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.
|Author||Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]|
|Date of publication||2015-07-10 10:41:02|
|Maintainer||Kris Boudt <Kris.Boudt@econ.kuleuven.be>|
|License||GPL (>= 2)|
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...
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...
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.
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.
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