rAccumulation: Realized Accumulation Plot

In realized: Realized

Description

Plots the realized estimate as it accumulates over a time interval.

Usage

rAccumulation(x, period = 1, y = NULL, align.by="seconds", align.period = 1, plotit = FALSE, cts = TRUE, makeReturns = 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
plotit	T for plot
cts	Create calendar time sampling if a non realizedObject is passed
makeReturns	Prices are passed make them into log returns

Details

Plots the realized estimate as it accumulates over a time interval. This is a good tool to determine what obersations are adding (possibly subtracting for covariance) to the estimate. For version 0.7 this is only implemented for the naive estimators, in 1.0 it will be implemented generically.

Value

Realized accumulation vector if plotit = F

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

See Also

rMarginal, rRealizedVariance

Examples

data(sbux.xts)

cumm <- list() 
cumm[[1]] <- rCumSum(sbux.xts, period=1, align.by="seconds", align.period=60) 
cumm[[2]] <- rCumSum(sbux.xts, period=10, align.by="seconds", align.period=60) 
cumm[[3]] <- rCumSum(sbux.xts, period=20, align.by="seconds", align.period=60) 
cumm[[4]] <- rCumSum(sbux.xts, period=30, align.by="seconds", align.period=60) 
accum <- list() 
accum[[1]] <- rAccumulation(sbux.xts, period=10, align.by="seconds", align.period=60) 
accum[[2]] <- rAccumulation(sbux.xts, period=20, align.by="seconds", align.period=60) 
accum[[3]] <- rAccumulation(sbux.xts, period=30, align.by="seconds", align.period=60)

par(mfrow=c(2,1)) 
plot(cumm[[1]], xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)", sub='20110701', type="p", col=16, lwd=2) 
lines(cumm[[2]], col=2, lwd=2) 
lines(cumm[[3]], col=3, lwd=2) 
lines(cumm[[4]], col=4, lwd=2) 
plot(accum[[1]], xlab="", ylab="Realized Accumulation", type="l",main="Starbucks (SBUX)", sub='20110701', col=2, lwd=2) 
lines(accum[[2]], col=3, lwd=2) 
lines(accum[[3]], col=4, lwd=2) 

realized documentation built on May 2, 2019, 6:47 p.m.