Test_code.R

In ZhenWei10/Sherry-Chapter1:

decomposed_volume_weekly <- read.csv("decomposed_volume_weekly.csv")
volume_filtered <- stl.decomposed$trend + stl.decomposed$remainder

volume_M <- t(matrix(volume_filtered,
                     nrow = length(unique(Return_data$date)),
                     byrow = T))

par(mfrow = c(2,2))
plot(rowMeans(volume_M),type = "l")

plot(rowVars(volume_M),type = "l")

plot(rowMedians(volume_M),type = "l")

plot(rowMads(volume_M),type = "l")

qqnorm( volume_M[10,] )

SherryChapter1::Decompose_Volume("SPY 30 Sec Summary Return Data.dta")
SherryChapter1::Decompose_TradeNum("SPY 30 Sec Summary Return Data.dta")

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"
Volume_raw = read.csv("Volume_raw.csv")[,1]
Volume_f_day = read.csv("Volume_f_daily.csv")[,1]
Volume_f_week = read.csv("Volume_f_weekly.csv")[,1]
TradeNum_raw = read.csv("TradeNum_raw.csv")[,1]
TradeNum_f_day = read.csv("TradeNum_f_daily.csv")[,1]
TradeNum_f_week = read.csv("TradeNum_f_weekly.csv")[,1]
parameters_Volume = read.csv("parameters_decompose_Volume.csv")
parameters_TradeNum = read.csv("parameters_decompose_TradeNum.csv")