[Highfrequency-commits] r33 - in pkg/highfrequency: R man

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

Author: jonathan
Date: 2012-08-14 00:21:21 +0200 (Tue, 14 Aug 2012)
New Revision: 33

Modified:
   pkg/highfrequency/R/realized.R
   pkg/highfrequency/man/convert.Rd
   pkg/highfrequency/man/heavyModel.Rd
Log:
convert function with milliseconds and documentation, also man heavymodel update

Modified: pkg/highfrequency/R/realized.R
===================================================================
--- pkg/highfrequency/R/realized.R	2012-08-13 00:52:22 UTC (rev 32)
+++ pkg/highfrequency/R/realized.R	2012-08-13 22:21:21 UTC (rev 33)
@@ -2247,7 +2247,6 @@
         taqnames   = c("DATE","EX","TIME","PRICE","SIZE","COND","CORR","G127"); 
         data = alldata[,taqnames]; 
         data = cbind(rep(ticker,dim(data)[1]),data); colnames(data)[1] = "SYMBOL"; 
-        format = "%d/%m/%Y %H:%M:%S"; #tickdata always has this format
       }
       alldata = suppressWarnings(makeXtsTrades(tdata=data,format=format)); 
     }

Modified: pkg/highfrequency/man/convert.Rd
===================================================================
--- pkg/highfrequency/man/convert.Rd	2012-08-13 00:52:22 UTC (rev 32)
+++ pkg/highfrequency/man/convert.Rd	2012-08-13 22:21:21 UTC (rev 33)
@@ -82,6 +82,6 @@
 
  convert(from=from, to=to, datasource=datasource, datadestination=datadestination, trades = T, 
             quotes = T, ticker="GLP", dir = TRUE, extension = "tickdatacom", header = TRUE, 
-            tradecolnames = NULL, quotecolnames = NULL, format = format, onefile = TRUE );  
+            tradecolnames = NULL, quotecolnames = NULL, format = "%d/%m/%Y %H:%M:%OS", onefile = TRUE );  
 }
 }

Modified: pkg/highfrequency/man/heavyModel.Rd
===================================================================
--- pkg/highfrequency/man/heavyModel.Rd	2012-08-13 00:52:22 UTC (rev 32)
+++ pkg/highfrequency/man/heavyModel.Rd	2012-08-13 22:21:21 UTC (rev 33)
@@ -13,7 +13,7 @@
 }
 
 \arguments{ 
-   \item{data}{ a (T x K) matrix containing the data, with T the number of days. For the traditional HEAVY model: K = 2, the first column contains the squared daily returns, the second column contains the realized measures.
+   \item{data}{ a (T x K) matrix containing the data, with T the number of days. For the traditional HEAVY model: K = 2, the first column contains the squared daily demeaned returns, the second column contains the realized measures.
    }
    \item{p}{ a (K x K) matrix containing the lag length for the model innovations. Position (i, j) in the matrix indicates the number of lags in equation i of the model for the innovations in data column j. For the traditional heavy model p is given by matrix( c(0,0,1,1),ncol=2 ) (default). 
    }
@@ -31,8 +31,8 @@
 unconditional estimates are taken.
    }
    \item{compconst}{ a boolean variable. In case TRUE, the omega values are estimated in
-the optimization. In case FALSE, volatility targeting is done and omega is just the
-1 minus the sum of all relevant alpha's and beta's.
+the optimization. In case FALSE, volatility targeting is done and omega is just 
+1 minus the sum of all relevant alpha's and beta's multiplied by the unconditional variance.
    }
 }