AFT.mat: Matrix of Afternoon High Frequency S&P Indices
In Rsafd: Statistical Analysis of Financial Data in R
Description
Details
Source
Examples
Description
59 x 6 matrix of the afternoon values of the 6 indicators computed for 59 trading days
Details
range nbticks vol volratio l2slope ticksep
[1,] 4.8 220 5.186267e-08 0.07729659 320.0999 9.482759
[2,] 7.6 216 5.553202e-08 0.15074484 319.5855 7.941176
[3,] 6.8 206 6.997459e-08 0.14162258 306.5356 7.253521
[4,] 5.6 223 5.573436e-08 0.12585191 331.0890 8.173488
[5,] 6.0 202 6.540085e-08 0.05605950 306.5158 7.314424
[6,] 7.3 221 7.859222e-08 0.02101963 315.5553 7.786260
Source
R. A. Carmona: Statistical Analysis of Financial Data in S-Plus, (2004) Springer Verlag, p. 193
Examples
1
2
Rsafd documentation built on May 2, 2019, 5:20 p.m.
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Description Details Source Examples
Description
59 x 6 matrix of the afternoon values of the 6 indicators computed for 59 trading days
Details
range nbticks vol volratio l2slope ticksep [1,] 4.8 220 5.186267e-08 0.07729659 320.0999 9.482759 [2,] 7.6 216 5.553202e-08 0.15074484 319.5855 7.941176 [3,] 6.8 206 6.997459e-08 0.14162258 306.5356 7.253521 [4,] 5.6 223 5.573436e-08 0.12585191 331.0890 8.173488 [5,] 6.0 202 6.540085e-08 0.05605950 306.5158 7.314424 [6,] 7.3 221 7.859222e-08 0.02101963 315.5553 7.786260
Source
R. A. Carmona: Statistical Analysis of Financial Data in S-Plus, (2004) Springer Verlag, p. 193
Examples
1 2 |
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