rScatterReturns: Scatterplot of aligned returns

In highfrequency: Tools for Highfrequency Data Analysis

Description

Creates a scatterplot of cross returns.

Usage

rScatterReturns(x,y, period, align.by="seconds", align.period=1,
   numbers=FALSE,xlim= NULL, ylim=NULL, 
  plotit=TRUE, pch=NULL, cts=TRUE, makeReturns=FALSE, 
   scale.size=0, col.change=FALSE,...)

Arguments

x	Tick data in xts object.
y	Tick data in xts object.
period	Sampling period
align.by	Align the tick data to seconds|minutes|hours
align.period	Align the returns to this period first
cts	Create calendar time sampling if a non realizedObject is passed
makeReturns	Prices are passed make them into log returns
plotit	T for plot
numbers	T for count
pch	type of point
ylim	ylimit
xlim	xlimit
scale.size	.
col.change	.
...	...

Details

Scatterplot of returns.

Author(s)

Scott Payseur <[e-mail]>

References

S. W. Payseur. A One Day Comparison of Realized Variance and Covariance Estimators. Working Paper: University of Washington, 2007

Examples

data(sbux.xts)
data(lltc.xts)
par(mfrow=c(2,1))
rScatterReturns(sbux.xts,y=lltc.xts, period=1, align.period=20,
    ylab="LLTC",xlab="SBUX",numbers=FALSE) 
rScatterReturns(sbux.xts,y=lltc.xts, period=1, align.period=20,
   ylab="LLTC",xlab="SBUX",numbers=TRUE) 

highfrequency documentation built on May 2, 2019, 6:09 p.m.