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.

Install the latest version of this package by entering the following in R:
AuthorKris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
Date of publication2017-02-15 19:07:34
MaintainerKris Boudt <Kris.Boudt@econ.kuleuven.be>
LicenseGPL (>= 2)

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 quad-power 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 tri-power 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


aggregatePrice Man page
aggregateQuotes Man page
aggregateTrades Man page
aggregatets Man page
AJjumptest Man page
autoSelectExchangeQuotes Man page
autoSelectExchangeTrades Man page
BNSjumptest Man page
convert Man page
exchangeHoursOnly Man page
getPrice Man page
getTradeDirection Man page
harModel Man page
has.Ask Man page
has.AskSize Man page
has.Bid Man page
has.BidSize Man page
has.Price Man page
has.Qty Man page
has.Trade Man page
heavyModel Man page
heavyModelC Man page
highfrequency Man page
highfrequency-package Man page
is.BBO Man page
is.TBBO Man page
ivInference Man page
JOjumptest Man page
lltc.xts Man page
makePsd Man page
makeReturns Man page
matchTradesQuotes Man page
medRQ Man page
medRV Man page
mergeQuotesSameTimestamp Man page
mergeTradesSameTimestamp Man page
minRQ Man page
minRV Man page
MRC Man page
noZeroPrices Man page
noZeroQuotes Man page
previoustick Man page
quotesCleanup Man page
rAccumulation Man page
rAVGCov Man page
rBeta Man page
rBPCov Man page
rCov Man page
rCumSum Man page
realized_library Man page
refreshTime Man page
rHYCov Man page
rKernel.available Man page
rKernelCov Man page
rKurt Man page
rMarginal Man page
rmLargeSpread Man page
rmNegativeSpread Man page
rmOutliers Man page
rMPV Man page
rmTradeOutliers Man page
rOWCov Man page
rQPVar Man page
rQuar Man page
rScatterReturns Man page
rSkew Man page
rSV Man page
rThresholdCov Man page
rTPVar Man page
rZero Man page
salesCondition Man page
sample_5minprices Man page
sample_5minprices_jumps Man page
sample_qdata Man page
sample_qdataraw Man page
sample_real5minprices Man page
sample_returns_5min Man page
sample_tdata Man page
sample_tdataraw Man page
sbux.xts Man page
selectExchange Man page
spotvol Man page
TAQLoad Man page
tqLiquidity Man page
tradesCleanup Man page
tradesCleanupFinal Man page


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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.