rSignature: Signature Plots

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/realized.R

Description

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

Usage

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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 <[email protected]>

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 unpublished doctoral thesis, MIT, Sloan School of Management, 1996.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

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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 31, 2017, 4:57 a.m.