estimator_create: Creates new estimator

In PortfolioEffectEstim: High Frequency Price Estimators by PortfolioEffect

Description

Creates new empty estimator object.

Usage

estimator_create(asset, fromTime, toTime, priceData)

Arguments

asset	Unique identifier of the instrument
fromTime	Start of market data interval in "yyyy-MM-dd hh:mm:ss" format when internal market data is used. Offset from last available date/time by N days is denoted as "t-N" (e.g. "t-7" denotes offset by 7 days).
toTime	End of market data interval in "yyyy-MM-dd hh:mm:ss" format when internal market data is used. Offset from last available date/time by N days is denoted as "t-N" (e.g. "t-7" denotes offset by 7 days).
priceData	Vector of (time, price) observations for asset when external market data is used.

Value

estimator object

Author(s)

Kostin Andrey <[e-mail]>

See Also

estimator_settings

Examples

## Not run: 
data(goog.data) 
estimator=estimator_create(priceData=goog.data)
estimator_settings(estimator,resultsSamplingInterval='60s')
util_plot2d(variance_rv(estimator),title="RV")


estimator=estimator_create(asset='AAPL',fromTime="2014-09-01 09:00:00", 
toTime="2014-09-14 16:00:00")
estimator_settings(estimator,resultsSamplingInterval='60s')
util_plot2d(variance_tsrv(estimator,K=2),title="TSRV")

estimator=estimator_create(asset='GOOG',fromTime="t-2", toTime="t")
estimator_settings(estimator,resultsSamplingInterval='60s')
util_plot2d(variance_mrv(estimator),title="MRV")

## End(Not run)

PortfolioEffectEstim documentation built on May 2, 2019, 8:50 a.m.