Man pages for jonathancornelissen/highfrequency
Tools for Highfrequency Data Analysis
| aggregatePrice | Aggregate a time series but keep first and last observation |
| aggregateQuotes | Aggregate a 'data.table' or 'xts' object containing quote... |
| aggregateTrades | Aggregate a 'data.table' or 'xts' object containing trades... |
| aggregateTS | Aggregate a time series |
| AJjumpTest | Ait-Sahalia and Jacod (2009) tests for the presence of jumps... |
| autoSelectExchangeQuotes | Retain only data from the stock exchange with the highest... |
| autoSelectExchangeTrades | Retain only data from the stock exchange with the highest... |
| Bj | Internal HEAVY functions |
| BNSjumpTest | Barndorff-Nielsen and Shephard (2006) tests for the presence... |
| businessTimeAggregation | Business time aggregation |
| cholCovrMRCov | #' @keywords internal zgamma <- function (x, y, gamma_power)... |
| driftBursts | Inference on drift burst hypothesis |
| exchangeHoursOnly | Extract data from an 'xts' object for the exchange hours only |
| gatherPrices | Make TAQ format |
| getAlphaVantageData | Get high frequency data from Alpha Vantage |
| getCriticalValues | Get critical value for the drift burst hypothesis t-statistic |
| getLiquidityMeasures | Compute Liquidity Measure |
| getTradeDirection | Get trade direction |
| HARmodel | Heterogeneous autoregressive (HAR) model for realized... |
| HEAVYmodel | HEAVY model estimation |
| highfrequency-package | highfrequency: Tools for Highfrequency Data Analysis |
| ICov | Estimators of the integrated covariance |
| intradayJumpTest | Intraday jump tests |
| IVar | Estimators of the integrated variance |
| IVinference | Function returns the value, the standard error and the... |
| JOjumpTest | Jiang and Oomen (2008) tests for the presence of jumps in the... |
| knChooseReMeDI | ReMeDI tuning parameter |
| leadLag | Lead-Lag estimation |
| listAvailableKernels | Available kernels |
| listCholCovEstimators | Utility function listing the available estimators for the... |
| makeOHLCV | Make Open-High-Low-Close-Volume bars |
| makePsd | Returns the positive semidefinite projection of a symmetric... |
| makeReturns | Compute log returns |
| makeRMFormat | DEPRECATED use 'spreadPrices' |
| matchTradesQuotes | Match trade and quote data |
| MDtest | # Difference of medians test # See Fried (2012) # Returns... |
| mergeQuotesSameTimestamp | Merge multiple quote entries with the same time stamp |
| mergeTradesSameTimestamp | Merge multiple transactions with the same time stamp |
| mukp | to use when p,k different from range [4,6] |
| noZeroPrices | Delete the observations where the price is zero |
| noZeroQuotes | Delete the observations where the bid or ask is zero |
| plot.DBH | Plotting method for 'DBH' objects |
| plot.HARmodel | Plotting method for HARmodel objects |
| plot.HEAVYmodel | Plotting method for HEAVYmodel objects |
| plotTQData | Plot Trade and Quote data |
| predict.HARmodel | Predict method for objects of type 'HARmodel' |
| predict.HEAVYmodel | Iterative multi-step-ahead forecasting for HEAVY models |
| print.DBH | Printing method for 'DBH' objects |
| print.HARmodel | Printing method for 'HARmodel' objects |
| quotesCleanup | Cleans quote data |
| rankJumpTest | Rank jump test |
| rAVGCov | Realized covariances via subsample averaging |
| rBACov | rBACov |
| rBeta | Realized beta |
| rBPCov | Realized bipower covariance |
| RBPCov_bi | # Check data: #' @keywords internal rdatacheck <- function... |
| rCholCov | CholCov estimator |
| rCov | Realized covariance |
| refreshTime | Synchronize (multiple) irregular timeseries by refresh time |
| ReMeDI | ReMeDI |
| ReMeDIAsymptoticVariance | Asymptotic variance of ReMeDI estimator |
| rHYCov | Hayashi-Yoshida covariance |
| rKernelCov | Realized kernel estimator |
| rKurt | Realized kurtosis of highfrequency return series. |
| rMedRQ | DEPRECATED |
| rMedRQuar | An estimator of integrated quarticity from applying the... |
| rMedRV | DEPRECATED |
| rMedRVar | rMedRVar |
| rMinRQ | DEPRECATED |
| rMinRQuar | An estimator of integrated quarticity from applying the... |
| rMinRV | DEPRECATED |
| rMinRVar | rMinRVar |
| rmLargeSpread | Delete entries for which the spread is more than 'maxi' times... |
| rmNegativeSpread | Delete entries for which the spread is negative |
| rmOutliersQuotes | Remove outliers in quotes |
| rMPV | DEPRECATED |
| rMPVar | Realized multipower variation |
| rMRC | DEPRECATED rMRC |
| rMRCov | Modulated realized covariance |
| rmTradeOutliersUsingQuotes | Delete transactions with unlikely transaction prices |
| rOWCov | Realized outlyingness weighted covariance |
| rQPVar | Realized quad-power variation of intraday returns |
| rQuar | Realized quarticity |
| rRTSCov | Robust two time scale covariance estimation |
| rRVar | An estimator of realized variance. |
| rSemiCov | Realized semicovariance |
| rSkew | Realized skewness |
| rSV | DEPRECATED |
| rSVar | Realized semivariance of highfrequency return series |
| rThresholdCov | Threshold Covariance |
| rTPQuar | Realized tri-power quarticity |
| rTSCov | Two time scale covariance estimation |
| RV | DEPRECATED DEPRECATED USE 'rRVar' |
| salesCondition | salesCondition is deprecated. Use tradesCondition instead. |
| sampleMultiTradeData | Multivariate tick by tick data |
| sampleOneMinuteData | One minute data |
| sampleQData | Sample of cleaned quotes for stock XXX for 2 days measured in... |
| sampleQDataRaw | Sample of raw quotes for stock XXX for 2 days measured in... |
| sampleTData | Sample of cleaned trades for stock XXX for 2 days |
| sampleTDataEurope | European data |
| sampleTDataRaw | Sample of raw trades for stock XXX for 2 days |
| selectExchange | Retain only data from a single stock exchange |
| spotDrift | Spot Drift Estimation |
| spotVol | Spot volatility estimation |
| spreadPrices | Convert to format for realized measures |
| SPYRM | SPY realized measures |
| summary.HARmodel | Summary for 'HARmodel' objects |
| tradesCleanup | Cleans trade data |
| tradesCleanupUsingQuotes | Perform a final cleaning procedure on trade data |
| tradesCondition | Delete entries with abnormal trades condition. |
