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

[Ilya Kipnis]

Alexey,

As someone who works independently, unfortunately I don't have access to
intraday data at all. Does that work with daily-frequency data, like the
kind I use on my blog?

-Ilya

On Mon, Sep 28, 2015 at 7:24 PM, Alexey Zemnitskiy <alexzemnitskiy at gmail.com
> wrote:

> 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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>>
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>
>

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