[R-SIG-Finance] high frequency data analysis in R

[Liviu Andronic]

Hello Michael,

On Thu, May 21, 2009 at 5:21 PM, Michael <comtech.usa at gmail.com> wrote:
> By high frequency I mean really the tick data. For example, during
> peak time, the arrival of price events could be at about hundreds to
> thousands within one second, irregularly spaced.
>
If I understand correctly, you're dealing with an issue---that I'm
currently investigating---of nonsynchronous data. You may be
interested in library(realized), which implements at least the
Hayashi-Yoshida covariance estimator (2005). Be sure to check the
package's homepage for an extended user manual and a (possibly
obsolete) table of implemented methods. There is also a paper dealing
with synchronizing data using a "Refresh Time" methodology
("Multivariate realised kernels: consistent positive semi-definite
estimators of the covariation of equity prices with noise and
non-synchronous trading", BARNDORFF-NIELSEN, HANSEN, LUNDE and
SHEPHARD, 2008).

>From what I understood the HY estimator is appropriate for very
high-frequency data; unfortunately I am dealing with very
low-frequency non-synchronous data, and I'm still looking for a data
synchronization method/consistent covariance estimator. If anyone is
familiar with available methodology/R implementations, please share
your thoughts.

Best,
Liviu