[Blotter-commits] r322 - pkg/RTAQ/man

Wed Apr 7 19:21:19 CEST 2010

Author: jonathan
Date: 2010-04-07 19:21:18 +0200 (Wed, 07 Apr 2010)
New Revision: 322

Modified:
   pkg/RTAQ/man/RTAQ-package.Rd
   pkg/RTAQ/man/RV.Rd
   pkg/RTAQ/man/TAQload.Rd
   pkg/RTAQ/man/autoselectexchangeq.Rd
   pkg/RTAQ/man/quotescleanup.Rd
   pkg/RTAQ/man/rmoutliers.Rd
   pkg/RTAQ/man/rmtradeoutliers.Rd
   pkg/RTAQ/man/tradescleanup.Rd
   pkg/RTAQ/man/tradescleanup_finalop.Rd
Log:
correction help files (e.g. correct reference for cleaning procedures)

Modified: pkg/RTAQ/man/RTAQ-package.Rd
===================================================================

--- pkg/RTAQ/man/RTAQ-package.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/RTAQ-package.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -3,41 +3,35 @@
 \alias{RTAQ}
 \docType{package}
 \title{
-What the package does (short line)
-~~ package title ~~
-}
+RTAQ: Tools for the analysis of trades and quotes in R}
+
 \description{
-More about what it does (maybe more than one line)
-~~ A concise (1-5 lines) description of the package ~~
-}
+The Trades and Quotes data of the New York Stock Exchange is a popular input for the implementation of intraday trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among others. This package contains a collection of R functions to carefully clean and match the trades and quotes data, calculate ex post liquidity and volatility measures and detect price jumps in the data.}
+
 \details{
 \tabular{ll}{
 Package: \tab RTAQ\cr
 Type: \tab Package\cr
-Version: \tab 1.0\cr
-Date: \tab 2010-01-13\cr
-License: \tab What license is it under?\cr
-LazyLoad: \tab yes\cr
+Version: \tab 0.1\cr
+Date: \tab 2010-04-10 \cr
+License: \tab GPL \cr
+LazyLoad: \tab yes \cr
 }
-~~ An overview of how to use the package, including the most important ~~
-~~ functions ~~
 }
 \author{
-Who wrote it
+Kris Boudt, Jonathan Cornelissen
 
-Maintainer: Who to complain to <yourfault at somewhere.net>
-~~ The author and/or maintainer of the package ~~
+Maintainer: Jonathan Cornelissen <Jonathan.cornelissen at econ.kuleuven.be>
 }
 \references{
-~~ Literature or other references for background information ~~
+%~~ Literature or other references for background information ~~
 }
-~~ Optionally other standard keywords, one per line, from file KEYWORDS in ~~
-~~ the R documentation directory ~~
-\keyword{ package }
+
+\keyword{ package, trades, quotes, NYSE, high-frequency, volatility, liquidity }
 \seealso{
-~~ Optional links to other man pages, e.g. ~~
-~~ \code{\link[<pkg>:<pkg>-package]{<pkg>}} ~~
+%~~ Optional links to other man pages, e.g. ~~
+%~~ \code{\link[<pkg>:<pkg>-package]{<pkg>}} ~~
 }
 \examples{
-~~ simple examples of the most important functions ~~
+%~~ simple examples of the most important functions ~~
 }

Modified: pkg/RTAQ/man/RV.Rd
===================================================================
--- pkg/RTAQ/man/RV.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/RV.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -11,12 +11,6 @@
 Then the Realized Variance is given by
 the sum of the squared intraday returns
 \deqn{\mbox{RV}_{t}= \sum_{i=1}^{M}r_{t,i}^{2}}
-
-\deqn{\sigma=variance(R)}{sigma=var(R)}
-
-\deqn{ES=-\bar{R} + \sqrt{\sigma} \cdot \frac{1}{c}\phi(z_{c}) }{VaR= -mean(R) + sqrt(sigma)*dnorm(z_c)/c}
-
-
 }
 
 \usage{

Modified: pkg/RTAQ/man/TAQload.Rd
===================================================================
--- pkg/RTAQ/man/TAQload.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/TAQload.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -23,11 +23,11 @@
 \arguments{
 \item{tickers}{ the ticker(s) to be loaded.
 It is recommended that you use only 1 ticker as input in case of non-synchronic observations. For synchronic data a vector of tickers can be used.}
-\item{from}{ first day to load e.g. "2008-01-30"}
-\item{to}{ last day to load e.g. "2008-01-30"}
-\item{trades}{ boolean, determines whether trades are extracted}
-\item{quotes}{ boolean, determines whether quotes are extracted}
-\item{datasource}{ path to folder in which the files are contained}
+\item{from}{ first day to load e.g. "2008-01-30".}
+\item{to}{ last day to load e.g. "2008-01-30".}
+\item{trades}{ boolean, determines whether trades are extracted.}
+\item{quotes}{ boolean, determines whether quotes are extracted.}
+\item{datasource}{ path to folder in which the files are contained.}
 \item{variables}{ a character (or character vector) containing the name(s) of the variable(s) that should be loaded, e.g. c("SYMBOL","PRICE"). By default all data is loaded.}
 }
 

Modified: pkg/RTAQ/man/autoselectexchangeq.Rd
===================================================================
--- pkg/RTAQ/man/autoselectexchangeq.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/autoselectexchangeq.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -7,7 +7,7 @@
 \description{
 Function returns an xts object containing only observations 
 of the exchange with highest
-value for "BIDSIZE" "OFFERSIZE", i.e. the highest volume.
+value for the sum of "BIDSIZE" and "OFFERSIZE", i.e. the highest volume.
 }
 
 \usage{
@@ -16,8 +16,8 @@
 
 \arguments{
   \item{qdata}{ an xts object containing the time series data. 
-The object should have at least a column "EX", indicating the exchange symbol and
-columns "BIDSIZE" and "OFFERSIZE", indicating the volume 
+The object should have at least a column "EX", containing the exchange symbols and
+columns "BIDSIZE" and "OFFERSIZE", containing the volume 
 available at the bid and ask respectively. The chosen exchange is printed on the console.
 The possible exchanges are:
 \itemize{

Modified: pkg/RTAQ/man/quotescleanup.Rd
===================================================================
--- pkg/RTAQ/man/quotescleanup.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/quotescleanup.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -50,10 +50,8 @@
 This procedure is performed for each stock in "ticker".}
 
 \references{
-Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2009). 
-Multivariate realised kernels: consistent positive semi-denite
-estimators of the covariation of equity prices with noise and non-synchronous trading.
-working paper.
-}
+Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2010).
+Realized kernels in practice: Trades and quotes. Econometrics Journal,
+forthcoming.}
 
 \author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Modified: pkg/RTAQ/man/rmoutliers.Rd
===================================================================
--- pkg/RTAQ/man/rmoutliers.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/rmoutliers.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -13,14 +13,13 @@
 median absolute deviations from the value closest to the midquote of
 these three options:
 \enumerate{
-\item Rolling centered median (excluding the observation under consid-
-eration)
+\item Rolling centered median (excluding the observation under consideration)
 \item Rolling median of the following "window" observations
 \item Rolling median of the previous "window" observations
 }
 
 The advantage of this procedure compared to the "standard" proposed
-by Barndorff-Nielsen et al. (2009) is that it will not incorrectly remove
+by Barndorff-Nielsen et al. (2010) is that it will not incorrectly remove
 large price jumps. Therefore this procedure has been set as the default
 for removing outliers.
 }
@@ -40,10 +39,8 @@
 \value{xts object}
 
 \references{
-Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2009). 
-Multivariate realised kernels: consistent positive semi-denite
-estimators of the covariation of equity prices with noise and non-synchronous trading.
-working paper.
-}
+Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2010).
+Realized kernels in practice: Trades and quotes. Econometrics Journal,
+forthcoming.}
 
 \author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Modified: pkg/RTAQ/man/rmtradeoutliers.Rd
===================================================================
--- pkg/RTAQ/man/rmtradeoutliers.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/rmtradeoutliers.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -14,9 +14,9 @@
 
 \arguments{
   \item{tdata}{ an xts object containing the time series data, with 
-at least the column "PRICE" indicating the transaction price.}
+at least the column "PRICE", containing the transaction price.}
   \item{qdata}{ an xts object containing the time series data,
-with at least the columns "BID" and "OFFER" indicating the bid and 
+with at least the columns "BID" and "OFFER", containing the bid and 
 ask prices.
 }
 }

Modified: pkg/RTAQ/man/tradescleanup.Rd
===================================================================
--- pkg/RTAQ/man/tradescleanup.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/tradescleanup.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -53,10 +53,8 @@
 This procedure is performed for each stock in "ticker".}
 
 \references{
-Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2009). 
-Multivariate realised kernels: consistent positive semi-denite
-estimators of the covariation of equity prices with noise and non-synchronous trading.
-working paper.
-}
+Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2010).
+Realized kernels in practice: Trades and quotes. Econometrics Journal,
+forthcoming.}
 
 \author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Modified: pkg/RTAQ/man/tradescleanup_finalop.Rd
===================================================================
--- pkg/RTAQ/man/tradescleanup_finalop.Rd	2010-04-05 16:32:34 UTC (rev 321)
+++ pkg/RTAQ/man/tradescleanup_finalop.Rd	2010-04-07 17:21:18 UTC (rev 322)
@@ -31,10 +31,8 @@
 This procedure is performed for each stock in "ticker".}
 
 \references{
-Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2009). 
-Multivariate realised kernels: consistent positive semi-denite
-estimators of the covariation of equity prices with noise and non-synchronous trading.
-working paper.
-}
+Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2010).
+Realized kernels in practice: Trades and quotes. Econometrics Journal,
+forthcoming.}
 
 \author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

