API for jonathancornelissen/highfrequency
Tools for Highfrequency Data Analysis
| Global functions | |
|---|---|
| ABDJumptest | Source code |
| AJjumpTest | Man page Source code |
| AsymptoticVarianceC | Source code |
| AutomaticLagSelectionC | Source code |
| BFMalgorithm | Source code |
| BNSjumpTest | Man page |
| Bj | Man page Source code |
| BoxCox__ | Source code |
| DBHCriticalValues | Source code |
| DriftBurstLoopC | Source code |
| DriftBurstLoopCPAR | Source code |
| HARmodel | Man page |
| HEAVYmodel | Man page Source code |
| HRweight | Source code |
| ICov | Man page |
| ISE | Source code |
| IV | Source code |
| IVar | Man page |
| IVinference | Man page Source code |
| JOjumpTest | Man page Source code |
| KK | Source code |
| MDtest | Man page Source code |
| RBPCov_bi | Man page Source code |
| RBPVar | Source code |
| ROWVar | Source code |
| RTSRV | Source code |
| RV | Man page Source code |
| ReMeDI | Man page Source code |
| ReMeDIAsymptoticVariance | Man page Source code |
| SPYRM | Man page |
| TSRV | Source code |
| WSDnozero | Source code |
| `:=` | Source code |
| aggregatePrice | Man page Source code |
| aggregateQuotes | Man page Source code |
| aggregateTS | Man page |
| aggregateTrades | Man page Source code |
| applyGetList | Source code |
| autoSelectExchangeQuotes | Man page Source code |
| autoSelectExchangeTrades | Man page Source code |
| avarMCD | Source code |
| bacHY | Source code |
| bacImpliedBetaCpp | Source code |
| bacImpliedBetaHYCpp | Source code |
| businessTimeAggregation | Man page Source code |
| calcRecVarEq | Source code |
| calculateNpk | Source code |
| calculateV | Source code |
| center | Source code |
| cfactor_RTSCV | Source code |
| cfilter | Source code |
| changePoints | Source code |
| checkColumnNames | Source code |
| checkMultiDays | Source code |
| checkqData | Source code |
| checktData | Source code |
| cholCovrMRCov | Man page Source code |
| colCumsum | Source code |
| conHR | Source code |
| conhuber | Source code |
| countzeroes | Source code |
| crv | Source code |
| ctBV | Source code |
| detPer | Source code |
| diurnalfit | Source code |
| driftBursts | Man page Source code |
| driftKernel | Source code |
| driftMean | Source code |
| driftMedian | Source code |
| estbandwidth | Source code |
| estimhar | Source code |
| exchangeHoursOnly | Man page Source code |
| fastTickAggregation_DATA.TABLE | Source code |
| fastTickAggregation_DATA.TABLE_RETURNS | Source code |
| findFirst | Source code |
| finternal | Source code |
| fit2d3rdDegree | Source code |
| flat | Source code |
| fmupk | Source code |
| forecastsHEAVY | Source code |
| garch_s | Source code |
| gatherPrices | Man page Source code |
| getAlignPeriod | Source code |
| getAlphaVantageData | Man page Source code |
| getCriticalValues | Man page Source code |
| getCriticalValues.DBH | Man page Source code |
| getLiquidityMeasures | Man page Source code |
| getTradeDirection | Man page Source code |
| gfunction | Source code |
| har_agg | Source code |
| hatIV | Source code |
| hatreturn | Source code |
| heavyLLH | Source code |
| highfrequency | Man page |
| highfrequency-package | Man page |
| huberweight | Source code |
| internalAggregateTSDT | Source code |
| internalAggregateTSXTS | Source code |
| intradayJumpTest | Man page Source code |
| intraday_regressors | Source code |
| isMultiXts | Source code |
| jumpDetection | Source code |
| kernelCharToInt | Source code |
| kernelEstimator | Source code |
| kernelestim | Source code |
| kernelk | Source code |
| knChooseReMeDI | Man page Source code |
| leadLag | Man page Source code |
| leadLagCpp | Source code |
| leadLagCppPAR | Source code |
| listAvailableKernels | Man page Source code |
| listCholCovEstimators | Man page Source code |
| loglikBM | Source code |
| mSeq | Source code |
| makeOHLCV | Man page Source code |
| makePsd | Man page Source code |
| makeRMFormat | Man page Source code |
| makeReturns | Man page Source code |
| matchTradesQuotes | Man page Source code |
| meannozero | Source code |
| mergeQuotesSameTimestamp | Man page Source code |
| mergeTradesSameTimestamp | Man page Source code |
| mldivide | Source code |
| mukp | Man page Source code |
| noZeroPrices | Man page Source code |
| noZeroQuotes | Man page Source code |
| nsmaller | Source code |
| overlap | Source code |
| pcovcc | Source code |
| piecewise | Source code |
| plot.DBH | Man page Source code |
| plot.HARmodel | Man page |
| plot.HEAVYmodel | Man page Source code |
| plot.intradayJumpTest | Source code |
| plot.leadLag | Source code |
| plot.spotDrift | Source code |
| plot.spotVol | Source code |
| plotTQData | Man page Source code |
| preAveragedRealizedMeasureSpotVol | Source code |
| preAveragingReturnsInternal | Source code |
| preavbi | Source code |
| predict.HARmodel | Man page |
| predict.HEAVYmodel | Man page Source code |
| previoustick | Source code |
| print.DBH | Man page Source code |
| print.HARmodel | Man page |
| print.HEAVYmodel | Source code |
| print.spotDrift | Source code |
| print.summary.heavy | Source code |
| quadraticKernel | Source code |
| quotesCleanup | Man page Source code |
| rAVGCov | Man page Source code |
| rBACov | Man page Source code |
| rBPCov | Man page Source code |
| rBeta | Man page Source code |
| rCholCov | Man page Source code |
| rCov | Man page Source code |
| rHYCov | Man page Source code |
| rKernelCov | Man page Source code |
| rKurt | Man page Source code |
| rMPV | Man page Source code |
| rMPVar | Man page Source code |
| rMRC | Man page Source code |
| rMRCov | Man page Source code |
| rMedRQ | Man page Source code |
| rMedRQuar | Man page Source code |
| rMedRV | Man page Source code |
| rMedRVar | Man page Source code |
| rMinRQ | Man page Source code |
| rMinRQuar | Man page Source code |
| rMinRV | Man page Source code |
| rMinRVar | Man page Source code |
| rOWCov | Man page |
| rQPVar | Man page Source code |
| rQuar | Man page Source code |
| rRTSCov | Man page |
| rRVar | Man page Source code |
| rSV | Man page Source code |
| rSVar | Man page Source code |
| rSemiCov | Man page Source code |
| rSkew | Man page Source code |
| rTPQuar | Man page Source code |
| rTSCov | Man page |
| rThresholdCov | Man page Source code |
| rankJumpTest | Man page Source code |
| realizedMeasureSpotVol | Source code |
| refreshTime | Man page |
| refreshTimeMatching | Source code |
| rmLargeSpread | Man page Source code |
| rmNegativeSpread | Man page Source code |
| rmOutliersQuotes | Man page |
| rmTradeOutliersUsingQuotes | Man page Source code |
| rollApplyMedianWrapper | Source code |
| rollApplyMinWrapper | Source code |
| rollApplyProdWrapper | Source code |
| rollingMedianInclEnds | Source code |
| salesCondition | Man page Source code |
| sampleMultiTradeData | Man page |
| sampleOneMinuteData | Man page |
| sampleQData | Man page |
| sampleQDataRaw | Man page |
| sampleTData | Man page |
| sampleTDataEurope | Man page |
| sampleTDataRaw | Man page |
| selectExchange | Man page Source code |
| seqInclEnds | Source code |
| shorthscale | Source code |
| shorthscalenozero | Source code |
| spotDrift | Man page Source code |
| spotVol | Man page Source code |
| spreadPrices | Man page Source code |
| ssmodel | Source code |
| stochPer | Source code |
| summary.HARmodel | Man page |
| summary.HEAVYmodel | Source code |
| thetaROWVar | Source code |
| tickGrouping_RETURNS | Source code |
| timeOfDayAdjustments | Source code |
| tqfun | Source code |
| tradeIntensityProcessCpp | Source code |
| tradesCleanup | Man page Source code |
| tradesCleanupUsingQuotes | Man page Source code |
| tradesCondition | Man page Source code |
| tt | Source code |
| weightedaverage | Source code |
