[Highfrequency-commits] r116 - pkg/highfrequency/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Nov 25 11:31:03 CET 2014
Author: kboudt
Date: 2014-11-25 11:31:03 +0100 (Tue, 25 Nov 2014)
New Revision: 116
Modified:
pkg/highfrequency/man/convert.Rd
pkg/highfrequency/man/harModel.Rd
pkg/highfrequency/man/rAccumulation.Rd
pkg/highfrequency/man/rCumSum.Rd
pkg/highfrequency/man/rMarginal.Rd
pkg/highfrequency/man/rScatterReturns.Rd
pkg/highfrequency/man/rZero.Rd
Log:
Modified: pkg/highfrequency/man/convert.Rd
===================================================================
--- pkg/highfrequency/man/convert.Rd 2014-11-25 09:35:26 UTC (rev 115)
+++ pkg/highfrequency/man/convert.Rd 2014-11-25 10:31:03 UTC (rev 116)
@@ -71,17 +71,19 @@
#The file should be named "IBM_trades.csv" and can be easily converted into xts
#and then saved in RData format by:
- convert(from=from, to=to, datasource=datasource, datadestination=datadestination, trades = T,
- quotes = T, ticker="IBM", dir = FALSE, extension = "csv", header = TRUE,
- tradecolnames = NULL, quotecolnames = NULL, format = format, onefile = TRUE )
+convert(from=from, to=to, datasource=datasource, datadestination=datadestination,
+ trades = T, quotes = T, ticker="IBM", dir = FALSE, extension = "csv",
+ header = TRUE, tradecolnames = NULL, quotecolnames = NULL, format = format,
+ onefile = TRUE )
####### ASC file from www.tickdata.com
#Suppose the datasource folder contains asc files for trades and quotes
#from "www.tickdata.com" for GLP.
#The files "GLP_quotes.asc" and "GLP_trades.asc" should be saved in datasource folder.
- 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 = "%d/%m/%Y %H:%M:%OS", onefile = TRUE );
+ 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 = "%d/%m/%Y %H:%M:%OS",
+ onefile = TRUE );
}
}
Modified: pkg/highfrequency/man/harModel.Rd
===================================================================
--- pkg/highfrequency/man/harModel.Rd 2014-11-25 09:35:26 UTC (rev 115)
+++ pkg/highfrequency/man/harModel.Rd 2014-11-25 10:31:03 UTC (rev 116)
@@ -10,8 +10,9 @@
\usage{
- harModel(data, periods = c(1, 5, 22), periodsJ = c(1,5,22), leverage=NULL, RVest = c("rCov", "rBPCov"), type = "HARRV", jumptest = "ABDJumptest", alpha = 0.05, h = 1,
- transform = NULL, ...) }
+ harModel(data, periods = c(1, 5, 22), periodsJ = c(1,5,22), leverage=NULL,
+ RVest = c("rCov", "rBPCov"), type = "HARRV", jumptest = "ABDJumptest",
+ alpha = 0.05, h = 1, transform = NULL, ...) }
\arguments{
\item{data}{ an xts-object containing the intraday (log-)returns.}
@@ -62,7 +63,8 @@
data = makeReturns(data); #Get the high-frequency return data
x = harModel(data, periods = c(1,5,10), periodsJ=c(1,5,10), RVest = c("rCov","rBPCov"),
- type="HARRVCJ",transform="sqrt"); # Estimate the HAR model of type HARRVCJ
+ type="HARRVCJ",transform="sqrt");
+ # Estimate the HAR model of type HARRVCJ
class(x);
x
@@ -73,7 +75,8 @@
DJI_RV = DJI_RV[!is.na(DJI_RV)]; #Remove NA's
DJI_RV = DJI_RV['2008'];
- x = harModel(data=DJI_RV , periods = c(1,5,22), RVest = c("rCov"), type="HARRV",h=1,transform=NULL);
+ x = harModel(data=DJI_RV , periods = c(1,5,22), RVest = c("rCov"),
+ type="HARRV",h=1,transform=NULL);
class(x);
x;
summary(x);
Modified: pkg/highfrequency/man/rAccumulation.Rd
===================================================================
--- pkg/highfrequency/man/rAccumulation.Rd 2014-11-25 09:35:26 UTC (rev 115)
+++ pkg/highfrequency/man/rAccumulation.Rd 2014-11-25 10:31:03 UTC (rev 116)
@@ -6,7 +6,8 @@
Plots the realized estimate as it accumulates over a time interval.
}
\usage{
-rAccumulation(x, period = 1, y = NULL, align.by="seconds", align.period = 1, plotit = FALSE, cts = TRUE, makeReturns = FALSE)
+rAccumulation(x, period = 1, y = NULL, align.by="seconds", align.period = 1,
+ plotit = FALSE, cts = TRUE, makeReturns = FALSE)
}
%- maybe also 'usage' for other objects documented here.
\arguments{
@@ -47,14 +48,16 @@
accum[[3]] <- rAccumulation(sbux.xts, period=30, align.by="seconds", align.period=60)
par(mfrow=c(2,1))
-plot(cumm[[1]], xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)", sub='20110701', type="p", col=16, lwd=2)
+plot(cumm[[1]], xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)",
+ sub='20110701', type="p", col=16, lwd=2)
lines(cumm[[2]], col=2, lwd=2)
lines(cumm[[3]], col=3, lwd=2)
lines(cumm[[4]], col=4, lwd=2)
-plot(accum[[1]], xlab="", ylab="Realized Accumulation", type="l",main="Starbucks (SBUX)", sub='20110701', col=2, lwd=2)
+plot(accum[[1]], xlab="", ylab="Realized Accumulation", type="l",main="Starbucks (SBUX)",
+ sub='20110701', col=2, lwd=2)
lines(accum[[2]], col=3, lwd=2)
lines(accum[[3]], col=4, lwd=2)
}
-\keyword{methods}
\ No newline at end of file
+\keyword{methods}
Modified: pkg/highfrequency/man/rCumSum.Rd
===================================================================
--- pkg/highfrequency/man/rCumSum.Rd 2014-11-25 09:35:26 UTC (rev 115)
+++ pkg/highfrequency/man/rCumSum.Rd 2014-11-25 10:31:03 UTC (rev 116)
@@ -6,7 +6,8 @@
Plots cummulative returns at a certain alignment given a return series.
}
\usage{
-rCumSum(x, period = 1, align.by="seconds",align.period = 1, plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
+rCumSum(x, period = 1, align.by="seconds",align.period = 1,
+ plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)
}
%- maybe also 'usage' for other objects documented here.
\arguments{
@@ -35,9 +36,10 @@
cumm[[2]] <- rCumSum(sbux.xts, period=10, align.by="seconds", align.period=60)
cumm[[3]] <- rCumSum(sbux.xts, period=20, align.by="seconds", align.period=60)
cumm[[4]] <- rCumSum(sbux.xts, period=30, align.by="seconds", align.period=60)
-plot(cumm[[1]], xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)", sub='20110701', type="p", col=16, lwd=2)
+plot(cumm[[1]], xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)",
+ sub='20110701', type="p", col=16, lwd=2)
lines(cumm[[2]], col=2, lwd=2)
lines(cumm[[3]], col=3, lwd=2)
lines(cumm[[4]], col=4, lwd=2)
}
-\keyword{methods}
\ No newline at end of file
+\keyword{methods}
Modified: pkg/highfrequency/man/rMarginal.Rd
===================================================================
--- pkg/highfrequency/man/rMarginal.Rd 2014-11-25 09:35:26 UTC (rev 115)
+++ pkg/highfrequency/man/rMarginal.Rd 2014-11-25 10:31:03 UTC (rev 116)
@@ -6,7 +6,8 @@
Plots the marginal contribution to the realized estimate.
}
\usage{
-rMarginal(x, y = NULL, period,align.by="seconds", align.period = 1, plotit = FALSE, cts = TRUE,makeReturns = FALSE)
+rMarginal(x, y = NULL, period,align.by="seconds", align.period = 1,
+ plotit = FALSE, cts = TRUE,makeReturns = FALSE)
}
%- maybe also 'usage' for other objects documented here.
\arguments{
@@ -35,7 +36,10 @@
\examples{
data(sbux.xts)
par(mfrow=c(2,1))
-plot(rCumSum(sbux.xts, period=10, align.by="seconds", align.period=60), xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)", sub='20110701', type="p")
-barplot(rMarginal(sbux.xts, period=10, align.by="seconds", align.period=60)$y, main="Marginal Contribution Plot")
+plot(rCumSum(sbux.xts, period=10, align.by="seconds", align.period=60),
+ xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)",
+ sub='20110701', type="p")
+barplot(rMarginal(sbux.xts, period=10, align.by="seconds", align.period=60)$y,
+ main="Marginal Contribution Plot")
}
\keyword{methods}
Modified: pkg/highfrequency/man/rScatterReturns.Rd
===================================================================
--- pkg/highfrequency/man/rScatterReturns.Rd 2014-11-25 09:35:26 UTC (rev 115)
+++ pkg/highfrequency/man/rScatterReturns.Rd 2014-11-25 10:31:03 UTC (rev 116)
@@ -6,7 +6,10 @@
Creates a scatterplot of cross returns.
}
\usage{
-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,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,...)
}
%- maybe also 'usage' for other objects documented here.
\arguments{
@@ -41,7 +44,9 @@
data(sbux.xts)
data(lltc.xts)
par(mfrow=c(2,1))
-rScatterReturns(sbux.xts,y=lltc.xts, period=1, align.period=20,ylab="LLTC",xlab="SBUX",numbers=FALSE)
-rScatterReturns(sbux.xts,y=lltc.xts, period=1, align.period=20,ylab="LLTC",xlab="SBUX",numbers=TRUE)
+rScatterReturns(sbux.xts,y=lltc.xts, period=1, align.period=20,
+ ylab="LLTC",xlab="SBUX",numbers=FALSE)
+rScatterReturns(sbux.xts,y=lltc.xts, period=1, align.period=20,
+ ylab="LLTC",xlab="SBUX",numbers=TRUE)
}
-\keyword{methods}
\ No newline at end of file
+\keyword{methods}
Modified: pkg/highfrequency/man/rZero.Rd
===================================================================
--- pkg/highfrequency/man/rZero.Rd 2014-11-25 09:35:26 UTC (rev 115)
+++ pkg/highfrequency/man/rZero.Rd 2014-11-25 10:31:03 UTC (rev 116)
@@ -5,7 +5,8 @@
Calculates the percentage of co-zero returns at a specified sampling period.
}
\usage{
-rZero(rdata, period=1, align.by="seconds", align.period = 1, cts = TRUE, makeReturns = FALSE, ...)
+rZero(rdata, period=1, align.by="seconds", align.period = 1, cts = TRUE,
+ makeReturns = FALSE, ...)
}
\arguments{
More information about the Highfrequency-commits
mailing list