search for: rahulsparx2009

Hi All, I am using convert() function in RTAQ package to convert the text file into xts object.The code I am using is shown below: convert(from="2010-07-01",to="2010-07-01",datasource="C:\\TAQdata",datadestination="C:\\datadestination",trades=T,quotes=F,ticker="SUBX",dir=F) The problem is that I am not getting the text files named Ticker.trades

Dear All, Are there any packages in R to carry out the jump detection test and find the jump sizes and its its time of occurence on high frequency data(5 minute interval) using non-parametric approach suggested by Lee and Mykland in their paper "Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics". Regards and Thanks in advance, Rahul [[alternative HTML version

Hi everyone I am using the wavelet and waveslim package in R to find the wave variance.Here is the code return.modwt<-modwt(X, filter="la8", n.levels=5, boundary="periodic", fast=TRUE) return.modwt.var<- wave.variance(return.modwt, type="nongaussian") Where X is a uni-variate time series. I am expecting a matrix with 5 rows(no. of levels) and 3