[R-SIG-Finance] What's are some go-to packages in R/Finance for detecting shocks in financial time series?

[Alexey Zemnitskiy]

Hi Ilya,

If your focus is on intraday price shocks - you could check out our
PortfolioEffectHFT package.

Right now it's available at:
https://www.portfolioeffect.com/docs/platform/quant/downloads
It would also be available on CRAN shortly under BSD license - we are doing
second round of submission corrections.

The setting you might be interested is
https://www.portfolioeffect.com/docs/platform/quant/manuals/portfolio-settings/model-pipeline#jumps_model

It is using a combination of several jump detection methods (quantile,
wavelet-based, etc.).
For intraday volatility estimators see portfolio_variance
<https://www.portfolioeffect.com/docs/platform/quant/functions/absolute-risk-measures/portfolio-variance>
& position_
<https://www.portfolioeffect.com/docs/platform/quant/functions/absolute-risk-measures/position-variance>
variance
<https://www.portfolioeffect.com/docs/platform/quant/functions/absolute-risk-measures/position-variance>
methods.

PortfolioEffect service is free to use with your own pricing data.
There is optional access to HF market data history for 8000+ US equities
since 2013 if you need that.

Best,

Alex


2015-09-28 17:55 GMT-04:00 Ilya Kipnis <ilya.kipnis at gmail.com>:

> So, I'm back to researching trading strategies on volatility. However, as
> the mailing list knows, volatility ETFs are characterized by price shocks
> more often than not, causing rapid drawdowns. One example would be, say,
> the closing price of XIV from late April to mid-May in 2010, late 2011, the
> SPY correction in 2011, or the more recent one last month during the China
> meltdown.
>
> Does anyone have any R package that they can recommend for detecting such
> quick corrections in a systematic manner?
>
> Thanks a lot.
>
> -Ilya
>
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