| vpin {PINstimation} | R Documentation |
Estimation of Volume-Synchronized PIN model
Description
Estimates the Volume-Synchronized Probability of Informed Trading as developed in Easley et al. (2011) and Easley et al. (2012).
Usage
vpin(data, timebarsize = 60, buckets = 50, samplength = 50,
tradinghours = 24, verbose = TRUE)
Arguments
data |
A dataframe with 3 variables:
|
timebarsize |
An integer referring to the size of timebars
in seconds. The default value is |
buckets |
An integer referring to the number of buckets in a
daily average volume. The default value is |
samplength |
An integer referring to the sample length
or the window size used to calculate the |
tradinghours |
An integer referring to the length of daily
trading sessions in hours. The default value is |
verbose |
A binary variable that determines whether detailed
information about the steps of the estimation of the VPIN model is displayed.
No output is produced when |
Details
The dataframe data should contain at least three variables. Only the
first three variables will be considered and in the following order
{timestamp, price, volume}.
The property @bucketdata is created as in
Abad and Yague (2012).
The argument timebarsize is in seconds enabling the user to implement
shorter than 1 minute intervals. The default value is set to 1 minute
(60 seconds) following Easley et al. (2011, 2012).
The parameter tradinghours is used to eventually correct the duration per
bucket. The duration of a given bucket is the difference between the
timestamp of the last trade endtime and the timestamp of the first trade
stime in the bucket. If the first trade and the last trade in a
bucket occur in two different days, and the market trading session does not
cover a full day (24 hours); then the duration of the bucket will be
inflated. Assume that the daily trading session is 8 hours
(tradinghours=8), the start time of a bucket is 2018-10-12 17:06:40
and its end time is 2018-10-13 09:36:00. A straightforward calculation
gives that the duration of this bucket is 59,360 secs. However, this
duration includes the time during which the market is closed (16 hours).
The corrected duration takes into consideration only the time of market
activity: duration=59,360-16*3600= 1760 secs, i.e., about 30 minutes.
Value
Returns an object of class estimate.vpin.
References
Abad D, Yague J (2012).
“From PIN to VPIN: An introduction to order flow toxicity.”
The Spanish Review of Financial Economics, 10(2), 74–83.
Easley D, De Prado MML, Ohara M (2011).
“The microstructure of the \"flash crash\": flow toxicity, liquidity crashes, and the probability of informed trading.”
The Journal of Portfolio Management, 37(2), 118–128.
Easley D, Lopez De Prado MM, OHara M (2012).
“Flow toxicity and liquidity in a high-frequency world.”
Review of Financial Studies, 25(5), 1457–1493.
ISSN 08939454.
Examples
# There is a preloaded dataset called 'hfdata' contained in the package.
# It is an artificially created high-frequency trading data. The dataset
# contains 100 000 trades and five variables 'timestamp', 'price',
# 'volume', 'bid' and 'ask'. For more information, type ?hfdata.
xdata <- hfdata
# Estimate VPIN model, using the following parameter set where the time
# bar size is 5 minutes, i.e., 300 seconds (timebarsize = 300), 50
# buckets per average daily volume (buckets = 50), and a window size of
# 250 for the VPIN calculation (samplength = 250).
estimate <- vpin(xdata, timebarsize = 300, buckets = 50, samplength = 250)
# Display a description of the estimate
show(estimate)
# Plot the estimated VPIN vector
plot(estimate@vpin, type = "l", xlab = "time", ylab = "VPIN", col = "blue")
# Display the parameters of VPIN estimates
show(estimate@parameters)
# Store the computed data of the different buckets in a dataframe 'buckets'.
# Display the first 10 rows of the dataframe 'buckets'.
buckets <- estimate@bucketdata
show(head(buckets, 10))
# Store the daily VPIN values (weighted and unweighted) in a dataframe
# 'dayvpin'.
# Display the first 10 rows of the dataframe 'dayvpin'.
dayvpin <- estimate@dailyvpin
show(head(dayvpin, 10))