[Blotter-commits] r304 - pkg/RTAQ/man

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

Author: jonathan
Date: 2010-03-26 11:29:05 +0100 (Fri, 26 Mar 2010)
New Revision: 304

Added:
   pkg/RTAQ/man/sample_5minprices.Rd
   pkg/RTAQ/man/sample_5minprices_jumps.Rd
Modified:
   pkg/RTAQ/man/RV.Rd
Log:
sample data documentation

Modified: pkg/RTAQ/man/RV.Rd
===================================================================
--- pkg/RTAQ/man/RV.Rd	2010-03-25 23:37:46 UTC (rev 303)
+++ pkg/RTAQ/man/RV.Rd	2010-03-26 10:29:05 UTC (rev 304)
@@ -37,4 +37,5 @@
 }
 \author{ Jonathan Cornelissen and Kris Boudt}
 
-%R CMD Rdconv --type=html --output=RV.htm RV.Rd
\ No newline at end of file
+%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/sample_5minprices.Rd
===================================================================
--- pkg/RTAQ/man/sample_5minprices.Rd	                        (rev 0)
+++ pkg/RTAQ/man/sample_5minprices.Rd	2010-03-26 10:29:05 UTC (rev 304)
@@ -0,0 +1,26 @@
+\name{sample_5minprices}
+\docType{data}
+\alias{sample_5minprices}
+\title{Ten artificial time series for the NYSE trading days during January 2010}
+\description{
+Ten simulated price series for the 19 trading days in January 2010:
+
+Ten hypothetical price series were simulated 
+according to the factor diffusion process discussed in Barndorff-Nielsen et al.
+We assume that prices are only observed when a transaction takes place. 
+The intensity of transactions follows a Poisson process and consequently,
+the inter transaction times are exponentially distributed. 
+Therefore, we generated the inter transaction times of the price series 
+by an independent exponential distributions with lambda = 0.1,
+which we keep constant over time. This means we expect one transaction every ten seconds.
+In a final step, the time series were aggregated to the 5-minute frequency by previous tick aggregation.
+}
+\usage{data("sample_5minprices")}
+\format{xts object}
+\source{}
+\references{
+Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde and N. Shephard (2009). 
+Multivariate realised kernels: consistent positive semi-definite
+estimators of the covariation of equity prices with noise and non-synchronous
+trading. Working paper.}
+\keyword{datasets}
\ No newline at end of file

Added: pkg/RTAQ/man/sample_5minprices_jumps.Rd
===================================================================
--- pkg/RTAQ/man/sample_5minprices_jumps.Rd	                        (rev 0)
+++ pkg/RTAQ/man/sample_5minprices_jumps.Rd	2010-03-26 10:29:05 UTC (rev 304)
@@ -0,0 +1,32 @@
+\name{sample_5minprices_jumps}
+\docType{data}
+\alias{sample_5minprices_jumps}
+\title{Ten artificial time series (including jumps) for the NYSE trading days during January 2010}
+\description{
+Ten simulated price series for the 19 trading days in January 2010:
+
+Ten hypothetical price series were simulated 
+according to the factor diffusion process discussed in Barndorff-Nielsen et al.
+On top of this process we added a jump process, 
+with jump occurrences governed by the Poisson process with 1 expected jump per day and
+jump magnitude modelled as in Boudt et al. (2008). We assume that prices are only observed when a transaction takes place. 
+The intensity of transactions follows a Poisson process and consequently,
+the inter transaction times are exponentially distributed. 
+Therefore, we generated the inter transaction times of the price series 
+by an independent exponential distributions with lambda = 0.1,
+which we keep constant over time. This means we expect one transaction every ten seconds.
+In a final step, the time series were aggregated to the 5-minute frequency by previous tick aggregation.
+}
+\usage{data("sample_5minprices_jumps")}
+\format{xts object}
+\source{}
+\references{
+Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde and N. Shephard (2009). 
+Multivariate realised kernels: consistent positive semi-definite
+estimators of the covariation of equity prices with noise and non-synchronous
+trading. Working paper.
+
+Boudt, K., C. Croux, and S. Laurent (2008). Outlyingness weighted quadratic
+covariation. Mimeo.
+}
+\keyword{datasets}
\ No newline at end of file