[Highfrequency-commits] r130 - in pkg/highfrequency: . R
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Jun 1 01:36:08 CEST 2015
Author: payseur
Date: 2015-06-01 01:36:07 +0200 (Mon, 01 Jun 2015)
New Revision: 130
Modified:
pkg/highfrequency/DESCRIPTION
pkg/highfrequency/R/highfrequencyGSOC.R
pkg/highfrequency/R/realized.R
Log:
Changed the explicit call of plot.zoo to plot.xts.
Changed require... to requireNamespace.
Modified: pkg/highfrequency/DESCRIPTION
===================================================================
--- pkg/highfrequency/DESCRIPTION 2015-05-21 20:08:20 UTC (rev 129)
+++ pkg/highfrequency/DESCRIPTION 2015-05-31 23:36:07 UTC (rev 130)
@@ -1,13 +1,11 @@
-Package: highfrequency
-Version: 0.4
-Date: 2014-11-25
-Title: Tools For Highfrequency Data Analysis
-Author: Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
-Maintainer: Kris Boudt
- <Kris.Boudt at econ.kuleuven.be>
-Description: Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
-License: GPL (>= 2)
-Depends: R (>= 2.12.0), xts, zoo
-Suggests: robustbase, cubature, mvtnorm, chron, timeDate,
- quantmod, MASS, sandwich, numDeriv, FKF, BMS, rugarch
-LazyLoad: yes
+Package: highfrequency
+Version: 0.41
+Date: 2014-05-31
+Title: Tools For Highfrequency Data Analysis
+Author: Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
+Maintainer: Kris Boudt <Kris.Boudt at econ.kuleuven.be>
+Description: Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
+License: GPL (>= 2)
+Depends: R (>= 2.12.0), xts, zoo
+Suggests: robustbase, cubature, mvtnorm, chron, timeDate, quantmod, MASS, sandwich, numDeriv, FKF, BMS, rugarch
+LazyLoad: yes
Modified: pkg/highfrequency/R/highfrequencyGSOC.R
===================================================================
--- pkg/highfrequency/R/highfrequencyGSOC.R 2015-05-21 20:08:20 UTC (rev 129)
+++ pkg/highfrequency/R/highfrequencyGSOC.R 2015-05-31 23:36:07 UTC (rev 130)
@@ -1429,7 +1429,7 @@
.SEheavyModel = function( paramsvector, data, p, q, backcast, LB, UB, compconst=FALSE, ...)
{
- require(numDeriv)
+ requireNamespace('numDeriv')
K = ncol(data); #Number of series to model
# Set lower and upper-bound if not specified:
@@ -1539,7 +1539,7 @@
}
- require(sandwich);
+ requireNamespace('sandwich');
fm = lm(m ~ 0);
It = try(sandwich::vcovHAC(fm))
@@ -1556,7 +1556,7 @@
invJ = try(solve(Jt))
if( class(invJ) == "try-error"){
- require("MASS")
+ requireNamespace("MASS")
print("-1*Hessian is not invertible - generalized inverse is used")
invJ = MASS::ginv(Jt)
}
Modified: pkg/highfrequency/R/realized.R
===================================================================
--- pkg/highfrequency/R/realized.R 2015-05-21 20:08:20 UTC (rev 129)
+++ pkg/highfrequency/R/realized.R 2015-05-31 23:36:07 UTC (rev 130)
@@ -83,7 +83,7 @@
#Realized Outlyingness Weighted Variance (ROWVar):
univariateoutlyingness = function(rdata,...){
- require('robustbase');
+ requireNamespace('robustbase');
if(hasArg(data)){ rdata = data }
#computes outlyingness of each obs compared to row location and scale
location = 0;
@@ -97,9 +97,9 @@
ROWVar = function(rdata, seasadjR = NULL, wfunction = "HR" , alphaMCD = 0.75, alpha = 0.001,...)
{
- require('robustbase');
+ requireNamespace('robustbase');
if(hasArg(data)){ rdata = data }
- require(robustbase)
+
if (is.null(seasadjR)) {
seasadjR = rdata;
}
@@ -350,7 +350,7 @@
}
cfactor_RTSCV = function(eta=9){
- require('cubature'); require('mvtnorm')
+ requireNamespace('cubature'); requireNamespace('mvtnorm')
# rho = 1
c1 = pchisq(eta,df=1)/pchisq(eta,df=3)
#
@@ -1188,7 +1188,7 @@
if( n > 1 ){
rdatacheck(rdata,multi=TRUE);
- require(robustbase)
+ requireNamespace('robustbase')
rdata = as.matrix(rdata); seasadjR = as.matrix(seasadjR);
intraT = nrow(rdata)
N = ncol(rdata)
@@ -2018,7 +2018,10 @@
g_range[1] = 0.95*g_range[1]; g_range[2]= 1.05 * g_range[2];
#ind = seq(1,length(fitted),length.out=5);
title = paste("Observed and forecasted RV based on HAR Model:",type);
- plot.zoo(observed,col="red",lwd=2,main=title, ylim=g_range,xlab="Time",ylab="Realized Volatility");
+ #plot.xts(observed,col="red",lwd=2,main=title, ylim=g_range,xlab="Time",ylab="Realized Volatility");
+
+ # There is an error in plot.xts that prevents colors from being passed.
+ plot.xts(observed,main=title, ylim=g_range,xlab="Time",ylab="Realized Volatility");
# axis(1,time(b)[ind], format(time(b)[ind],), las=2, cex.axis=0.8); not used anymore
# axis(2);
lines(fitted,col="blue",lwd=2);
@@ -2229,7 +2232,7 @@
convert = function(from, to, datasource, datadestination, trades = TRUE,
quotes = TRUE, ticker, dir = FALSE, extension = "txt", header = FALSE,
tradecolnames = NULL, quotecolnames = NULL, format = "%Y%m%d %H:%M:%S", onefile=FALSE){
- require("timeDate")
+ requireNamespace("timeDate")
############# 1.A the data is in the "RTAQ folder" sturcture ##############
if( onefile == FALSE ){
@@ -2339,7 +2342,7 @@
uniTAQload = function(ticker,from,to,trades=TRUE,quotes=FALSE,datasource=NULL,variables=NULL){
##Function to load the taq data from a certain stock
#From&to (both included) should be in the format "%Y-%m-%d" e.g."2008-11-30"
- require("timeDate")
+ requireNamespace("timeDate")
dates = timeDate::timeSequence(as.character(from),as.character(to), format = "%Y-%m-%d", FinCenter = "GMT")
dates = dates[timeDate::isBizday(dates, holidays = timeDate::holidayNYSE(1960:2040))];
@@ -2634,7 +2637,7 @@
###### Liquidity functions formerly in in RTAQ ######
.check_data = function(data){
# FUNCTION sets column names according to RTAQ format using quantmod conventions, such that all the other functions find the correct information.
- require('quantmod');
+ requireNamespace('quantmod');
# First step: assign the xts attributes:
data = set.AllColumns(data);
@@ -3100,7 +3103,7 @@
tradesCleanup = function(from,to,datasource,datadestination,ticker,exchanges,tdataraw=NULL,report=TRUE,selection="median",...){
- require('timeDate')
+ requireNamespace('timeDate')
nresult = rep(0, 5)
if(!is.list(exchanges)){ exchanges = as.list(exchanges)}
if (is.null(tdataraw)) {
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