rSignature: Signature Plots

In realized: Realized

Description

Creates realized variance, covariance, and correlation plots for one or multiple days for each type of estimator.

Usage

rSignature(range, x, y=NULL, type="naive", cor = FALSE, rvargs = list(), align.by="seconds", align.period =1,xscale=1,  plotit=FALSE, cts=TRUE, makeReturns=FALSE, iteration.funct=NULL, iterations=NULL, lags=NULL)

Arguments

range	x axis of signature plot (inputs for realized estimator)
x	Tick data in xts object.
y	Tick data in xts object.
align.by	Align the tick data to seconds|minutes|hours
align.period	Align the tick data to this many [seconds|minutes|hours]
cts	Create calendar time sampling if a non realizedObject is passed
makeReturns	Prices are passed make them into log returns
type	Type of realized estimator to use, a rv. or rc. is appended to this value and that function is called
cor	T for correlation
rvargs	List of extra parameters to pass into rv.* or rc.*
xscale	value to multiply range by for x axis (see below)
iteration.funct	Deprecated
iterations	Deprecated
lags	Deprecated
plotit	T for plot

Details

Creates a list that contains an x and y value that is used for plotting a signature plot.

Value

List containing:

x	x axis of signature plot (range * xscale)
y	Realized variance or covariance
type	type of estimator used for calculation
cor	is this a correlation signture
cov	it this realized covariance

Author(s)

Scott Payseur <[e-mail]>

References

T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys. Great realizations. Risk, 13:105 108, 2000.

Y. Fang. Volatility modeling and estimation of high-frequency data with gaussian noise. unpublished doctoral thesis, MIT, Sloan School of Management, 1996.

J. E. Griffen and R. C. A. Oomen. Covariance measurement in the presence of non-synchronous trading and market microstructure noise. Working Paper, June 27th, 2006.

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

See Also

rRealizedVariance

Examples

data(sbux.xts)
data(lltc.xts)
 
 test.cov <- rSignature((0:119)*10+1,x=sbux.xts, y=lltc.xts, xscale=1/60) 
 test.rect <- rSignature((1:60)*10+1,x=sbux.xts, y=lltc.xts,type="kernel",rvargs=list(kernel.type="rectangular"), xscale=1/30)
 test.mth <- rSignature((1:60)*10+1,x=sbux.xts, y=lltc.xts,type="kernel",rvargs=list(kernel.type="mth"), xscale=1/30)
 plot(test.cov, ylab="Realized Covariance", xlab="Minutes", main="SBUX | LLTC") 
 lines(test.rect, col=3, lwd=1) 
 lines(test.mth, col=4, lwd=2) 
 axis(3, c(0,(1:5)*4), c("Lags:",as.character((1:5)*120)))
 legend("bottomright",c("Rectangular", "Mod TH"), lwd=c(1,2), col=c(3,4)) 

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