R/Sherry_Project1.R

In ZhenWei10/Sherry-Chapter1:

#'@title A one step function to complete project1 of Sherry.
#'
#'@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.
#'
#'@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.
#'
#'@param All_dta_dir The directory for the dta file containing the raw data for high frequency trading.
#'@param RV_raw_dta_dir The directory for the dta file containing the realized variance without periodicity filtering.
#'@param RV_C_dta_dir The directory for the dta file containing the realized variance with constant periodicity filtering.
#'@param RV_D_dta_dir The directory for the dta file containing the realized variance with daily periodicity filtering.
#'@param save_dir The directory of saving the data; default = "SPY_30s".
#'@param label The label of the data; default = "SPY 30 Sec".
#'@param lag_days The maximum lagging days of acf plot, default = 5.
#'@param intra The volume periocity is estimated by intra day or intra week fassion; default = "day".
#'@param long_memory_test wheather run long memory test ; default = TRUE.
#'@return figures and statistics will be saved under the directory specified by save_dir.
#'
#'@examples
#'
#'\dontrun{
#'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
#' )
#'}
#'
#'@import matrixStats
#'@import readstata13
#'
#'@export
Sherry_project1 <- function(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) {

}