Man pages for algoquant/HighFreq
High Frequency Time Series Management

agg_regateCalculate the aggregation (weighted average) of a statistical...
back_testSimulate (backtest) a rolling portfolio optimization...
calc_eigenCalculate the eigen decomposition of the covariance _matrix_...
calc_invCalculate the regularized inverse of the covariance _matrix_...
calc_lmPerform multivariate linear regression using _Rcpp_.
calc_scaledScale (standardize) the columns of a _matrix_ of data using...
calc_varCalculate the variance of the columns of a _matrix_ or _time...
calc_var_ohlcCalculate the variance of an _OHLC time series_, using...
calc_var_ohlc_rCalculate the variance of an _OHLC_ time series, using...
calc_var_vecCalculate the variance of a _vector_ or a single-column _time...
calc_weightsCalculate the optimal portfolio weights for different...
diff_itCalculate the row differences of a _matrix_ or a _time...
diff_vecCalculate the differences of a _vector_ or a single-column...
hf_dataHigh frequency data sets
lag_itApply a lag to a _matrix_ or _time series_ using...
lag_vecApply a lag to a _vector_ or a single-column _time series_...
mult_vec_matMultiply the columns or rows of a _matrix_ times a _vector_,...
random_OHLCCalculate a random _OHLC_ time series of prices and trading...
remove_jumpsRemove overnight close-to-open price jumps from an _OHLC_...
roll_applyApply an aggregation function over a rolling look-back...
roll_backtestPerform a backtest simulation of a trading strategy (model)...
roll_convCalculate the convolutions of the _matrix_ columns with a...
roll_hurstCalculate a time series of _Hurst_ exponents over a rolling...
roll_momentCalculate a vector of statistics over an _OHLC_ time series,...
roll_scalePerform a rolling scaling (standardization) of the columns of...
roll_sharpeCalculate a time series of Sharpe ratios over a rolling...
roll_sumCalculate the rolling sum over a _vector_ or a single-column...
roll_varCalculate a _matrix_ of variance estimates over a rolling...
roll_var_ohlcCalculate a _vector_ of variance estimates over a rolling...
roll_var_vecCalculate a _vector_ of variance estimates over a rolling...
roll_vwapCalculate the volume-weighted average price of an _OHLC_ time...
roll_wsumCalculate the rolling weighted sum over a _vector_ or a...
roll_zscoresPerform rolling regressions over the rows of the design...
run_returnsCalculate single period percentage returns from either _TAQ_...
run_sharpeCalculate time series of Sharpe-like statistics for each row...
run_skewCalculate time series of skew estimates from a _OHLC_ time...
run_varianceCalculate a time series of point estimates of variance for an...
save_retsLoad, scrub, aggregate, and rbind multiple days of _TAQ_ data...
save_rets_ohlcLoad _OHLC_ time series data for a single symbol, calculate...
save_scrub_aggLoad, scrub, aggregate, and rbind multiple days of _TAQ_ data...
save_TAQLoad and scrub multiple days of _TAQ_ data for a single...
scrub_aggScrub a single day of _TAQ_ data, aggregate it, and convert...
scrub_TAQScrub a single day of _TAQ_ data in _xts_ format, without...
season_alityPerform seasonality aggregations over a single-column _xts_...
sim_arimaRecursively filter a _vector_ of innovations through a...
sim_garchSimulate a _GARCH_ process using _Rcpp_.
sim_ouSimulate an _Ornstein-Uhlenbeck_ process using _Rcpp_.
which_extremeCalculate a _Boolean_ vector that identifies extreme tail...
which_jumpsCalculate a _Boolean_ vector that identifies isolated jumps...
algoquant/HighFreq documentation built on Dec. 1, 2019, 11:36 a.m.