Man pages for highfrequency
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 |
| 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 |
