Hi Ilya, If your focus is on intraday price shocks - you could check out our PortfolioEffectHFT package.
Right now it's available at: https://www.portfolioeffect.com/docs/platform/quant/downloads It would also be available on CRAN shortly under BSD license - we are doing second round of submission corrections. The setting you might be interested is https://www.portfolioeffect.com/docs/platform/quant/manuals/portfolio-settings/model-pipeline#jumps_model It is using a combination of several jump detection methods (quantile, wavelet-based, etc.). For intraday volatility estimators see portfolio_variance <https://www.portfolioeffect.com/docs/platform/quant/functions/absolute-risk-measures/portfolio-variance> & position_ <https://www.portfolioeffect.com/docs/platform/quant/functions/absolute-risk-measures/position-variance> variance <https://www.portfolioeffect.com/docs/platform/quant/functions/absolute-risk-measures/position-variance> methods. PortfolioEffect service is free to use with your own pricing data. There is optional access to HF market data history for 8000+ US equities since 2013 if you need that. Best, Alex 2015-09-28 17:55 GMT-04:00 Ilya Kipnis <ilya.kip...@gmail.com>: > So, I'm back to researching trading strategies on volatility. However, as > the mailing list knows, volatility ETFs are characterized by price shocks > more often than not, causing rapid drawdowns. One example would be, say, > the closing price of XIV from late April to mid-May in 2010, late 2011, the > SPY correction in 2011, or the more recent one last month during the China > meltdown. > > Does anyone have any R package that they can recommend for detecting such > quick corrections in a systematic manner? > > Thanks a lot. > > -Ilya > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.