intradayModel-package {intradayModel}

intradayModel: Modeling and Forecasting Financial Intraday Signals

Description

This package uses state-of-the-art state-space models to facilitate the modeling, analyzing and forecasting of financial intraday signals. It currently offers a univariate model for intraday trading volume, with new features on intraday volatility and multivariate models in development.

Functions

fit_volume, decompose_volume, forecast_volume, generate_plots

Data

volume_aapl, volume_fdx

Help

For a quick help see the README file: GitHub-README.

Author(s)

Shengjie Xiu, Yifan Yu and Daniel P. Palomar