VPIN estimation results

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.

Usage

# S4 method for estimate.vpin
show(object)

Arguments

object

an object of class estimate.vpin

Slots

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.