Structs

HighFrequencyCovariance.SortedDataFrame

The SortedDataFrame struct wraps a DataFrame (from the DataFrames package). In the constructor function for the DataFrame we presort the data and create a mapping Dict so that it is fast to subset the DataFrame by the group.

The CovarianceMatrix mutable struct stores three elements. A Hermitian correlation matrix, a vector of volatilities and a vector of labels. The order of the labels matches the order of the assets in the volatility vector and correlation matrix.

Structs specification

HighFrequencyCovariance.SortedDataFrame — Type

function SortedDataFrame(
    df::DataFrame,
    time::Symbol,
    grouping::Symbol,
    value::Symbol,
    time_period_per_unit::Dates.Period,
)

SortedDataFrame(
    df::DataFrame,
    timevar::Symbol,
    groupingvar::Symbol,
    valuevar::Symbol,
    dic::Dict{Symbol,Vector{I}},
    vol_unit::Dates.Period,
) where I<:Integer

SortedDataFrame(
    ts::SortedDataFrame{I},
    timevar::Symbol,
    groupingvar::Symbol,
    valuevar::Symbol,
    vol_unit::Dates.Period,
) where I<:Integer

This struct wraps a DataFrame. In the constructor function for the dataframe we presort the data and create a mapping dict so that it is fast to subset the DataFrame by the group.

For the constructor pass in the dataframe, name of time column, name of grouping column and name of value column to the constructor.

Inputs

df - The tick data
time - The column of the data representing time.
grouping - The column of the data representing the asset name
value - The column of the data representing price/logprice/etc.
time_period_per_unit - The period that one unit (in the time column) corresponds to.

Returns

A SortedDataFrame.

source

Missing docstring.

Missing docstring for CovarianceMatrix. Check Documenter's build log for details.