add upper/lower bounds and test for constant variance

add-se.R

options(width = 80, digits = 6, digits.secs = 6)
sessionInfo()
rm(list=ls())

library(foreign)
library(wmtsa)   

library(foreach)
library(doMC)
registerDoMC(7)





################################################################################
## define directories
dat_dir <- "~/Dropbox/research/fast_trading_priced_noise/data/"





################################################################################
## create vector of permnos
permnos     <- list.files(path = paste(dat_dir, "nysef10/csv/", sep = ""))
num_permnos <- length(permnos)
for (i in 1:num_permnos) {
    permnos[i] <- unlist(strsplit(permnos[i], "\\."))[1]
}





################################################################################
## Compute following statistics for first 20 permnos
##     1. wavelet variance (value)
##     2. upper/lower bounds (upper_/lower_bound)
##     3. probability that variance is constant
if (TRUE == TRUE) {
    for (i in 1:20) {
        print(i)
        data <- read.csv(paste(dat_dir, "nysef10/csv/", permnos[i], ".csv", sep = ""), stringsAsFactors = FALSE)
        data <- data[, c("SYMBOL", "DATE", "time", "vol")]
        names(data) <- c("ticker", "date", "time", "vol")        
        data$date   <- as.Date(as.character(data$date), format = "%Y%m%d")
        data        <- data[data$date >= as.Date("2002-01-01"), ]
        data        <- data[data$ticker != "", ]        
        if (dim(data)[1] > 0) {
            data$month  <- format(data$date, format = "%Y-%m")         
            months      <- sort(unique(data$month))
            num_months  <- length(months)
            wvar <- foreach(m = 1:num_months, .combine = "rbind", .errorhandling = "remove") %dopar% {
                volume <- data[data$month == months[m], ]$vol

                results     <- wavVar(volume, wavelet = "haar")
                len_results <- dim(summary(results)$conf.mat)[2]

                test     <- wavVarTest(volume, wavelet = "haar")$pass
                len_test <- dim(test)[1]
                test     <- test[len_test:1, ]
                if (len_test < len_results) {
                    test <- rbind(test,
                                  matrix(rep(TRUE, 3 * (len_results - len_test)), ncol = 3)
                                  )
                }

                total_var <- sum(summary(results)$vmat[2, ])
                
                panel <- data.frame(permno       = permnos[i],
                                    t            = months[m],
                                    h            = summary(results)$conf.mat[2, ],
                                    value        = summary(results)$vmat[2, ] / total_var,
                                    lower_bound  = results$confidence$n3$low / total_var,
                                    upper_bound  = results$confidence$n3$high / total_var,
                                    var_is_const = test[, 2]
                                    )
                return(panel)
            }
            save(wvar, file = paste(dat_dir, "add_se/", "permno-", permnos[i],".Rdata", sep = ""))
        }
    }
}