qpin_plot: PIN Visualization

Description

Visualization of quarterly estimates and probability of informed trading with ggplot2.

Usage

qpin_plot(qpin_obj)

Arguments

qpin_obj

List returned by qpin

Details

Facets are grouped by probability parameters, intensity parameters and the probability of informed trading.

References

Wickham, Hadley (2009) ggplot2: Elegant Graphics for Data Analysis Springer-Verlag New York \Sexpr[results=rd,stage=build]{tools:::Rd_expr_doi("#1")}10.1007/978-0-387-98141-3http://doi.org/10.1007/978-0-387-98141-3doi:\ifelse{latex}{\out{~}}{ }latex~ 10.1007/978-0-387-98141-3

Wickham, Hadley (2007) Reshaping Data with the reshape Package Journal of Statistical Software, Volume 21, Issue 12, pp. 1 - 20 \Sexpr[results=rd,stage=build]{tools:::Rd_expr_doi("#1")}10.18637/jss.v021.i12http://doi.org/10.18637/jss.v021.i12doi:\ifelse{latex}{\out{~}}{ }latex~ 10.18637/jss.v021.i12

Wickham, Hadley (2016) scales: Scale Functions for Visualization R package version 0.4.0

Examples

Run this code

# Loading one year of simulated daily buys and sells

data('BSfrequent2015')

# Quarterly estimates for model parameters and the probability of informed trading
# Rownames of 'BSfrequent2015' equal the business days in 2015.

qpin_list <- qpin(numbuys = BSfrequent2015[,"Buys"], numsells = BSfrequent2015[,"Sells"],
                  dates = as.Date(rownames(BSfrequent2015), format = "%Y-%m-%d"))

# Visualization of quarterly estimates

qpin_plot(qpin_list)