Model_Matrix_generation: A function that generate model matrix.

In ZhenWei10/Sherry-Chapter1:

Description

A function that generate model matrix from the return, volume, and the trade number data.

Usage

Model_Matrix_generation(All_dta_dir, RV_raw_dta_dir, RV_C_dta_dir,
  RV_D_dta_dir, lag_days = 10, long_memory_tests = TRUE, acf = TRUE,
  sec = 1800, peak_param = c(0.995, 0.985), sub_title = "",
  save_dir = "unnamed", ...)

Arguments

All_dta_dir	The directory for the CSV file containing the raw volume data.
RV_raw_dta_dir	The directory for the dta file containing the realized variance without periodicity standardization.
RV_C_dta_dir	The directory for the dta file containing the realized variance with constant periodicity standardization.
RV_D_dta_dir	The directory for the dta file containing the realized variance with daily periodicity standardization.
lag_days	The maximum lagging days of acf plot, default = 5.
long_memory_tests	Wheather perform long memory tests or not, default = TRUE
acf	Wheather to save acf plots 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 = "".
save_dir	The directory to save the model matrix and the figures.
All_dta_dir	The directory for the CSV file containing the raw volume data.

Details

This function will automatically generate a comprehensive model matrix involving return, volume, and trade number data.

Additional predictors include return of the previous 12 time points and the dummy variable for friday.

Value

3 model matrixes will be saved under the folder named by save_dir.

Examples

## Not run: 

SherryChapter1::Model_Matrix_generation(
All_dta_dir = "MSFT 1800 Sec Summary Return Data.dta",
RV_raw_dta_dir = "MSFT 1800 Sec my daily.dta",
RV_C_dta_dir = "MSFTC 1800 Sec my daily.dta",
RV_D_dta_dir = "MSFTD 1800 Sec my daily.dta",
sec = 1800,
sub_title = "MSFT",
save_dir = "MSFT_1800",
peak_param = c(0.995,0.985)
)


## End(Not run)

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