High Frequency Time Series Management

agg_regate | Calculate the aggregation (weighted average) of a statistical... |

back_test | Simulate (backtest) a rolling portfolio optimization... |

calc_eigen | Calculate the eigen decomposition of the covariance _matrix_... |

calc_inv | Calculate the regularized inverse of the covariance _matrix_... |

calc_lm | Perform multivariate linear regression using _Rcpp_. |

calc_scaled | Scale (standardize) the columns of a _matrix_ of data using... |

calc_var | Calculate the variance of the columns of a _matrix_ or _time... |

calc_var_ohlc | Calculate the variance of an _OHLC time series_, using... |

calc_var_ohlc_r | Calculate the variance of an _OHLC_ time series, using... |

calc_var_vec | Calculate the variance of a _vector_ or a single-column _time... |

calc_weights | Calculate the optimal portfolio weights for different... |

diff_it | Calculate the row differences of a _matrix_ or a _time... |

diff_vec | Calculate the differences of a _vector_ or a single-column... |

hf_data | High frequency data sets |

lag_it | Apply a lag to a _matrix_ or _time series_ using... |

lag_vec | Apply a lag to a _vector_ or a single-column _time series_... |

mult_vec_mat | Multiply the columns or rows of a _matrix_ times a _vector_,... |

random_OHLC | Calculate a random _OHLC_ time series of prices and trading... |

remove_jumps | Remove overnight close-to-open price jumps from an _OHLC_... |

roll_apply | Apply an aggregation function over a rolling look-back... |

roll_backtest | Perform a backtest simulation of a trading strategy (model)... |

roll_conv | Calculate the convolutions of the _matrix_ columns with a... |

roll_hurst | Calculate a time series of _Hurst_ exponents over a rolling... |

roll_moment | Calculate a vector of statistics over an _OHLC_ time series,... |

roll_scale | Perform a rolling scaling (standardization) of the columns of... |

roll_sharpe | Calculate a time series of Sharpe ratios over a rolling... |

roll_sum | Calculate the rolling sum over a _vector_ or a single-column... |

roll_var | Calculate a _matrix_ of variance estimates over a rolling... |

roll_var_ohlc | Calculate a _vector_ of variance estimates over a rolling... |

roll_var_vec | Calculate a _vector_ of variance estimates over a rolling... |

roll_vwap | Calculate the volume-weighted average price of an _OHLC_ time... |

roll_wsum | Calculate the rolling weighted sum over a _vector_ or a... |

roll_zscores | Perform rolling regressions over the rows of the design... |

run_returns | Calculate single period percentage returns from either _TAQ_... |

run_sharpe | Calculate time series of Sharpe-like statistics for each row... |

run_skew | Calculate time series of skew estimates from a _OHLC_ time... |

run_variance | Calculate a time series of point estimates of variance for an... |

save_rets | Load, scrub, aggregate, and rbind multiple days of _TAQ_ data... |

save_rets_ohlc | Load _OHLC_ time series data for a single symbol, calculate... |

save_scrub_agg | Load, scrub, aggregate, and rbind multiple days of _TAQ_ data... |

save_TAQ | Load and scrub multiple days of _TAQ_ data for a single... |

scrub_agg | Scrub a single day of _TAQ_ data, aggregate it, and convert... |

scrub_TAQ | Scrub a single day of _TAQ_ data in _xts_ format, without... |

season_ality | Perform seasonality aggregations over a single-column _xts_... |

sim_arima | Recursively filter a _vector_ of innovations through a... |

sim_garch | Simulate a _GARCH_ process using _Rcpp_. |

sim_ou | Simulate an _Ornstein-Uhlenbeck_ process using _Rcpp_. |

which_extreme | Calculate a _Boolean_ vector that identifies extreme tail... |

which_jumps | Calculate a _Boolean_ vector that identifies isolated jumps... |

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