tick: Transaction data
In rdmatheus/inars: INARS(1) Model for Integer-Valued Time Series
Description
Usage
Format
References
Description
The data refers to a change in the stock value of the
General Electric company in 10 minutes differences beginning in August
1995. The tick-by-tick data is from The Trade and Quote database, which
provides historical tick-by-tick data for all stocks listed on New York
Stock Exchange, back to 1993.
Usage
1
Format
A data frame with 62 observations on the following 3 variables.
-
tick: Integer-valued time series of ticks.
-
spread: A financial indicator that represents the value at
which the selling price exceeds the other price of an asset in the
market. This variable is equals 1 if the bid-ask spread is larger than
one tick; and 0 otherwise.
References
Nyholm, K. (2003). Inferring the private information content
of trades: a regime-switching approach. Journal of Applied
Econometrics, 18, 457–470.
Andersson, J., & Karlis, D. (2014). A parametric time series model with
covariates for integers in Z. Statistical Modelling, 14, 135-156.
rdmatheus/inars documentation built on March 15, 2021, 1:45 p.m.
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Description Usage Format References
Description
The data refers to a change in the stock value of the General Electric company in 10 minutes differences beginning in August 1995. The tick-by-tick data is from The Trade and Quote database, which provides historical tick-by-tick data for all stocks listed on New York Stock Exchange, back to 1993.
Usage
1 |
Format
A data frame with 62 observations on the following 3 variables.
-
tick: Integer-valued time series of ticks. -
spread: A financial indicator that represents the value at which the selling price exceeds the other price of an asset in the market. This variable is equals 1 if the bid-ask spread is larger than one tick; and 0 otherwise.
References
Nyholm, K. (2003). Inferring the private information content of trades: a regime-switching approach. Journal of Applied Econometrics, 18, 457–470.
Andersson, J., & Karlis, D. (2014). A parametric time series model with covariates for integers in Z. Statistical Modelling, 14, 135-156.
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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