highfrequency: Tools For Highfrequency Data Analysis

Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.

Author
Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
Date of publication
2014-11-28 11:27:28
Maintainer
Kris Boudt <Kris.Boudt@econ.kuleuven.be>
License
GPL (>= 2)
Version
0.4

View on CRAN

Man pages

aggregatePrice
Aggregate a time series but keep first and last observation
aggregateQuotes
Aggregate an xts object containing quote data
aggregateTrades
Aggregate an xts object containing trade data
aggregatets
Aggregate a time series
AJjumptest
Ait- Sahalia and Jacod (2009) tests for the presence of jumps...
autoSelectExchangeQuotes
Retain only data from the stock exchange with the highest...
autoSelectExchangeTrades
Retain only data from the stock exchange with the highest...
BNSjumptest
Barndorff- Nielsen and Shephard (2006) tests for the presence...
convert
Convert trade or quote data into xts object saved in the...
ExchangeHoursOnly
Extract data from an xts object for the Exchange Hours Only
getPrice
get price column(s) from a timeseries
getTradeDirection
Get trade direction
harModel
HAR model estimation (Heterogeneous Autoregressive model for...
has.Qty
check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and...
heavyModel
HEAVY Model estimation
heavyModelC
HEAVY Model estimation using C code
highfrequency-package
Tools For Highfrequency Data Analysis
ivInference
Function returns the value, the standard error and the...
JOjumptest
Jiang and Oomen (2008) tests for the presence of jumps in the...
lltc.xts
LLTC Data
makePsd
Returns the positive semidinite projection of a symmetric...
makeReturns
Compute log returns
matchTradesQuotes
Match trade and quote data
medRQ
An estimator of integrated quarticity from applying the...
medRV
medRV
mergequotessametimestamp
Merge multiple quote entries with the same time stamp
mergeTradesSameTimestamp
Merge multiple transactions with the same time stamp
minRQ
An estimator of integrated quarticity from applying the...
minRV
minRV
MRC
Modulated Realized Covariance (MRC): Return univariate or...
nozeroprices
Delete the observations where the price is zero
nozeroquotes
Delete the observations where the bid or ask is zero
previoustick
previoustick (internal function)
quotescleanup
Cleans quote data
rAccumulation
Realized Accumulation Plot
rAVGCov
Realized Covariance: Average Subsample
rBeta
Realized beta: a tool in measuring risk with respect to the...
rBPCov
Realized BiPower Covariance
rCov
Realized Covariance
rCumSum
Plot cummulative returns
realized_library
The realized library from the Oxford-Man Institute of...
refreshTime
Synchronize (multiple) irregular timeseries by refresh time
rHYCov
Hayashi-Yoshida Covariance
rKernel.available
Available Kernels
rKernelCov
Realized Covariance: Kernel
RKurt
Realized kurtosis of highfrequency return series.
rMarginal
Maginal Contribution to Realized Estimate
rmlargespread
Delete entries for which the spread is more than "maxi" times...
rmNegativeSpread
Delete entries for which the spread is negative
rmoutliers
Delete entries for which the mid-quote is outlying with...
rMPV
Realized multipower variation (MPV), an estimator of...
rmtradeoutliers
Delete transactions with unlikely transaction prices
rOWCov
Realized Outlyingness Weighted Covariance
RQPVar
Realized quadpower variation of highfrequency return series.
RQuar
Realized quarticity of highfrequency return series.
rScatterReturns
Scatterplot of aligned returns
RSkew
Realized skewness of highfrequency return series.
RsV
Realized semivariance of highfrequency return series.
rThresholdCov
Threshold Covariance
RTPVar
Realized tripower variation of highfrequency return series.
rZero
Calculates the percentage of co-zero returns at a specified...
salesCondition
Delete entries with abnormal Sale Condition.
sample_5minprices
Ten artificial time series for the NYSE trading days during...
sample_5minprices_jumps
Ten artificial time series (including jumps) for the NYSE...
sample_qdata
Sample of cleaned quotes for stock XXX for 1 day
sample_qdataraw
Sample of raw quotes for stock XXX for 1 day
sample_real5minprices
Sample of imaginary price data for 61 days
sample_returns_5min
Sample returns data
sample_tdata
Sample of cleaned trades for stock XXX for 1 day
sample_tdataraw
Sample of raw trades for stock XXX for 1 day
sbux.xts
Starbucks Data
selectexchange
Retain only data from a single stock exchange
spotvol
Spot volatility estimation
TAQload
Load trade or quote data into R
tqLiquidity
Calculate numerous (23) liquidity measures
tradescleanup
Cleans trade data
tradesCleanupFinal
Perform a final cleaning procedure on trade data

Files in this package

highfrequency
highfrequency/src
highfrequency/src/highfrequency.h
highfrequency/src/highfrequency.c
highfrequency/NAMESPACE
highfrequency/data
highfrequency/data/sample_qdataraw.RData
highfrequency/data/sample_real5minprices.RData
highfrequency/data/sample_qdata.RData
highfrequency/data/sample_tdataraw.RData
highfrequency/data/sample_returns_5min.rda
highfrequency/data/sample_5minprices_jumps.RData
highfrequency/data/sample_5minprices.RData
highfrequency/data/datalist
highfrequency/data/sample_tdata.RData
highfrequency/data/realized_library.RData
highfrequency/data/lltc.xts.rda
highfrequency/data/sbux.xts.rda
highfrequency/R
highfrequency/R/spotvol.r
highfrequency/R/quantmod_patch.R
highfrequency/R/realized.R
highfrequency/R/highfrequencyGSOC.R
highfrequency/vignettes
highfrequency/vignettes/highfrequency.pdf
highfrequency/MD5
highfrequency/DESCRIPTION
highfrequency/man
highfrequency/man/getTradeDirection.Rd
highfrequency/man/RSkew.Rd
highfrequency/man/rKernel.available.Rd
highfrequency/man/rmlargespread.Rd
highfrequency/man/rBeta.Rd
highfrequency/man/sample_5minprices.Rd
highfrequency/man/rmoutliers.Rd
highfrequency/man/tradesCleanupFinal.Rd
highfrequency/man/medRQ.Rd
highfrequency/man/heavyModelC.Rd
highfrequency/man/rMarginal.Rd
highfrequency/man/RKurt.Rd
highfrequency/man/rScatterReturns.Rd
highfrequency/man/tradescleanup.Rd
highfrequency/man/aggregateTrades.Rd
highfrequency/man/rmtradeoutliers.Rd
highfrequency/man/sample_5minprices_jumps.Rd
highfrequency/man/getPrice.Rd
highfrequency/man/previoustick.Rd
highfrequency/man/TAQload.Rd
highfrequency/man/mergequotessametimestamp.Rd
highfrequency/man/RQuar.Rd
highfrequency/man/highfrequency-package.Rd
highfrequency/man/aggregatets.Rd
highfrequency/man/realized_library.Rd
highfrequency/man/RQPVar.Rd
highfrequency/man/medRV.Rd
highfrequency/man/quotescleanup.Rd
highfrequency/man/sample_tdata.Rd
highfrequency/man/selectexchange.Rd
highfrequency/man/rKernelCov.Rd
highfrequency/man/sample_qdataraw.Rd
highfrequency/man/convert.Rd
highfrequency/man/autoSelectExchangeQuotes.Rd
highfrequency/man/aggregateQuotes.Rd
highfrequency/man/rZero.Rd
highfrequency/man/harModel.Rd
highfrequency/man/MRC.Rd
highfrequency/man/salesCondition.Rd
highfrequency/man/rHYCov.Rd
highfrequency/man/matchTradesQuotes.Rd
highfrequency/man/nozeroprices.Rd
highfrequency/man/rCumSum.Rd
highfrequency/man/mergeTradesSameTimestamp.Rd
highfrequency/man/rmNegativeSpread.Rd
highfrequency/man/RTPVar.Rd
highfrequency/man/sample_real5minprices.Rd
highfrequency/man/ivInference.Rd
highfrequency/man/minRV.Rd
highfrequency/man/rBPCov.Rd
highfrequency/man/rOWCov.Rd
highfrequency/man/tqLiquidity.Rd
highfrequency/man/RsV.Rd
highfrequency/man/refreshTime.Rd
highfrequency/man/rMPV.Rd
highfrequency/man/makeReturns.Rd
highfrequency/man/rAVGCov.Rd
highfrequency/man/JOjumptest.Rd
highfrequency/man/ExchangeHoursOnly.Rd
highfrequency/man/rThresholdCov.Rd
highfrequency/man/sample_tdataraw.Rd
highfrequency/man/AJjumptest.Rd
highfrequency/man/autoSelectExchangeTrades.Rd
highfrequency/man/rAccumulation.Rd
highfrequency/man/makePsd.Rd
highfrequency/man/aggregatePrice.Rd
highfrequency/man/rCov.Rd
highfrequency/man/sample_qdata.Rd
highfrequency/man/nozeroquotes.Rd
highfrequency/man/rRTSCov.rd
highfrequency/man/lltc.xts.Rd
highfrequency/man/BNSjumptest.Rd
highfrequency/man/heavyModel.Rd
highfrequency/man/has.Qty.Rd
highfrequency/man/spotvol.Rd
highfrequency/man/sample_returns_5min.Rd
highfrequency/man/minRQ.Rd
highfrequency/man/rTSCov.rd
highfrequency/man/sbux.xts.Rd