Sherry_project1: A one step function to complete project1 of Sherry.

In ZhenWei10/Sherry-Chapter1:

Description

A function that will do the following tasks:

1. decompose volume/trade number data. 2. run inference over long-memory properties （optional). 3. evaluate GoF of a classical linear model. 4. evaluate feature importance with non-linear prediction models.

Usage

Sherry_project1(All_dta_dir, RV_raw_dta_dir, RV_C_dta_dir, RV_D_dta_dir,
  save_dir = "SPY_30s", label = "SPY 30 Sec", intra = c("day",
  "week"), lag_days = 5)

Arguments

All_dta_dir	The directory for the dta file containing the raw data for high frequency trading.
RV_raw_dta_dir	The directory for the dta file containing the realized variance without periodicity filtering.
RV_C_dta_dir	The directory for the dta file containing the realized variance with constant periodicity filtering.
RV_D_dta_dir	The directory for the dta file containing the realized variance with daily periodicity filtering.
save_dir	The directory of saving the data; default = "SPY_30s".
label	The label of the data; default = "SPY 30 Sec".
intra	The volume periocity is estimated by intra day or intra week fassion; default = "day".
lag_days	The maximum lagging days of acf plot, default = 5.
long_memory_test	wheather run long memory test ; default = TRUE.

Details

This command will generate reports of various analysis in sherry project 1, and it will save the figures and statistics under a folder named by the user.

Value

figures and statistics will be saved under the directory specified by save_dir.

Examples

## Not run: 
Sherry_project1(
All_dta_dir = "SPY 30 Sec Summary Return Data.csv",
RV_raw_dta_dir = "SPY 30 Sec my daily.dta",
RV_C_dta_dir = "SPYC 30 Sec my daily.dta",
RV_D_dta_dir = "SPYD 30 Sec my daily.dta",
save_dir = "SPY_30s",
label = "SPY 30 Sec",
intra = "day",
lag_days = 5
)

## End(Not run)

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