estimate_hs: Estimates the model of Huang & Stoll (1997)
In simonsays1980/tim: Estimation of Trade Indicator Models
Description
Usage
Arguments
Details
Value
References
Description
Estimates the model of Huang & Stoll (1997)
Usage
1
estimate_hs(price_diff, price, indicator, indicator_lag, midquote)
Arguments
price_diff
a numeric vector containing the series of first price differences.
price
a numeric vector containing the price series.
indicator
an integer vector containing the trade direction with a buy as 1 and
a sell as -1.
indicator_lag
an integer vector containing the first lag of the indicator series.
midquote
a numeric vector with the midquote price series.
Details
The function estimates for given data the trade indicator model of
Huang & Stoll (1997).
For estimation an OLS approach is used similar to the one desribed in the paper of the two
authors. For application the lm-function is used together with
NeweyWest for NeweyWest standard errors. For details
it is referred to the NeweyWest-function.
Value
A data.frame with the following values:
- n
the number of observation used in estimation.
- beta1
the effective half-spread.
- beta1_std
the standard deviation of the effective half-spread.
- beta1_t
the t-value of the effective half-spread.
- beta1_p
the p-value of the effective half-spread.
- beta2
the part of the spread due to adverse selection and inventory.
- beta2_std
the standard deviation of the adverse selection and inventory
spread component.
- beta2_t
the t-value of the adverse selection and inventory
spread component.
- beta2_p
the p-value of the adverse selection and inventory
spread component.
- r2
the coefficient of determination.
- r2_adj
the adjusted coefficient of determination.
- f_stat
the value of the F-statistic.
- f_pval
the p-value of the F-statistic.
- spread_eff_est
the effective spread estimated from the model using the
formula 2(θ+φ).
- spread_eff_std
the standard deviation of the effective spread, calculated
via the delta method.
- spread_eff_emp
the empirical effective spread, calculated directly from the data
by the arithmetic mean of the series q_t(p_t-m_t), where q_t is the trade
direction, p_t the transaction price, and m_t the price midquote series.
- spread_eff_emp_std
the standard deviation of the empirical effective spread calculated
as the standard deviation of the series q_t(p_t-m_t).
- spread_eff_emp_se
the standard error of the estimated empirical effective spread
using the formula SE=STD/√ n.
- spread_eff_emp_med
the median of the empirical effective spread calculated as the
median of the series q_t(p_t-m_t).
References
Huang & Stoll (1997), "The Component of the Bif-Ask Spread: A
General Approach," The Review of Financial Studies, Vol. 10, Issue 4., pp. 995-1034.
simonsays1980/tim documentation built on July 19, 2019, 7:35 a.m.
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Description Usage Arguments Details Value References
Description
Estimates the model of Huang & Stoll (1997)
Usage
1 | estimate_hs(price_diff, price, indicator, indicator_lag, midquote)
|
Arguments
price_diff |
a numeric vector containing the series of first price differences. |
price |
a numeric vector containing the price series. |
indicator |
an integer vector containing the trade direction with a buy as 1 and a sell as -1. |
indicator_lag |
an integer vector containing the first lag of the indicator series. |
midquote |
a numeric vector with the midquote price series. |
Details
The function estimates for given data the trade indicator model of
Huang & Stoll (1997).
For estimation an OLS approach is used similar to the one desribed in the paper of the two
authors. For application the lm-function is used together with
NeweyWest for NeweyWest standard errors. For details
it is referred to the NeweyWest-function.
Value
A data.frame with the following values:
- n
the number of observation used in estimation.
- beta1
the effective half-spread.
- beta1_std
the standard deviation of the effective half-spread.
- beta1_t
the t-value of the effective half-spread.
- beta1_p
the p-value of the effective half-spread.
- beta2
the part of the spread due to adverse selection and inventory.
- beta2_std
the standard deviation of the adverse selection and inventory
spread component.- beta2_t
the t-value of the adverse selection and inventory
spread component.- beta2_p
the p-value of the adverse selection and inventory
spread component.- r2
the coefficient of determination.
- r2_adj
the adjusted coefficient of determination.
- f_stat
the value of the F-statistic.
- f_pval
the p-value of the F-statistic.
- spread_eff_est
the effective spread estimated from the model using the formula 2(θ+φ).
- spread_eff_std
the standard deviation of the effective spread, calculated via the delta method.
- spread_eff_emp
the empirical effective spread, calculated directly from the data by the arithmetic mean of the series q_t(p_t-m_t), where q_t is the trade direction, p_t the transaction price, and m_t the price midquote series.
- spread_eff_emp_std
the standard deviation of the empirical effective spread calculated as the standard deviation of the series q_t(p_t-m_t).
- spread_eff_emp_se
the standard error of the estimated empirical effective spread using the formula SE=STD/√ n.
- spread_eff_emp_med
the median of the empirical effective spread calculated as the median of the series q_t(p_t-m_t).
References
Huang & Stoll (1997), "The Component of the Bif-Ask Spread: A General Approach," The Review of Financial Studies, Vol. 10, Issue 4., pp. 995-1034.
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