Decompose_Volume: STL Decompose Volume Data.

In ZhenWei10/Sherry-Chapter1:

Description

A function that decompose volume data automatically.

Usage

Decompose_Volume(Return_data, lag_days = 10, long_memory_tests = TRUE,
  sec = 1800, peak_param = 0.995, sub_title = "", acf = TRUE,
  mixreg = FALSE, splines = FALSE)

Arguments

lag_days	The maximum lagging days of acf plot, default = 5.
long_memory_tests	Wheather perform long memory tests or not, default = TRUE.
sec	Seconds between intervals, default = 1800.
peak_param	The threashold for peak values quantiles, default = 0.995.
sub_title	The subtitle of the figures, default = "".
acf	Wheather to save acf plots or not, default = TRUE.
mixreg	Wheather to perform analysis of mixture regression or not, default = FALSE.
splines	Should the mixture regression being linear or spline expanded, default = FALSE.
All_dta_dir	The directory for the CSV file containing the raw volume data.

Details

This function will generate volume data automatically, and save the plots for transformation and STL Decomposition.

Decomposition for both intra day periodicity and intra week periodicity will be applied.

Value

figures and a table will be saved under a folder.

Examples

## Not run: 
Return_data <- read.dta("MSFT 1800 Sec Summary Return Data.dta")
SherryChapter1::Decompose_Volume(Return_data)

## End(Not run)

ZhenWei10/Sherry-Chapter1 documentation built on Oct. 31, 2019, 1:48 a.m.