[Blotter-commits] r244 - pkg/RTAQ/R

[noreply at r-forge.r-project.org]

Author: jonathan
Date: 2010-02-12 16:49:35 +0100 (Fri, 12 Feb 2010)
New Revision: 244

Modified:
   pkg/RTAQ/R/manipulation.R
   pkg/RTAQ/R/volatility.R
Log:
taqload, rowcov update

Modified: pkg/RTAQ/R/manipulation.R
===================================================================
--- pkg/RTAQ/R/manipulation.R	2010-02-11 13:18:24 UTC (rev 243)
+++ pkg/RTAQ/R/manipulation.R	2010-02-12 15:49:35 UTC (rev 244)
@@ -1,11 +1,13 @@
 #MANIPULATION FUNCTIONS:
 
-TAQload = function(ticker,from,to,trades=TRUE,quotes=FALSE,datasource="V:\\Jobstudent\\TAQdata"){
+TAQload = function(ticker,from,to,trades=TRUE,quotes=FALSE,datasource=NULL){
 ##Function to load the taq data from a certain stock 
 #From&to (both included) should be in the format "%Y-%m-%d" e.g."2008-11-30"
-  dates = timeSequence(from,to, format = "%Y-%m-%d", FinCenter = "GMT")
+  dates = timeSequence(as.character(from),as.character(to), format = "%Y-%m-%d", FinCenter = "GMT")
   dates = dates[isBizday(dates, holidays = holidayNYSE(2004:2010))];
 
+  if( is.null(datasource)){print("Please provide the argument 'datasource' to indicate in which folder your data is stored")};
+
   if(trades){
   for(i in 1:length(dates)){
   datasourcex = paste(datasource,"\\",dates[i],sep="");

Modified: pkg/RTAQ/R/volatility.R
===================================================================
--- pkg/RTAQ/R/volatility.R	2010-02-11 13:18:24 UTC (rev 243)
+++ pkg/RTAQ/R/volatility.R	2010-02-12 15:49:35 UTC (rev 244)
@@ -111,11 +111,12 @@
 }
 
 
-ROWCov = function( R , seasadjR=R , alphaMCD = 0.75 )
+ROWCov = function( R , seasadjR=NULL , alphaMCD = 0.75, alpha = 0.05 )
 {
-   require(robustbase)
+   require(robustbase);
    # Function that computes the ROWQCov matrix, assumption of normality
    # R is a intraT*N matrix holding in column i de intraT returns of asset i
+   if( is.null( seasadjR) ){ seasadjR = R };
    intraT = nrow(R); N = ncol(R)
    perczeroes = apply( seasadjR , 2, countzeroes )/intraT;
    select = c(1:N)[perczeroes<0.5] 
@@ -127,12 +128,12 @@
    }else{
           print( c( "MCD cannot be calculated" ) )
    }
-   alpha = 0.05; k = qchisq(p=1-alpha,df=N) ; halfk = sqrt(k)
+   k = qchisq(p=1-alpha,df=N) ;
    outlierindic = outlyingness>k;
    weights = rep(1,intraT);  
    weights[outlierindic] =  k/outlyingness[outlierindic]; 
    wR = sqrt(weights)*R;
-   return( conhuber(di=N)*t(wR)%*%wR )
+   return( ( conhuber(di = N,alpha=alpha) * t(wR) %*% wR)/mean(weights) )
 }
 
 #Realized BiPower Covariation (RBPCov)