rmlargespread: Delete entries for which the spread is more than "maxi" times...
In highfrequency: Tools for Highfrequency Data Analysis
Description
Usage
Arguments
Value
Details
Author(s)
Description
Function deletes entries for which the spread is more than "maxi" times the median
spread on that day.
Usage
1
rmLargeSpread(qdata,maxi)
Arguments
qdata
an xts object at least containing the columns "BID" and "OFR".
maxi
an integer. By default maxi="50",
which means that entries are deleted if the spread is more than 50 times the median spread on that day.
Value
xts object
Details
NOTE: This function works only correct if supplied input data consists of 1 day!
Author(s)
Jonathan Cornelissen and Kris Boudt
highfrequency documentation built on May 2, 2019, 6:09 p.m.
R Package Documentation
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Description Usage Arguments Value Details Author(s)
Description
Function deletes entries for which the spread is more than "maxi" times the median spread on that day.
Usage
1 | rmLargeSpread(qdata,maxi)
|
Arguments
qdata |
an xts object at least containing the columns "BID" and "OFR". |
maxi |
an integer. By default maxi="50", which means that entries are deleted if the spread is more than 50 times the median spread on that day. |
Value
xts object
Details
NOTE: This function works only correct if supplied input data consists of 1 day!
Author(s)
Jonathan Cornelissen and Kris Boudt
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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