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 |
autoSelectExchangeQuotes | Retain only data from the stock exchange with the highest... |
autoSelectExchangeTrades | Retain only data from the stock exchange with the highest... |
convert | Convert trade or quote data into xts object saved in the... |
ExchangeHoursOnly | Extract data from an xts object for the Exchange Hours Only |
getTradeDirection | Get trade direction |
harModel | HAR model estimation (Heterogeneous Autoregressive model for... |
makePsd | Returns the positive semidinite projection of a symmetric... |
makeReturns | Compute log returns |
matchTradesQuotes | Match trade and quote data |
medianN | medianN (internal function) |
MedRV | MedRV |
mergequotessametimestamp | Merge multiple quote entries with the same time stamp |
mergeTradesSameTimestamp | Merge multiple transactions with the same time stamp |
MinRV | MinRV |
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 |
RBPCov | Realized BiPower Covariance |
RCov | Realized Covariance |
realized_library | The realized library from the Oxford-Man Institute of... |
refreshTime | Synchronize (multiple) irregular timeseries by refresh time |
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... |
rmtradeoutliers | Delete transactions with unlikely transaction prices |
ROWCov | Realized Outlyingness Weighted Covariance |
RTAQ-package | RTAQ: Tools for the analysis of trades and quotes in R |
RTSCov | Robust two time scale covariance estimation |
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_tdata | Sample of cleaned trades for stock XXX for 1 day |
sample_tdataraw | Sample of raw trades for stock XXX for 1 day |
selectexchange | Retain only data from a single stock exchange |
spotVol | Spot volatility estimation |
sumN | sumN (internal function) |
TAQload | Load trade or quote data into R |
thresholdcov | Threshold Covariance |
tqLiquidity | Calculate numerous (23) liquidity measures |
tradescleanup | Cleans trade data |
tradesCleanupFinal | Perform a final cleaning procedure on trade data |
TSCov | Two time scale covariance estimation |
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