Tools for Highfrequency Data Analysis

aggregatePrice | Aggregate a time series but keep first and last observation |

aggregateQuotes | Aggregate an xts object containing quote data |

aggregateTrades | Aggregate an xts object containing trade data |

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... |

BNSjumptest | Barndorff- Nielsen and Shephard (2006) tests for the presence... |

convert | Convert trade or quote data into xts object saved in the... |

ExchangeHoursOnly | Extract data from an xts object for the Exchange Hours Only |

getPrice | get price column(s) from a timeseries |

getTradeDirection | Get trade direction |

harModel | HAR model estimation (Heterogeneous Autoregressive model for... |

has.Qty | check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and... |

heavyModel | HEAVY Model estimation |

heavyModelC | HEAVY Model estimation using C code |

highfrequency-package | Tools For Highfrequency Data Analysis |

ivInference | Function returns the value, the standard error and the... |

JOjumptest | Jiang and Oomen (2008) tests for the presence of jumps in the... |

lltc.xts | LLTC Data |

makePsd | Returns the positive semidinite projection of a symmetric... |

makeReturns | Compute log returns |

matchTradesQuotes | Match trade and quote data |

medRQ | An estimator of integrated quarticity from applying the... |

medRV | medRV |

mergequotessametimestamp | Merge multiple quote entries with the same time stamp |

mergeTradesSameTimestamp | Merge multiple transactions with the same time stamp |

minRQ | An estimator of integrated quarticity from applying the... |

minRV | minRV |

MRC | Modulated Realized Covariance (MRC): Return univariate or... |

nozeroprices | Delete the observations where the price is zero |

nozeroquotes | Delete the observations where the bid or ask is zero |

previoustick | previoustick (internal function) |

quotescleanup | Cleans quote data |

rAccumulation | Realized Accumulation Plot |

rAVGCov | Realized Covariance: Average Subsample |

rBeta | Realized beta: a tool in measuring risk with respect to the... |

rBPCov | Realized BiPower Covariance |

rCov | Realized Covariance |

rCumSum | Plot cummulative returns |

realized_library | The realized library from the Oxford-Man Institute of... |

refreshTime | Synchronize (multiple) irregular timeseries by refresh time |

rHYCov | Hayashi-Yoshida Covariance |

rKernel.available | Available Kernels |

rKernelCov | Realized Covariance: Kernel |

RKurt | Realized kurtosis of highfrequency return series. |

rMarginal | Maginal Contribution to Realized Estimate |

rmlargespread | Delete entries for which the spread is more than "maxi" times... |

rmNegativeSpread | Delete entries for which the spread is negative |

rmoutliers | Delete entries for which the mid-quote is outlying with... |

rMPV | Realized multipower variation (MPV), an estimator of... |

rmtradeoutliers | Delete transactions with unlikely transaction prices |

rOWCov | Realized Outlyingness Weighted Covariance |

RQPVar | Realized quad-power variation of highfrequency return series. |

RQuar | Realized quarticity of highfrequency return series. |

rRTSCov | Robust two time scale covariance estimation |

rScatterReturns | Scatterplot of aligned returns |

RSkew | Realized skewness of highfrequency return series. |

RsV | Realized semivariance of highfrequency return series. |

rThresholdCov | Threshold Covariance |

RTPVar | Realized tri-power variation of highfrequency return series. |

rTSCov | Two time scale covariance estimation |

rZero | Calculates the percentage of co-zero returns at a specified... |

salesCondition | Delete entries with abnormal Sale Condition. |

sample_5minprices | Ten artificial time series for the NYSE trading days during... |

sample_5minprices_jumps | Ten artificial time series (including jumps) for the NYSE... |

sample_qdata | Sample of cleaned quotes for stock XXX for 1 day |

sample_qdataraw | Sample of raw quotes for stock XXX for 1 day |

sample_real5minprices | Sample of imaginary price data for 61 days |

sample_returns_5min | Sample returns data |

sample_tdata | Sample of cleaned trades for stock XXX for 1 day |

sample_tdataraw | Sample of raw trades for stock XXX for 1 day |

sbux.xts | Starbucks Data |

selectexchange | Retain only data from a single stock exchange |

spotvol | Spot volatility estimation |

TAQload | Load trade or quote data into R |

tqLiquidity | Calculate numerous (23) liquidity measures |

tradescleanup | Cleans trade data |

tradesCleanupFinal | Perform a final cleaning procedure on trade data |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.