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c ##############################################################################
c XtsTools - dv subroutine
C This library is free software; you can redistribute it and/or
C modify it under the terms of the GNU Library General Public
C License as published by the Free Software Foundation; either
C version 2 of the License, or (at your option) any later version.
C
C This library is distributed in the hope that it will be useful,
C but WITHOUT ANY WARRANTY; without even the implied warranty of
C MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
C GNU Library General Public License for more details.
C
C You should have received a copy of the GNU Library General
C Public License along with this library; if not, write to the
C Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
C MA 02111-1307 USA
C
C Bin-Zhou's Devolatilization Procedure
C
C Subroutine written by Diethelm Wuertz
C www.rmetrics.org
C
C s(nt) original time series of log prices
C ms(nt) index
C nt their lengths
C k length of averaging interval
C vmax volatility threshold
subroutine dv(vmax, s, ms, nt, ns, k)
C
C>>> DECLARATIONS:
integer nt, ms(nt), k, ns, m, j
real*8 v, vmax, s(nt)
real*8 s1, s2, ok, tks
C
C>>> SETTINGS:
ns=0
m=k
ok=1.0d0/real(k)
tks=2.0d0/real(k*k)
do i=1, nt
ms(i)=-1
enddo
C
C>>> DEVOLATILIZATION:
11 continue
v=0.0d0
do i=m+1, nt
v=v+ok*(s(i-k)-s(i))**2
do j=0, k-1
s1=s(i-j-1)-s(i-j)
s2=s(i-j-2)-s(i-j-1)
v=v+tks*s1*s2
enddo
if (v.ge.vmax) then
ns=ns+1
m=i
if (ns.lt.nt) ms(i)=+1
if(m.lt.nt) goto 11
endif
enddo
C
return
end
c ##############################################################################
c XtsTools - fxfilter subroutine
C
C
C This library is free software; you can redistribute it and/or
C modify it under the terms of the GNU Library General Public
C License as published by the Free Software Foundation; either
C version 2 of the License, or (at your option) any later version.
C
C This library is distributed in the hope that it will be useful,
C but WITHOUT ANY WARRANTY; without even the implied warranty of
C MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
C GNU Library General Public License for more details.
C
C You should have received a copy of the GNU Library General
C Public License along with this library; if not, write to the
C Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
C MA 02111-1307 USA
C
C Copyright Diethelm Wuertz
C
C
C*************************************************************
C Filterprogram
C A Fortran subroutine written by Diethelm Wuertz
C License GPL
C www.rmetrics.org
C*************************************************************
C
subroutine fxfilter(xjulian,bid,ask,fparm,index,nd)
C
C>>> DECLARATIONS:
implicit real*8 (a-h,o-z)
dimension xjulian(nd),bid(nd),ask(nd)
dimension fparm(9)
dimension index(nd)
C
C>>> STANDARD FILTERS STRONG/WEAK:
C D, S, A, Q, C, T, U, V, W
C /0.5,2.0,0.18,0.25,1.3,45.0,4.0,0.00010,0.025/ ! strong
C /0.5,2.2,0.27,0.40,1.5,75.0,5.5,0.00008,0.004/ ! weak
C
C>>> FILTER PARAMETERS:
D=fparm(1)
S=fparm(2)
A=fparm(3)
Q=fparm(4)
C=fparm(5)
T=fparm(6)
U=fparm(7)
V=fparm(8)
W=fparm(9)
A=A*(1.0d0)/((24.0d0*60.0d0)**D)
T=T*(1.0d0)/((24.0d0*60.0d0)**D)
C
C>>> FILTER PROCESS:
C !read first data record and assume it to be validated
n=1
nacc=1
xjul1=xjulian(n)
vbid=bid(n)
vask=ask(n)
p1=0.5*(vbid+vask) !initial midprice
bid1=vbid !initial bidprice
valbid=dlog(vbid) !validated log-price
valspr=dlog(vask)-dlog(vbid) !validated log-spread
index(n)=n
C
do n=2,nd
if (ask(n).le.bid(n)) goto 441 !skip wrong prices
if (bid(n).eq.0.) goto 441 !zero bid price
if (ask(n).eq.0.) goto 441 !zero ask price
ttime=(xjulian(n)-xjul1+1.0d0) !time difference in min
naccept=0
C !filtering of the price:
tbid=dlog(bid(n))
test1=dabs(tbid-valbid)
if(test1.lt.Q) naccept=naccept+1
if(test1.lt.S*valspr+A*(ttime**D)) naccept=naccept+1
C !filtering of the spread:
tspr=dlog(ask(n))-dlog(bid(n))
if(tspr.ge.V) naccept=naccept+1
if(tspr.lt.W) naccept=naccept+1
tlog=dabs(dlog(tspr/valspr))
if(tlog.lt.U) naccept=naccept+1
if(tlog.lt.C+T*(ttime**D)) naccept=naccept+1
C !filtering results:
if(naccept.eq.6) then
xjul1=xjulian(n)
valbid=tbid
valspr=tspr
vbid=bid(n)
vask=ask(n)
nacc=nacc+1
index(n)=n
else
index(n)=-n
endif
441 continue
enddo
C
return
end
C
subroutine fxvarmin(bid,ask,vbid,vask,julian,icount,nx,nv)
C
C>>> DECLARATIONS:
implicit real*8 (a-h,o-z)
dimension julian(nx),bid(nx),ask(nx)
dimension vbid(nv), vask(nv)
dimension icount(nv)
C
do i=1,nv
vbid(i)=0.0
vask(i)=0.0
icount(i)=0
enddo
C
ic=1
jindex=julian(1)
vbid(ic)=vbid(ic)+bid(1)
vask(ic)=vask(ic)+ask(1)
icount(ic)=1
C
do n=2,nx
if(julian(n).gt.jindex) then
jindex=julian(n)
ic=ic+1
if(ic.gt.nv) return
endif
vbid(ic)=vbid(ic)+bid(n)
vask(ic)=vask(ic)+ask(n)
icount(ic)=icount(ic)+1
enddo
C
do i=1,nv
vbid(i)=vbid(i)/icount(i)
vask(i)=vask(i)/icount(i)
enddo
C
return
end
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