Man pages for jonathancornelissen/highfrequency
Tools for Highfrequency Data Analysis

aggregatePriceAggregate a time series but keep first and last observation
aggregateQuotesAggregate an xts object containing quote data
aggregateTradesAggregate an xts object containing trade data
aggregatetsAggregate a time series
AJjumptestAit- Sahalia and Jacod (2009) tests for the presence of jumps...
autoSelectExchangeQuotesRetain only data from the stock exchange with the highest...
autoSelectExchangeTradesRetain only data from the stock exchange with the highest...
BNSjumptestBarndorff- Nielsen and Shephard (2006) tests for the presence...
convertConvert trade or quote data into xts object saved in the...
ExchangeHoursOnlyExtract data from an xts object for the Exchange Hours Only
getPriceget price column(s) from a timeseries
getTradeDirectionGet trade direction
harModelHAR model estimation (Heterogeneous Autoregressive model for...
has.Qtycheck for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and...
heavyModelHEAVY Model estimation
heavyModelCHEAVY Model estimation using C code
highfrequency-packageTools For Highfrequency Data Analysis
ivInferenceFunction returns the value, the standard error and the...
JOjumptestJiang and Oomen (2008) tests for the presence of jumps in the...
lltc.xtsLLTC Data
makePsdReturns the positive semidinite projection of a symmetric...
makeReturnsCompute log returns
matchTradesQuotesMatch trade and quote data
medRQAn estimator of integrated quarticity from applying the...
medRVmedRV
mergequotessametimestampMerge multiple quote entries with the same time stamp
mergeTradesSameTimestampMerge multiple transactions with the same time stamp
minRQAn estimator of integrated quarticity from applying the...
minRVminRV
MRCModulated Realized Covariance (MRC): Return univariate or...
nozeropricesDelete the observations where the price is zero
nozeroquotesDelete the observations where the bid or ask is zero
previoustickprevioustick (internal function)
quotescleanupCleans quote data
rAccumulationRealized Accumulation Plot
rAVGCovRealized Covariance: Average Subsample
rBetaRealized beta: a tool in measuring risk with respect to the...
rBPCovRealized BiPower Covariance
rCovRealized Covariance
rCumSumPlot cummulative returns
realized_libraryThe realized library from the Oxford-Man Institute of...
refreshTimeSynchronize (multiple) irregular timeseries by refresh time
rHYCovHayashi-Yoshida Covariance
rKernel.availableAvailable Kernels
rKernelCovRealized Covariance: Kernel
RKurtRealized kurtosis of highfrequency return series.
rMarginalMaginal Contribution to Realized Estimate
rmlargespreadDelete entries for which the spread is more than "maxi" times...
rmNegativeSpreadDelete entries for which the spread is negative
rmoutliersDelete entries for which the mid-quote is outlying with...
rMPVRealized multipower variation (MPV), an estimator of...
rmtradeoutliersDelete transactions with unlikely transaction prices
rOWCovRealized Outlyingness Weighted Covariance
RQPVarRealized quad-power variation of highfrequency return series.
RQuarRealized quarticity of highfrequency return series.
rRTSCovRobust two time scale covariance estimation
rScatterReturnsScatterplot of aligned returns
RSkewRealized skewness of highfrequency return series.
RsVRealized semivariance of highfrequency return series.
rThresholdCovThreshold Covariance
RTPVarRealized tri-power variation of highfrequency return series.
rTSCovTwo time scale covariance estimation
rZeroCalculates the percentage of co-zero returns at a specified...
salesConditionDelete entries with abnormal Sale Condition.
sample_5minpricesTen artificial time series for the NYSE trading days during...
sample_5minprices_jumpsTen artificial time series (including jumps) for the NYSE...
sample_qdataSample of cleaned quotes for stock XXX for 1 day
sample_qdatarawSample of raw quotes for stock XXX for 1 day
sample_real5minpricesSample of imaginary price data for 61 days
sample_returns_5minSample returns data
sample_tdataSample of cleaned trades for stock XXX for 1 day
sample_tdatarawSample of raw trades for stock XXX for 1 day
sbux.xtsStarbucks Data
selectexchangeRetain only data from a single stock exchange
spotvolSpot volatility estimation
TAQloadLoad trade or quote data into R
tqLiquidityCalculate numerous (23) liquidity measures
tradescleanupCleans trade data
tradesCleanupFinalPerform a final cleaning procedure on trade data
jonathancornelissen/highfrequency documentation built on Aug. 9, 2017, 9:39 a.m.