estimate.vpin-class {PINstimation} | R Documentation |
The class estimate.vpin
is a blueprint for S4
objects
that store the results of the VPIN
estimation method using the function
vpin()
.
The function show() displays a description of the
estimate.vpin object: descriptive statistics of the VPIN
variable,
the set of relevant parameters, and the running time.
## S4 method for signature 'estimate.vpin'
show(object)
object |
an object of class |
success
(logical
) returns the value TRUE
when the estimation
has succeeded, FALSE
otherwise.
errorMessage
(character
) returns an error message if the VPIN
estimation has failed, and is empty otherwise.
parameters
(numeric
) returns a numeric vector of estimation
parameters (tbSize, buckets, samplength, VBS, #days), where tbSize
is the
size of timebars (in seconds); buckets
is the number of buckets per average
volume day; VBS
is Volume Bucket Size (daily average volume/number of
buckets buckets
); samplength
is the length of the window used to estimate
VPIN
; and #days
is the number of days in the dataset.
bucketdata
(dataframe
) returns the dataframe containing detailed
information about buckets. Following the output of
Abad and Yague (2012), we report for each bucket its
identifier (bucket
), the aggregate buy
volume (agg.bVol
), the aggregate sell volume (agg.sVol
), the
absolute order imbalance (AOI=|agg.bVol-agg.sVol|
),
the start time (starttime
), the end time (endtime
), the
duration in seconds (duration
) as well as
the VPIN
vector.
vpin
(numeric
) returns the vector of the volume-synchronized
probabilities of informed trading.
dailyvpin
(dataframe
) returns the daily VPIN
values. Two
variants are provided for any given day: dvpin
corresponds to
the unweighted average of vpin values, and dvpin.weighted
corresponds to the average of vpin values weighted by bucket duration.
runningtime
(numeric
) returns the running time of the VPIN
estimation in seconds.