API for highfrequency
Tools for Highfrequency Data Analysis

Global functions
.IF_MCD	Source code
.IV	Source code
.Npk	Source code
.SEheavyModel	Source code
.V	Source code
.accum.naive	Source code
.alignIndices	Source code
.alignReturns	Source code
.alignedAccum	Source code
.applygetlist	Source code
.avar_MCD	Source code
.check_data	Source code
.convertData	Source code
.crv	Source code
.ctBV	Source code
.fmupk	Source code
.getAlignPeriod	Source code
.getReturns	Source code
.get_param_names	Source code Source code Source code
.gfunction	Source code
.hatiq	Source code
.hativ	Source code
.hatreturn	Source code
.heavy_likelihood	Source code
.heavy_likelihood_ll	Source code
.heavy_likelihood_llC	Source code
.heavy_likelihood_lls	Source code
.kernel.chartoint	Source code
.makeROlist	Source code
.mukp	Source code
.multixts	Source code Source code
.preav_bi	Source code
.rc.subsample	Source code
.rv.subsample	Source code
.sameTime	Source code
.scale	Source code
.thetaROWVar	Source code
.toCts	Source code
.transformparams	Source code
.transtopar	Source code
.transtosplit	Source code
.tt	Source code
.zgamma	Source code
ABDJumptest	Source code
AJjumptest	Man page Source code
BNSjumptest	Man page Source code
DMtest	Source code
ExchangeHoursOnly	Source code
HRweight	Source code Source code
ISE	Source code
JOjumptest	Man page Source code
LeeMyklandCV	Source code
MDtest	Source code
MRC	Man page Source code
RBPCov_bi	Source code
RBPVar	Source code
ROWVar	Source code
RV	Source code
TAQLoad	Man page Source code
TQfun	Source code
adjtime	Source code
aggJ	Source code
aggRV	Source code
aggY	Source code
agg_volume	Source code
aggregatePrice	Man page
aggregateQuotes	Man page Source code
aggregateTrades	Man page
aggregatets	Man page
autoSelectExchangeQuotes	Man page Source code
autoSelectExchangeTrades	Man page Source code
autoselectexchange	Source code
autoselectexchangeq	Source code
center	Source code Source code
cfactor_RTSCV	Source code
changePoints	Source code
conHR	Source code
conhuber	Source code
convert	Man page Source code
countzeroes	Source code Source code
data.toCts	Source code
data.toReturns	Source code
detper	Source code
di_diff	Source code
di_div	Source code
diurnalfit	Source code Source code
es	Source code
estbandwidth	Source code
estimhar	Source code
exchangeHoursOnly	Man page Source code
garch_s	Source code
getHarmodelformula	Source code
getPrice	Man page
getTradeDirection	Man page Source code
gettradedir	Source code
harModel	Man page 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.Mid	Source code
has.Price	Man page Source code
has.Qty	Man page Source code
has.Trade	Man page Source code
heavyModel	Man page Source code
heavyModelC	Man page
heavy_likelihood	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
is.TBBO	Man page
ivInference	Man page 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
makeReturns	Man page
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
mergeTradesSameTimestamp	Man page
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
noZeroPrices	Man page Source code
noZeroQuotes	Man page Source code
nozeroprices	Source code
nozeroquotes	Source code
p_return_sqr	Source code
pes	Source code
piecewise	Source code
plot.harModel	Source code
plot.spotvol	Source code
pqs	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
rQPQuar	Man page Source code
rQPVar	Man page Source code
rQuar	Man page Source code
rRTSCov	Man page
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
rThresholdCov	Man page Source code
rZero	Man page Source code
rc.avg	Source code
rc.hy	Source code
rc.kernel	Source code
rc.zero	Source code
rdatacheck	Source code
readdata	Source code
realized_library	Man page
refreshTime	Man page
rmLargeSpread	Man page Source code
rmNegativeSpread	Man page Source code
rmOutliers	Man page
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.zero	Source code
salesCondition	Man page
salescond	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
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
spotvol	Man page Source code
ssmodel	Source code
stochper	Source code
sumN	Source code
summary.harModel	Source code
tdatacheck	Source code
tqLiquidity	Man page Source code
tqdatacheck	Source code
tradesCleanup	Man page Source code
tradesCleanupFinal	Man page Source code
transformparams	Source code
ts2realized	Source code
tspread	Source code
uniTAQload	Source code
univariateoutlyingness	Source code
value_trade	Source code
waverage	Source code
weightedaverage	Source code