Description Usage Arguments Value Examples
Tstar index for Tick Runs Bars (bar_trb)
1 | Tstar_trb_cpp(b_t, w0, de, bkw_T, bkw_Pb1)
|
b_t |
output of imbalance_tick(dat) with the dat has at least the following columns: Price |
w0 |
the expected time window length of the first bar |
de |
a positive value for adjusting the expected window size, that is, de*E0 |
bkw_T |
backward window length for exponentially weighted average T |
bkw_Pb1 |
backward window length for exponentially weighted average P[b_t=1] |
a list of the following two vectors: a vector for the lengths of the tick imbalance bars. For example, if the return is c(10,26), then the 2 tick imbalance bars are (0,10] and (10, 36] a vector indicating up runs or down runs
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