tqLiquidity(RTAQ)
tqLiquidity()所属R语言包：RTAQ
Calculate numerous (23) liquidity measures
计算大量流动性的措施（23）
译者：生物统计家园网 机器人LoveR
描述----------Description----------
Function returns an xts object containing one of the following liquidity measures:
XTS函数返回一个对象，它包含以下的流动性措施之一：
es, rs, value_trade, signed_value_trade, di_diff, di_div, pes, prs, price_impact, prop_price_impact, tspread, pts, p_return_sqr, p_return_abs, qs, pqs, logqs, logsize, qslope, logqslope, mq_return_sqr, mq_return_abs.
ES，RS value_trade，signed_value_trade，di_diff，di_div，PES，PRS，price_impact，prop_price_impact，tspread，点，p_return_sqr，p_return_abs，QS，PQS，logqs，LOGSIZE，qslope，logqslope，mq_return_sqr，mq_return_abs。
用法----------Usage----------
tqLiquidity(tqdata,tdata,qdata,type,...)
参数----------Arguments----------
参数：tqdata
xts object, containing joined trades and quotes (e.g. using matchTradesQuotes)
XTS对象，包含加入交易和报价（例如，使用matchTradesQuotes）
参数：tdata
xts-object containing the trade data. Please see pdf documentation for the recommended format.
XTS对象，其中包含的贸易数据。请参阅PDF文档的推荐格式。
参数：qdata
xts-object containing the quote data. Please see pdf documentation for the recommended format.
XTS对象包含引用数据。请参阅PDF文档的推荐格式。
参数：type
a character vector containing the name of one of the above mentioned liquidity measures, e.g. type="es" to get the effective spread.
字符向量包含上述提到的流动性措施的名称，例如： =“ES”得到有效的传播。
参数：...
additional arguments.
其他参数。
值----------Value----------
an xts object containing one of the above mentioned liquidity measures.
一个XTS反对含有的上述流动性措施之一。
Details
详细信息----------Details----------
The respective liquidity measures are defined as follows:
各自的流动性措施的定义如下：
es: effective spread
ES：有效的传播
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
其中的D_t是1（-1），如果trade_t，被买进（卖出）（见BOEHMER（2005），（2003）Bessembinder）。需要注意的是此功能的输入匹配的交易和报价，所以这个时间指示指（因此，不会注册的报价时间戳）。
rs: realized spread
RS：实现传播
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the time indication of \mbox{BID} and \mbox{OFR} refers to the registered time of the quote in seconds.
其中的D_t是1（-1），如果trade_t，被买进（卖出）（见BOEHMER（2005），（2003）Bessembinder）。需要注意的是\mbox{BID} \mbox{OFR}和是指时间指示的注册时间以秒为单位的报价。
value_trade: trade value
value_trade：贸易值
signed_value_trade: signed trade value
signed_value_trade：签订贸易值
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)).
其中的D_t是1（-1），如果trade_t，被买进（卖出）（见BOEHMER（2005），（2003）Bessembinder）。
di_diff: depth imbalance (as a difference)
di_diff：深度不平衡（作为差分）
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
其中的D_t是1（-1），如果trade_t，被买进（卖出）（见BOEHMER（2005），（2003）Bessembinder）。需要注意的是此功能的输入匹配的交易和报价，所以这个时间指示指（因此，不会注册的报价时间戳）。
di_div: depth imbalace (as ratio)
di_div：深度imbalace的（如比）
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
其中的D_t是1（-1），如果trade_t，被买进（卖出）（见BOEHMER（2005），（2003）Bessembinder）。需要注意的是此功能的输入匹配的交易和报价，所以这个时间指示指（因此，不会注册的报价时间戳）。
pes: proportional effective spread
PES比例有效的传播
(Venkataraman, 2001).
（文卡塔拉曼，2001年）。
Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
需要注意的是此功能的输入匹配的交易和报价，所以这个时间指示指（因此，不会注册的报价时间戳）。
prs: proportional realized spread
PRS：比例实现传播
(Venkataraman, 2001).
（文卡塔拉曼，2001年）。
Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered
需要注意的是此功能的输入匹配的交易和报价，所以这是时间指示指（因此，不会在注册资本中
price_impact: price impact
price_impact价格的影响
(see Boehmer (2005), Bessembinder (2003)).
（见BOEHMER（2005年），Bessembinder（2003））。
prop_price_impact: proportional price impact
prop_price_impact：比例价格的影响
(Venkataraman, 2001). Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
（文卡塔拉曼，2001年）。请注意，此功能由输入匹配的交易和报价，所以这是时间指示指（因此不能注册报价时间戳）。
tspread: half traded spread
tspread：半买卖价差
where D_t is 1 (-1) if trade_t was buy (sell) (see Boehmer (2005), Bessembinder (2003)). Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
其中的D_t是1（-1），如果trade_t，被买进（卖出）（见BOEHMER（2005），（2003）Bessembinder）。需要注意的是此功能的输入匹配的交易和报价，所以这个时间指示指（因此，不会注册的报价时间戳）。
pts: proportional half traded spread
积分：成交传播比例的一半
Note that the input of this function consists of the matched trades and quotes, so this is were the time indication refers to (and thus not to the registered quote timestamp).
需要注意的是此功能的输入匹配的交易和报价，所以这个时间指示指（因此，不会注册的报价时间戳）。
p_return_sqr: squared log return on trade prices
p_return_sqr：方交易价格的对数收益
p_return_abs: absolute log return on trade prices
p_return_abs：绝对成交价的对数收益
qs: quoted spread
QS：报价价差
Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
请注意，此功能由输入匹配的交易和报价，所以这是时间指示指（因此不能注册报价时间戳）。
pqs: proportional quoted spread
PQS：比例报价价差
(Venkataraman, 2001). Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
（文卡塔拉曼，2001年）。请注意，此功能由输入匹配的交易和报价，所以这是时间指示指（因此不能注册报价时间戳）。
logqs: log quoted spread
logqs：log报价价差
(Hasbrouck and Seppi, 2001). Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
（哈斯布鲁克和塞皮，2001年）。请注意，此功能由输入匹配的交易和报价，所以这是时间指示指（因此不能注册报价时间戳）。
logsize: log quoted size
LOGSIZE：log引用的大小
(Hasbrouck and Seppi, 2001). Note that the input of this function consists of the matched trades and quotes, so this is where the time indication refers to (and thus not to the registered quote timestamp).
（哈斯布鲁克和塞皮，2001年）。请注意，此功能由输入匹配的交易和报价，所以这是时间指示指（因此不能注册报价时间戳）。
qslope: quoted slope
qslope：引用坡
(Hasbrouck and Seppi, 2001).
（哈斯布鲁克和塞皮，2001年）。
logqslope: log quoted slope
mq_return_sqr: midquote squared return
mq_return_sqr：midquote平方回报
where \mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}.
\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}。
mq_return_abs: midquote absolute return
mq_return_abs：midquote绝对回报
where \mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}.
\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}。
signed_trade_size: signed trade size
signed_trade_size：签订贸易规模
where D_t is 1 (-1) if trade_t was buy (sell).
D_t是1（-1）如果trade_t是买入（卖出）。
（作者）----------Author(s)----------
Jonathan Cornelissen and Kris Boudt
参考文献----------References----------
Financial Markets, 223-257.
equity markets. Journal of Financial Economics 78 (3), 553-582.
Common factors in prices, order flows and liquidity. Journal of Financial Economics, 383-411.
An analysis of execution costs on the paris and new york exchanges. The Journal of Finance, 56, 1445-1485.
实例----------Examples----------
#load data samples[加载数据样本]
data("sample_tdata");
data("sample_qdata");
tdata = sample_tdata;
qdata = sample_qdata;
#match the trade and quote data[相匹配的交易和报价数据]
tqdata = matchTradesQuotes(tdata,qdata);
#calculate the proportional realized spread:[计算比例实现传播：]
prs = tqLiquidity(tqdata,tdata,qdata,type="prs");
#calculate the effective spread:[计算有效价差：]
es = tqLiquidity(tqdata,type="es");
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
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发表于 2012-9-28 22:38:56
