It should, we tested the package for illiquid stocks with 1-2 trades a day.
The models would require sufficient warm-up period. Since this is not a HF dataset, I would also suggest switching off market microstructure noise detection <https://www.portfolioeffect.com/docs/platform/quant/manuals/portfolio-settings/model-pipeline#noise_model> - the estimated HF noise at EOD frequency is close to zero for liquid stocks anyway. If you want to give intraday data a try - SPY, GOOG & C sample history is available through the package. Best, Alex 2015-09-28 19:26 GMT-04:00 Ilya Kipnis <[email protected]>: > 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 < > [email protected]> 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 <[email protected]>: >> >>> 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 >>> >>> [[alternative HTML version deleted]] >>> >>> _______________________________________________ >>> [email protected] mailing list >>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance >>> -- Subscriber-posting only. If you want to post, subscribe first. >>> -- Also note that this is not the r-help list where general R questions >>> should go. >>> >> >> > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
