NEWS.md

In highfrequency: Tools for Highfrequency Data Analysis

highfrequency 1.0.1

• New function: rmOutliersTrades
• Bug fix: exchangeHoursOnly doesn't work for xts
• Bug fix: rMinRVar and rMPVar didn't work with data.table

highfrequency 1.0.0

• Updated citation as a paper on our package will be published in the Journal of Statistical Software

highfrequency 0.9.5

• Fixing KaTeX note

highfrequency 0.9.4

• Fixing reverse dependency issues w.r.t. FKF
• Removed option based on BMS package because it got removed from CRAN

highfrequency 0.9.3

• HEAVY model test less strict
• Corrected bitwise '&' with boolean operand

highfrequency 0.9.2

• Export noZeroPrices

highfrequency 0.9.1

• Bug fix in ReMeDI estimator

highfrequency 0.9.0

• Fix typo where in spotVol, the stochastic periodicity was erroneously written as stochper instead of stochPer.
• Better consistency with the choices in spot* functions
• Add warning instead of print in detPer in spotVol. The periodic component is no longer set to 1 either, just warned that results may be weird.
• Implement Beta-Adjusted realized covariance estimation in the rBACov function
• Add plotTQData function to plot trades and quotes.
• Add ICov and IVar documentation pages that work as lists of implemented estimators of the integrated covariance and the integrated variance, respectively.
• Deprecated loads of realized measure estimators and added new versions, so we have a higher degree of uniformity in function names.
• More or less complete rework of HEAVY model and related functions
• Fix bug in HARCJ model, thanks to @SKMASON (Zhixi Shao) for reporting the bug and providing pointers for the fix.
• Better formatting of NEWS.md
• aggregateTS now accept both data.table and xts objects

highfrequency 0.8.0

• Various bugfixes and performance improvements
• Added lowercase "r" in front of realized measures that did not have it, so it can easily be found in IDEs with highfrequency::
• Added drift burst code
• Added Backwards - Forwards matching algorithm to cleaning step. Thanks to Kim Christensen for providing his Matlab code.
• removed various datasets, outdated TAQ format, simulated 5-minute prices, returns, and prices with jumps
• Added European sample data, anonymized one-minute data with anonymous stock and market data, as well as home-grown dataset with realized measures
• The arguments "on" and "k" in data handling is now "alignBy" and "alignPeriod" respectively. This means that the realized measures and data handling functions have similar notation
• Improved UX in data cleaning functions by having more clear report on the trades when prompted and adding defaults that follow the standard in the literature
• Added data.table support to (most) realized measures
• Added functions makeRMFormat and makeOHLCV to convert data from a long format to a format that can be used for realized measures, and to make arbitrary period bars.
• HARmodel has less 'RV' in the types - much easier to type and read, also it now supports an external regressor and has robust standard errors reported in the summary.
• add asymptotic variance estimator for ReMeDI estimation - thanks to Merrick Li for contributing his Matlab code
• In general, improved documentation. Also, better documentation of methods which were, in most cases undocumented and not clearly exported

highfrequency 0.7.0

• New naming convention
• Bugfix in BNSjumpTest, JOjumpTest, AJjumpTest. These functions behaved in an unexpected and inconsistent manner when the input spanned more than one day
• Bugfix in aggregateTS function which in edge cases returned data from AFTER the input data
• Implement intradayJumpTest function which allows for flexible Lee-Mykland style jump tests
• Implement rankJumpTest to test for the rank of the jump matrix
• Implement new features in spotVol. Now the local volatility can be estimated with realized measures, they can also be used with pre-averaged realized measures.
• Implement a wrapper around quantmod's getSymbols.av function
• harModel now includes Newey-West standard errors in the output
• Bugfix for refreshTime function and large performance improvement
• Implement CholCov estimator in rCholCov
• Bugfixes in data handling functions, which sometimes produced different results depending on the options(digits.secs) setting. Most data handling functions now run considerably faster as a consequence of internally using numerics for timestamps.
• Implemented new realized semi-covariance estimator in rSemiCov
• Implemented new lead-lag estimation in leadLag
• Implemented ReMeDI estimation in ReMeDI
• More transparently handle the lagging of quotes when matching these with trades, now the user has control of this.
• Add business time sampling
• Changes to the included datasets. The microseconds quote datasets have been thinned out aggressively for exchanges != "N"

highfrequency 0.6.5

• bug fix for kernelCov if cor = TRUE
• compatibility with lubridate 1.7.8

highfrequency 0.6.4

• bug fix in refreshTime (affected rMRC for n > 2)
• one additional test for rMRC
• updated realized library file until end of 2019

highfrequency 0.6.3

• aggregateTrades size aggregation bug fix

highfrequency 0.6.2

• spotVol and spotDrift do not assume naming convention for univariate time series anymore
• bug fix tpv and finite sample corrections

highfrequency 0.6.1

• bug fix for Fedora compilation

highfrequency 0.6.0

• all new backend
• documentation via roxygen2
• testing via test_that
• covr integration on github
• microsecond compatibility for WRDS files
• improved documentation
• new options in harModel
• updated data sets
• updated references
• cleanup of code basis

highfrequency 0.5

• converted so that it would work with Cran
• added missing data files
• compressed data files

highfrequency 0.4

• update package code github to version on rforge
• to do: print more output in tradesCleanup about the different filters
• correction to implementation AJjumptest by Giang

highfrequency documentation built on Oct. 4, 2023, 5:08 p.m.