 329)
@@ -0,0 +1,47 @@
+\name{tspread}
+\Rdversion{1.1}
+\alias{tspread}
+\title{
+Half traded spread
+}
+
+\description{
+Function returns an xts object with the half traded spread, defined as
+
+\deqn{
+\mbox{half traded spread}_t = D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFFER}_{t})}{2}),
+}
+where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)).
+Note that the input of this function consists of the matched trades and quotes,
+ so this is were the time indication refers to (and thus not to the registered quote timestamp).
+}
+
+\usage{
+tspread(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing joined trades and quotes (e.g. using \code{\link{matchtq()}})
+}
+}
+
+\section{Details}{
+}
+
+\value{
+an xts object containing the half traded spread.
+}
+
+\references{
+Bessembinder, H. (2003). Issues in assessing trade execution costs. Journal of
+Financial Markets, 223-257.
+
+Boehmer, E. (2005). Dimensions of execution quality: Recent evidence for US
+equity markets. Journal of Financial Economics 78 (3), 553-582.
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
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