VPIN estimation resultsSource:
estimate.vpin is a blueprint for
that store the results of the
VPIN estimation method using the function
The function show() displays a description of the
estimate.vpin object: descriptive statistics of the
the set of relevant parameters, and the running time.
logical) returns the value
TRUEwhen the estimation has succeeded,
character) returns an error message if the
VPINestimation has failed, and is empty otherwise.
numeric) returns a numeric vector of estimation parameters (tbSize, buckets, samplength, VBS, #days), where
tbSizeis the size of timebars (in seconds);
bucketsis the number of buckets per average volume day;
VBSis Volume Bucket Size (daily average volume/number of buckets
samplengthis the length of the window used to estimate
#daysis the number of days in the dataset.
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
numeric) returns the vector of the volume-synchronized probabilities of informed trading.
dataframe) returns the daily
VPINvalues. Two variants are provided for any given day:
dvpincorresponds to the unweighted average of vpin values, and
dvpin.weightedcorresponds to the average of vpin values weighted by bucket duration.
numeric) returns the running time of the
VPINestimation in seconds.