[Highfrequency-commits] r84 - pkg/highfrequency/R

Fri Aug 29 09:52:57 CEST 2014

Author: kboudt
Date: 2014-08-29 09:52:57 +0200 (Fri, 29 Aug 2014)
New Revision: 84

Removed:
   pkg/highfrequency/R/.Rhistory
Log:


Deleted: pkg/highfrequency/R/.Rhistory
===================================================================

--- pkg/highfrequency/R/.Rhistory	2014-08-29 07:52:49 UTC (rev 83)
+++ pkg/highfrequency/R/.Rhistory	2014-08-29 07:52:57 UTC (rev 84)
@@ -1,161 +0,0 @@
-library(RTAQ)
-library(highfrequency);
-highfrequency:::rSignature
-m = rZero( rdata=pdata2, period = 240, align.by = "seconds", align.period = 1, cts = TRUE, makeReturns = FALSE );
-data(sample_real5minprices);
-prices = sample_real5minprices;
-#################### !! STILL TODO Examples for all realized measures !!  ###################
-# Univariate:
-a = minRV( rdata=prices, align.by="minutes", align.period=30, makeReturns=TRUE);
-b = medRV( rdata=prices, align.by="minutes", align.period=30, makeReturns=TRUE);
-a/b;
-prices = abs(cbind(prices,rnorm(length(prices))*prices));
-head(prices);
-pdata = list(prices[,1], rnorm(length(prices[,2]))*prices[,2]);
-pdata2 = list(prices['2005-03-04'][,1], abs(rnorm(length(prices['2005-03-04']))*prices['2005-03-04'])[,2]);
-m = rZero( rdata=pdata2, period = 240, align.by = "seconds", align.period = 1, cts = TRUE, makeReturns = FALSE );
-m
-m = rZero( rdata=pdata, period = 240, align.by = "seconds", align.period = 1, cts = TRUE, makeReturns = FALSE );
-m
-?harModel
-library(highfrequency)
-?highfrequency
-library(highfrequency)
-?highfrequency
-?highfrequency
-library(highfrequency)
-data(sample_real5minprices);
-prices = sample_real5minprices;
-setwd("/Users/jonathancornelissen/Dropbox/gsoc-rtaq/highfrequency/highfrequency/pkg/highfrequency/R");
-source("realized.R");
-data(sample_real5minprices);
-prices = sample_real5minprices;
-prices = abs(cbind(prices,rnorm(length(prices))*prices));
-head(prices);
-pdata = list(prices[,1], rnorm(length(prices[,2]))*prices[,2]);
-pdata2 = list(prices['2005-03-04'][,1], abs(rnorm(length(prices['2005-03-04']))*prices['2005-03-04'])[,2]);
-n = rAccumulation(x = pdata[[1]], period = 1, y = NULL, align.period = 1, plotit = FALSE, cts = TRUE, makeReturns = FALSE);
-n
-rMarginal
-rMarginal(x  = pdata[[1]], y = NULL, period=1, align.by = "seconds", align.period = 1,
-plotit = FALSE, cts = TRUE, makeReturns = FALSE)
-args(rCumSum)
-rCumSum( x = pdata[[1]], period = 1, align.by = "seconds", align.period = 1,
-plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
-rCumSum( x = pdata2[[1]], period = 1, align.by = "seconds", align.period = 1,
-plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
-rCumSum( x = pdata2, period = 1, align.by = "seconds", align.period = 1,
-plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
-pdata2
-rCumSum( x = pdata2[[1]], period = 1, align.by = "seconds", align.period = 1,
-plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
-rCumSum( x = pdata2[[1]], y=NULL, period = 1, align.by = "seconds", align.period = 1,
-plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
-rCumSum( x = pdata2[[1]],  period = 1, align.by = "seconds", align.period = 1,
-plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
-traceback()
-source("realized.R");
-rCumSum( x = pdata2[[1]],  period = 1, align.by = "seconds", align.period = 1,
-plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
-rCumSum( x = pdata[[1]],  period = 1, align.by = "seconds", align.period = 1,
-plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
-args(rScatterReturns)
-rScatterReturns(x, y, period, align.by = "seconds", align.period = 1,
-numbers = FALSE, xlim = NULL, ylim = NULL, plotit = TRUE,
-pch = NULL, cts = TRUE, makeReturns = FALSE, scale.size = 0,
-col.change = FALSE, ...)
-rScatterReturns
-rScatterReturns(x, y, period, align.by = "seconds", align.period = 1,
-numbers = FALSE, xlim = NULL, ylim = NULL, plotit = TRUE,
-pch = NULL, cts = TRUE, makeReturns = FALSE, scale.size = 0,
-col.change = FALSE)
-rScatterReturns(x= pdata[[1]], y= pdata[[2]], period, align.by = "seconds", align.period = 1,
-numbers = FALSE, xlim = NULL, ylim = NULL, plotit = TRUE,
-pch = NULL, cts = TRUE, makeReturns = FALSE, scale.size = 0,
-col.change = FALSE)
-str(pdata[[1]])
-str(pdata2[[1]])
-rScatterReturns(x= pdata2[[1]], y= pdata2[[2]], period, align.by = "seconds", align.period = 1,
-numbers = FALSE, xlim = NULL, ylim = NULL, plotit = TRUE,
-pch = NULL, cts = TRUE, makeReturns = FALSE, scale.size = 0,
-col.change = FALSE)
-rScatterReturns(x= pdata2[[1]], y= pdata2[[2]], period=1, align.by = "seconds", align.period = 1,
-numbers = FALSE, xlim = NULL, ylim = NULL, plotit = TRUE,
-pch = NULL, cts = TRUE, makeReturns = FALSE, scale.size = 0,
-col.change = FALSE)
-rScatterReturns(x= pdata2[[1]], y= pdata2[[2]], period=1, align.by = "seconds", align.period = 1,
-numbers = FALSE, xlim = NULL, ylim = NULL, plotit = TRUE,
-pch = NULL, cts = TRUE, makeReturns = FALSE, scale.size = 0,
-col.change = FALSE)
-args(rSignature)
-rSignature(range, x= pdata2[[1]], y = NULL, type = "naive", cor = FALSE, rvargs = list(),
-align.by = "seconds", align.period = 1, xscale = 1, plotit = FALSE,
-cts = TRUE, makeReturns = FALSE, iteration.funct = NULL,
-iterations = NULL, lags = NULL)
-?rSignature
-?rSignature
-library(highfrequency)
-source("realized.R");
-?rSignature
-rSignature
-library(highfrequency)
-?rSignature
-source("realized.R");
-?rSignature
-rSignature(range = (1:60)*10+1, x= pdata2[[1]], y = NULL, type = "naive", cor = FALSE, rvargs = list(),
-align.by = "seconds", align.period = 1, xscale = 1, plotit = FALSE,
-cts = TRUE, makeReturns = FALSE, iteration.funct = NULL,
-iterations = NULL, lags = NULL)
-rSignature(range = (1:60), x= pdata2[[1]], y = NULL, type = "naive", cor = FALSE, rvargs = list(),
-align.by = "seconds", align.period = 1, xscale = 1, plotit = FALSE,
-cts = TRUE, makeReturns = FALSE, iteration.funct = NULL,
-iterations = NULL, lags = NULL)
-traceback
-traceback()
-library(realized)
-rSignature(range = (1:60), x= pdata2[[1]], y = NULL, type = "naive", cor = FALSE, rvargs = list(),
-align.by = "seconds", align.period = 1, xscale = 1, plotit = FALSE,
-cts = TRUE, makeReturns = FALSE, iteration.funct = NULL,
-iterations = NULL, lags = NULL)
-.realized.variance <- function(x, y=NULL, type="naive", period = 1, align.by="seconds", align.period = 1, cor = FALSE, rvargs = list(), cts=TRUE,makeReturns=FALSE)
-{
-if(cor)
-{
-rvx <- do.call(paste("rv.", type, sep=""), c(rvargs,list(x=x, period=period, align.by=align.by, align.period=align.period, cts=cts, makeReturns=makeReturns)))
-rvy <- do.call(paste("rv.", type, sep=""), c(rvargs,list(x=y, period=period, align.by=align.by, align.period=align.period, cts=cts, makeReturns=makeReturns)))
-rcxy <- do.call(paste("rc.", type, sep=""),c(rvargs,list(x=x, y=y, period=period, align.by=align.by, align.period=align.period, cts=cts, makeReturns=makeReturns)))
-rcxy/(sqrt(rvx)*sqrt(rvy))
-}
-else
-{
-funct <- paste(ifelse(is.null(y), "rv.", "rc."), type, sep="")
-do.call(funct, c(rvargs, list(x=x, y=y, period=period, align.by=align.by, align.period=align.period, cts=cts, makeReturns=makeReturns)))
-}
-}
-rSignature(range = (1:60), x= pdata2[[1]], y = NULL, type = "naive", cor = FALSE, rvargs = list(),
-align.by = "seconds", align.period = 1, xscale = 1, plotit = FALSE,
-cts = TRUE, makeReturns = FALSE, iteration.funct = NULL,
-iterations = NULL, lags = NULL)
-library(highfrequency)
-args(rCumSum)
-args(rZero)
-rZero
-data(sbux.xts)
-data(lltc.xts)
-rZero( rdata = list(sbux.xts, lltc.xts) , period = 60, align.by ="seconds", align.period=1)
-data(sbux.xts)
-data(lltc.xts)
-rZero( rdata = list(sbux.xts, lltc.xts) , period = 60, align.by ="seconds", align.period=110)
-library("RTAQ")
-?convert
-?RTAQ
-libary("RTAQ")
-library("RTAQ")
-args(rCov)
-library("realized")
-args(rv.naive)
-args(rv.naieve)
-?realized
-library("realized")
-convert()
-?RTAQ

