[R-SIG-Finance] TAQ data and Eric Zivot's HF Library

[Panov, Evgeny [CIB-EQTY]]

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

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