rSignature {realized}R Documentation

Signature Plots

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, args = list(), xscale = 1, iteration.funct = "", iterations = NULL, plotit = FALSE, cts = TRUE, makeReturns = FALSE)

Arguments

range x axis of signature plot (inputs for realized estimator)
x RealizedObject or TimeSeries for S+
y RealizedObject or TimeSeries for S+
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
args List of extra parameters to pass into rv.* or rc.*
xscale value to multiply range by for x axis (see below)
iteration.funct Name of function to be used for average signature plot
iterations Numeric vector to pass into iteration.funct
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 <spayseur@u.washington.edu>

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 unpublished doctoral thesis, MIT, Sloan School of Management, 1996.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(msft.real.cts)
data(ge.real.cts)

# see users manual for more examples

test.cov <- rSignature(1:1200,x=msft.real.cts[[1]], y=ge.real.cts[[1]], xscale=1/60) 
test.rect <- rSignature(1:600,msft.real.cts[[1]], ge.real.cts[[1]],type="kernel",args=list(type="rectangular"), xscale=1/30)
test.mth <- rSignature(1:600,msft.real.cts[[1]], ge.real.cts[[1]],type="kernel",args=list(type="mth"), xscale=1/30)
plot(test.cov, ylab="Realized Covariance", xlab="Minutes", main="GE | MSFT") 
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(13,.00015,c("Rectangular", "Mod TH"), lwd=c(1,2), col=c(3,4)) 


[Package realized version 0.81 Index]