rAccumulation: Realized Accumulation Plot In realized: Realized

Description

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

Usage

 `1` ```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 <[email protected]>

References

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

`rMarginal`, `rRealizedVariance`
 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20``` ```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) ```