ohlc_skew: Calculate time series of point skew estimates from a _OHLC_...

In algoquant/HighFreq: High Frequency Time Series Management

Calculate time series of point skew estimates from a OHLC time series, assuming zero drift.

Description

Calculate time series of point skew estimates from a OHLC time series, assuming zero drift.

Usage

ohlc_skew(ohlc, method = "rogers_satchell")

Arguments

ohlc	An OHLC time series of prices in xts format.
method	A character string representing method for estimating skew.

Details

The function ohlc_skew() calculates a time series of skew estimates from OHLC prices, one for each row of OHLC data. The skew estimates are expressed in the time scale of the index of the OHLC time series. For example, if the time index is in seconds, then the skew is given in units of skew per second. If the time index is in days, then the skew is equal to the skew per day.

Currently only the "close" skew estimation method is correct (assuming zero drift), while the "rogers_satchell" method produces a skew-like indicator, proportional to the skew. The default method is "rogers_satchell".

Value

A time series of point skew estimates.

Examples

# Calculate time series of skew estimates for SPY
skew <- HighFreq::ohlc_skew(HighFreq::SPY)

algoquant/HighFreq documentation built on Feb. 9, 2024, 8:15 p.m.