Displaying 2 results from an estimated 2 matches for "subgrids".
2017 Jan 24
3
Convertir programa Matlab a R sacado de Threshold Models of Collective Behavior de Michèle Lai & Yann Poltera
...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 = va...
2012 Jun 14
0
Query about TSRV
...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...