search for: subgrid

...tion of N into two integers N1 and % N2 such that : N1xN2 == N and N2-N1 -> min (optimal grid) % gridsizes(N,C1,C2) calculates the best factorization of N into two integers N1 and % N2 such that : N1xN2 == N and N2-N1 -> min, under the condition that N1 % divides C1 and N2 divides C2 (optimal subgrids for an already existing % grid of size C1xC2 N) % gridsizes(N,C1,C2,1) returns [NaN;NaN] instead of an error message if the % fitting couldn't be found (used in the function N_from_d) sizes = NaN(2,1); s = sqrt(N); tol = 10?(-12); N2= ceil(s); N1 = N/N2; if(nargin 3) C1 = varargin{1}; C2 = v...

...e, but I asked this on the R-SIG-FINANCE list and so far have not got any reply, so was hoping someone here may help. I have a basic query about TSRV and was hoping you all can shed some light on the issue. I have 22500 records for each day. So if I take the slow frequency as 5 mins I can have 75 subgrids. An estimate of the 5-minute realized volatility can be obtained by selecting the first observation from each of the 75 five-minute periods (each containing 300 observations). Another estimate can be made by selecting the second price observation from each of the 75 sets. Similarly, 298 additional...