Did anybody try to look at co-skewnesses for stocks for different sampling frequencies? (i.e. 1-week as opposed to 1-day as opposed to 5-minutes) -----Original Message----- From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch]On Behalf Of Eric Zivot Sent: Thursday, February 15, 2007 1:54 PM To: 'Brian G. Peterson'; r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] TAQ data and Eric Zivot's HF Library This library has gotten a bit old, and there are a bunch of new techniques for the analysis of high frequency data (especially for realized variance etc) that have appeared recently. I am in the process of substantially updating the library with the help of one of my Phd students and this may involve a port to R. I'll keep the list informed. ez -----Original Message----- From: Brian G. Peterson [mailto:brian at braverock.com] Sent: Thursday, February 15, 2007 4:20 AM To: r-sig-finance at stat.math.ethz.ch Cc: ezivot at u.washington.edu Subject: TAQ data and Eric Zivot's HF Library I find myself needing to analyze TAQ high frequency data. Eric Zivot and Bingcheng Yan wrote a paper and released code here: http://faculty.washington.edu/ezivot/research/hfanalysis.pdf http://faculty.washington.edu/ezivot/research/HFLibrary.SSC That can handle TAQ data, and has some other useful characteristics for high frequency data cleanup. 1. Has anyone thought about porting these scripts to R ? 2. Some functions rely on diff.timeSeries from S+Finmetrics. I'm not aware of a correllary function in R. Does anyone have any ideas on replicating diff.Timeseries? If I can get permission, any ported code would be made public so that no one else would have to repeat the work. Regards, - Brian -- 773-459-4973 mobile http://braverock.com/brian/resume-quant.pdf _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance
TAQ data and Eric Zivot's HF Library
1 message · Panov, Evgeny [CIB-EQTY]