Our package uses state-of-the-art state-space models to facilitate the modeling and forecasting of financial intraday signals. It currently offers a univariate model for intraday trading volume, with new features on intraday volatility and multivariate models in development. It is a valuable tool for anyone interested in exploring intraday, algorithmic, and high-frequency trading.
The package can be installed from GitHub:
# install development version from GitHub
::install_github("convexfi/intradayModel") devtools
Please cite intradayModel in publications:
citation("intradayModel")
To get started, we load our package and sample data: the 15-minute intraday trading volume of AAPL from 2019-01-02 to 2019-06-28, covering 124 trading days. We use the first 104 trading days for fitting, and the last 20 days for evaluation of forecasting performance.
library(intradayModel)
data(volume_aapl)
1:5, 1:5] # print the head of data
volume_aapl[#> 2019-01-02 2019-01-03 2019-01-04 2019-01-07 2019-01-08
#> 09:30 AM 10142172 3434769 20852127 15463747 14719388
#> 09:45 AM 5691840 19751251 13374784 9962816 9515796
#> 10:00 AM 6240374 14743180 11478596 7453044 6145623
#> 10:15 AM 5273488 14841012 16024512 7270399 6031988
#> 10:30 AM 4587159 18041115 8686059 7130980 5479852
<- volume_aapl[, 1:104]
volume_aapl_training <- volume_aapl[, 105:124] volume_aapl_testing
Next, we fit a univariate state-space model using
fit_volume()
function.
<- fit_volume(volume_aapl_training) model_fit
Once the model is fitted, we can analyze the hidden components of any
intraday volume based on all its observations. By calling
decompose_volume()
function with
purpose = "analysis"
, we obtain the smoothed daily,
seasonal, and intraday dynamic components. It involves incorporating
both past and future observations to refine the state estimates.
<- decompose_volume(purpose = "analysis", model_fit, volume_aapl_training)
analysis_result
# visualization
<- generate_plots(analysis_result)
plots $log_components plots
To see how well our model performs on new data, we call
forecast_volume()
function to do one-bin-ahead forecast on
the testing set.
<- forecast_volume(model_fit, volume_aapl_testing)
forecast_result
# visualization
<- generate_plots(forecast_result)
plots $original_and_forecast plots
We welcome all sorts of contributions. Please feel free to open an issue to report a bug or discuss a feature request.
If you make use of this software please consider citing:
Package: GitHub
Vignette: GitHub-vignette.