highfrequency: Tools for Highfrequency Data Analysis
Version 0.4-1

Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.

Browse man pages Browse package API and functions Browse package files

AuthorKris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
Date of publication2015-07-10 10:41:02
MaintainerKris Boudt <Kris.Boudt@econ.kuleuven.be>
LicenseGPL (>= 2)
Version0.4-1
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("highfrequency", repos="http://R-Forge.R-project.org")

Man pages

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
rQPQuar: Realized quad-power quarticity of highfrequency return...
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
rTPQuar: Realized tri-power quarticity of highfrequency return series.
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

Functions

ABDJumptest Source code
AJjumptest Man page Source code
BNSjumptest Man page Source code
DMtest Source code
ExchangeHoursOnly Source code
HRweight Source code Source code
IF_MCD Source code
ISE Source code
IV Source code
JOjumptest Man page Source code
LeeMyklandCV Source code
MDtest Source code
MRC Man page Source code
Npk Source code
RBPCov_bi Source code
RBPVar Source code
ROWVar Source code
RTSCov_bi Source code
RTSRV Source code
RV Source code
SEheavyModel Source code
TAQLoad Man page Source code
TQfun Source code
TSCov_bi Source code
TSRV Source code
V Source code
accum.naive Source code
adjtime Source code
aggJ Source code
aggRV Source code
aggY Source code
agg_volume Source code
aggregatePrice Man page Source code Source code
aggregateQuotes Man page Source code
aggregateTrades Man page Source code
aggregatets Man page Source code Source code
alignIndices Source code
alignReturns Source code
alignedAccum Source code
applygetlist Source code
autoSelectExchangeQuotes Man page Source code
autoSelectExchangeTrades Man page Source code
autoselectexchange Source code
autoselectexchangeq Source code
avar_MCD Source code
center Source code Source code
cfactor_RTSCV Source code
changePoints Source code
check_data Source code
conHR Source code
conhuber Source code
convert Man page Source code
convertData Source code
convert_quotes Source code
convert_trades Source code
correctedTrades Source code
countzeroes Source code Source code
crv Source code
ctBV Source code
data.toCts Source code
data.toReturns Source code
detper Source code
di_diff Source code
di_div Source code
diurnal Source code Source code
diurnalfit Source code Source code
es Source code
estbandwidth Source code
estimhar Source code
exchangeHoursOnly Man page Source code
fmupk Source code
garch_s Source code
getAlignPeriod Source code
getHarmodelformula Source code
getPrice Man page Source code
getReturns Source code
getTradeDirection Man page Source code
get_param_names Source code Source code Source code
gettradedir Source code
gfunction Source code
harModel Man page Source code
has.Ad Source code
has.Ask Man page Source code
has.AskSize Man page Source code
has.Bid Man page Source code
has.BidSize Man page Source code
has.Chg Source code
has.Cl Source code
has.Hi Source code
has.Lo Source code
has.Mid Source code
has.Op Source code
has.Price Man page Source code
has.Qty Man page Source code
has.Trade Man page Source code
has.Vo Source code
hatiq Source code
hativ Source code
hatreturn Source code
heavyModel Man page Source code
heavyModelC Man page Source code
heavy_likelihood Source code Source code
heavy_likelihood_ll Source code
heavy_likelihood_llC Source code
heavy_likelihood_lls Source code
highfrequency Man page
highfrequency-package Man page
huberweight Source code
intraday_regressors Source code
is.BAM Source code
is.BATM Source code
is.BBO Man page Source code
is.TBBO Man page Source code
ivInference Man page Source code
kernel.chartoint Source code
kernelestim Source code
kernelk Source code
lltc.xts Man page
loglikBM Source code
logqs Source code
logqslope Source code
logsize Source code
makePsd Man page Source code
makeROlist Source code
makeReturns Man page Source code
makeXtsQuotes Source code
makeXtsTrades Source code
matchTradesQuotes Man page Source code
matchtq Source code
maxvol Source code
medRQ Man page Source code
medRV Man page Source code
medianN Source code
mergeQuotesSameTimestamp Man page Source code
mergeTradesSameTimestamp Man page Source code
mergequotessametimestamp Source code
mergesametimestamp Source code
minRQ Man page Source code
minRV Man page Source code
mq_return Source code
mq_return_abs Source code
mq_return_sqr Source code
mukp Source code
multixts Source code Source code
noZeroPrices Man page Source code
noZeroQuotes Man page Source code
nozeroprices Source code
nozeroquotes Source code
p_return_abs Source code
p_return_sqr Source code
period.apply2 Source code
period.apply3 Source code
pes Source code
piecewise Source code
plot.harModel Source code
plot.spotvol Source code
pqs Source code
preav_bi Source code
previoustick Man page Source code
price_impact Source code
print.harModel Source code
prop_price_impact Source code
prs Source code
pts Source code
qdatacheck Source code
qs Source code
qslope Source code
quotesCleanup Man page Source code
rAVGCov Man page Source code
rAccumulation Man page Source code
rBPCov Man page Source code
rBeta Man page Source code
rCov Man page Source code
rCumSum Man page Source code
rHYCov Man page Source code
rKernel Source code
rKernel.available Man page Source code
rKernelCov Man page Source code
rKurt Man page Source code
rMPV Man page Source code
rMarginal Man page Source code
rOWCov Man page Source code
rQPQuar Man page Source code
rQPVar Man page Source code
rQuar Man page Source code
rRTSCov Man page Source code
rSV Man page Source code
rScatterReturns Man page Source code
rSkew Man page Source code
rTPQuar Man page Source code
rTPVar Man page Source code
rTSCov Man page Source code
rThresholdCov Man page Source code
rZero Man page Source code
rc.avg Source code
rc.hy Source code
rc.kernel Source code
rc.subsample Source code
rc.zero Source code
rdatacheck Source code Source code
readdata Source code
realized_library Man page
refreshTime Man page Source code
rmLargeSpread Man page Source code
rmNegativeSpread Man page Source code
rmOutliers Man page Source code
rmTradeOutliers Man page Source code
rmlargespread Source code
rmnegspread Source code
rmoutliers Source code
rmtradeoutliers Source code
rs Source code
rv.avg Source code
rv.kernel Source code
rv.subsample Source code
rv.zero Source code
salesCondition Man page Source code
salescond Source code
sameTime Source code
sample_5minprices Man page
sample_5minprices_jumps Man page
sample_qdata Man page
sample_qdataraw Man page
sample_real5minprices Man page
sample_returns_5min Man page
sample_tdata Man page
sample_tdataraw Man page
sbux.xts Man page
scale Source code
selectExchange Man page Source code
selectexchange Source code
set.Ad Source code
set.AllColumns Source code
set.Ask Source code
set.AskSize Source code
set.Bid Source code
set.BidSize Source code
set.Chg Source code
set.Cl Source code
set.Hi Source code
set.Lo Source code
set.Mid Source code
set.Op Source code
set.Price Source code
set.Qty Source code
set.Trade Source code
set.Vo Source code
shorthscale Source code Source code
signed_trade_size Source code
signed_value_trade Source code
simre Source code
spotvol Man page Source code
ssmodel Source code
stochper Source code
sumN Source code
summary.harModel Source code
tdatacheck Source code
thetaROWVar Source code
toCts Source code
tqLiquidity Man page Source code
tqdatacheck Source code
tradesCleanup Man page Source code
tradesCleanupFinal Man page Source code
transformparams Source code Source code
transtopar Source code
transtosplit Source code
ts2realized Source code
tspread Source code
tt Source code
uniTAQload Source code
univariateoutlyingness Source code
value_trade Source code
waverage Source code
weightedaverage Source code
zgamma Source code

Files

DESCRIPTION
NAMESPACE
R
R/highfrequencyGSOC.R
R/quantmod_patch.R
R/realized.R
R/spotvol.r
data
data/datalist
data/lltc.xts.rda
data/realized_library.RData
data/sample_5minprices.RData
data/sample_5minprices_jumps.RData
data/sample_qdata.RData
data/sample_qdataraw.RData
data/sample_real5minprices.RData
data/sample_returns_5min.rda
data/sample_tdata.RData
data/sample_tdataraw.RData
data/sbux.xts.rda
man
man/AJjumptest.Rd
man/BNSjumptest.Rd
man/ExchangeHoursOnly.Rd
man/JOjumptest.Rd
man/MRC.Rd
man/RKurt.Rd
man/RQPVar.Rd
man/RQuar.Rd
man/RSkew.Rd
man/RTPVar.Rd
man/RsV.Rd
man/TAQload.Rd
man/aggregatePrice.Rd
man/aggregateQuotes.Rd
man/aggregateTrades.Rd
man/aggregatets.Rd
man/autoSelectExchangeQuotes.Rd
man/autoSelectExchangeTrades.Rd
man/convert.Rd
man/getPrice.Rd
man/getTradeDirection.Rd
man/harModel.Rd
man/has.Qty.Rd
man/heavyModel.Rd
man/heavyModelC.Rd
man/highfrequency-package.Rd
man/ivInference.Rd
man/lltc.xts.Rd
man/makePsd.Rd
man/makeReturns.Rd
man/matchTradesQuotes.Rd
man/medRQ.Rd
man/medRV.Rd
man/mergeTradesSameTimestamp.Rd
man/mergequotessametimestamp.Rd
man/minRQ.Rd
man/minRV.Rd
man/nozeroprices.Rd
man/nozeroquotes.Rd
man/previoustick.Rd
man/quotescleanup.Rd
man/rAVGCov.Rd
man/rAccumulation.Rd
man/rBPCov.Rd
man/rBeta.Rd
man/rCov.Rd
man/rCumSum.Rd
man/rHYCov.Rd
man/rKernel.available.Rd
man/rKernelCov.Rd
man/rMPV.Rd
man/rMarginal.Rd
man/rOWCov.Rd
man/rQPQuar.Rd
man/rRTSCov.rd
man/rScatterReturns.Rd
man/rTPQuar.Rd
man/rTSCov.rd
man/rThresholdCov.Rd
man/rZero.Rd
man/realized_library.Rd
man/refreshTime.Rd
man/rmNegativeSpread.Rd
man/rmlargespread.Rd
man/rmoutliers.Rd
man/rmtradeoutliers.Rd
man/salesCondition.Rd
man/sample_5minprices.Rd
man/sample_5minprices_jumps.Rd
man/sample_qdata.Rd
man/sample_qdataraw.Rd
man/sample_real5minprices.Rd
man/sample_returns_5min.Rd
man/sample_tdata.Rd
man/sample_tdataraw.Rd
man/sbux.xts.Rd
man/selectexchange.Rd
man/spotvol.Rd
man/tqLiquidity.Rd
man/tradesCleanupFinal.Rd
man/tradescleanup.Rd
src
src/highfrequency.c
src/highfrequency.h
vignettes
vignettes/highfrequency.pdf
highfrequency documentation built on May 21, 2017, 3:40 a.m.