remove_jumps: Remove overnight close-to-open price jumps from an _OHLC_...
In algoquant/HighFreq: High Frequency Time Series Management
remove_jumps R Documentation
Remove overnight close-to-open price jumps from an OHLC time series,
by adding adjustment terms to its prices.
Description
Remove overnight close-to-open price jumps from an OHLC time series,
by adding adjustment terms to its prices.
Usage
remove_jumps(ohlc)
Arguments
ohlc
An OHLC time series of prices and trading volumes, in
xts format.
Details
The function remove_jumps() removes the overnight
close-to-open price jumps from an OHLC time series, by adjusting its
prices so that the first Open price of the day is equal to the last
Close price of the previous day.
The function remove_jumps() adds adjustment terms to all the
OHLC prices, so that intra-day returns and volatilities are not
affected.
The function remove_jumps() identifies overnight periods as those
that are greater than 60 seconds. This assumes that intra-day periods
between neighboring rows of data are 60 seconds or less.
The time index of the ohlc time series is assumed to be in
POSIXct format, so that its internal value is equal to the number of
seconds that have elapsed since the epoch.
Value
An OHLC time series with the same dimensions and the same time
index as the input ohlc time series.
Examples
# Remove overnight close-to-open price jumps from SPY data
ohlc <- remove_jumps(HighFreq::SPY)
algoquant/HighFreq documentation built on Oct. 26, 2024, 9:20 p.m.
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| remove_jumps | R Documentation |
Remove overnight close-to-open price jumps from an OHLC time series, by adding adjustment terms to its prices.
Description
Remove overnight close-to-open price jumps from an OHLC time series, by adding adjustment terms to its prices.
Usage
remove_jumps(ohlc)
Arguments
ohlc |
An OHLC time series of prices and trading volumes, in xts format. |
Details
The function remove_jumps() removes the overnight
close-to-open price jumps from an OHLC time series, by adjusting its
prices so that the first Open price of the day is equal to the last
Close price of the previous day.
The function remove_jumps() adds adjustment terms to all the
OHLC prices, so that intra-day returns and volatilities are not
affected.
The function remove_jumps() identifies overnight periods as those
that are greater than 60 seconds. This assumes that intra-day periods
between neighboring rows of data are 60 seconds or less.
The time index of the ohlc time series is assumed to be in
POSIXct format, so that its internal value is equal to the number of
seconds that have elapsed since the epoch.
Value
An OHLC time series with the same dimensions and the same time
index as the input ohlc time series.
Examples
# Remove overnight close-to-open price jumps from SPY data
ohlc <- remove_jumps(HighFreq::SPY)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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