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.
# S4 method for estimate.vpin
show(object)an object of class estimate.vpin
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
abad2012;textualPINstimation, 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.