| agg_ohlc | Aggregate a time series of data into a single bar of _OHLC_... |
| agg_stats_r | Calculate the aggregation (weighted average) of a statistical... |
| back_test | Simulate (backtest) a rolling portfolio optimization... |
| calc_covar | Calculate the covariance matrix of the columns of a _time... |
| calc_cvar | Calculate the Value at Risk (_VaR_) or the Conditional Value... |
| calc_eigen | Calculate the eigen decomposition of a square, symmetric... |
| calc_eigenp | Calculate the partial eigen decomposition of a dense... |
| calc_endpoints | Calculate a vector of end points that divides an integer time... |
| calc_hurst | Calculate the Hurst exponent from the volatility ratio of... |
| calc_hurst_ohlc | Calculate the Hurst exponent from the volatility ratio of... |
| calc_inv | Calculate the _reduced inverse_ of a symmetric _matrix_ of... |
| calc_invrec | Calculate the approximate inverse of a square _matrix_... |
| calc_invref | Calculate the inverse of a square _matrix_ in place, without... |
| calc_invsvd | Calculate the _reduced inverse_ of a _matrix_ of data using... |
| calc_kurtosis | Calculate the kurtosis of the columns of a _time series_ or a... |
| calc_lm | Perform multivariate linear regression using least squares... |
| calc_mean | Calculate the mean (location) of the columns of a _time... |
| calc_ranks | Calculate the ranks of the elements of a single-column _time... |
| calc_ranks_stl | Calculate the ranks of the elements of a single-column _time... |
| calc_reg | Perform multivariate regression using different methods, and... |
| calc_scale | Standardize (center and scale) the columns of a _time series_... |
| calc_skew | Calculate the skewness of the columns of a _time series_ or a... |
| calc_startpoints | Calculate a vector of start points by lagging (shifting) a... |
| calc_var | Calculate the dispersion (variance) of the columns of a _time... |
| calc_var_ag | Calculate the variance of returns aggregated over the end... |
| calc_var_ohlc | Calculate the variance of returns from _OHLC_ prices using... |
| calc_var_ohlc_ag | Calculate the variance of aggregated _OHLC_ prices using... |
| calc_var_ohlc_r | Calculate the variance of an _OHLC_ time series, using... |
| calc_varvec | Calculate the variance of a single-column _time series_ or a... |
| calc_weights | Calculate the optimal portfolio weights using a variety of... |
| decode_it | Calculate the _vector_ of data from its run length encoding. |
| diffit | Calculate the row differences of a _time series_ or a... |
| diff_vec | Calculate the differences between the neighboring elements of... |
| encode_it | Calculate the run length encoding of a single-column _time... |
| hf_data | High frequency data sets |
| lagit | Apply a lag to the rows of a _time series_ or a _matrix_... |
| lag_vec | Apply a lag to a single-column _time series_ or a _vector_... |
| lik_garch | Calculate the log-likelihood of a time series of returns... |
| mult_mat | Multiply element-wise the rows or columns of a _matrix_ times... |
| mult_mat_ref | Multiply the rows or columns of a _matrix_ times a _vector_,... |
| ohlc_returns | Calculate single period percentage returns from either _TAQ_... |
| ohlc_sharpe | Calculate time series of point Sharpe-like statistics for... |
| ohlc_skew | Calculate time series of point skew estimates from a _OHLC_... |
| ohlc_variance | Calculate a time series of point estimates of variance for an... |
| param_portf | Create a named list of model parameters that can be passed... |
| param_reg | Create a named list of model parameters that can be passed... |
| push_cov2cor | Calculate the correlation matrix from the covariance matrix. |
| push_covar | Update the trailing covariance matrix of streaming asset... |
| push_eigen | Update the trailing eigen values and eigen vectors of... |
| push_sga | Update the trailing eigen values and eigen vectors of... |
| random_ohlc | Calculate a random _OHLC_ time series of prices and trading... |
| random_taq | Calculate a random _TAQ_ 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 rolling convolutions (weighted sums) of a _time... |
| roll_count | Count the number of consecutive 'TRUE' elements in a Boolean... |
| roll_hurst | Calculate a time series of _Hurst_ exponents over a rolling... |
| roll_kurtosis | Calculate a _matrix_ of kurtosis estimates over a rolling... |
| roll_mean | Calculate a _matrix_ of mean (location) estimates over a... |
| roll_moment | Calculate a _matrix_ of moment values over a rolling... |
| roll_ohlc | Aggregate a time series to an _OHLC_ time series with lower... |
| roll_reg | Perform a rolling regression and calculate a matrix of... |
| roll_scale | Perform a rolling standardization (centering and scaling) of... |
| roll_sharpe | Calculate a time series of Sharpe ratios over a rolling... |
| roll_skew | Calculate a _matrix_ of skewness estimates over a rolling... |
| roll_stats | Calculate a vector of statistics over an _OHLC_ time series,... |
| roll_sum | Calculate the rolling sums over a _time series_ or a _matrix_... |
| roll_sumep | Calculate the rolling sums at the end points of a _time... |
| roll_sumw | Calculate the rolling weighted sums over a _time series_ or a... |
| roll_var | Calculate a _matrix_ of dispersion (variance) estimates over... |
| roll_var_ohlc | Calculate a _vector_ of variance estimates over a rolling... |
| roll_varvec | Calculate a _vector_ of variance estimates over a rolling... |
| roll_vwap | Calculate the volume-weighted average price of an _OHLC_ time... |
| roll_zscores | Calculate a _vector_ of z-scores of the residuals of rolling... |
| run_autocovar | Calculate the trailing autocovariance of a _time series_ of... |
| run_covar | Calculate the trailing covariances of two streaming _time... |
| run_max | Calculate the trailing maximum values of streaming _time... |
| run_mean | Calculate the exponential moving average (EMA) of streaming... |
| run_min | Calculate the trailing minimum values of streaming _time... |
| run_reg | Perform regressions on the streaming _time series_ of... |
| run_scale | Standardize (center and scale) the columns of a _time series_... |
| run_var | Calculate the trailing variance of streaming _time series_ of... |
| run_var_ohlc | Calculate the trailing variance of streaming _OHLC_ price... |
| run_zscores | Calculate the trailing means, volatilities, and z-scores of a... |
| 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_ar | Simulate _autoregressive_ returns by recursively filtering a... |
| sim_df | Simulate a _Dickey-Fuller_ process using _Rcpp_. |
| sim_garch | Simulate or estimate the rolling variance under a... |
| sim_ou | Simulate an _Ornstein-Uhlenbeck_ process using _Rcpp_. |
| sim_portfoptim | Simulate a portfolio optimization strategy using online... |
| sim_schwartz | Simulate a _Schwartz_ process using _Rcpp_. |
| which_extreme | Calculate a _Boolean_ vector that identifies extreme tail... |
| which_jumps | Calculate a _Boolean_ vector that identifies isolated jumps... |
