Tools For Highfrequency Data Analysis

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Documentation for package ‘highfrequency’ version 0.4

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highfrequency-package 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 in the price series.
autoSelectExchangeQuotes Retain only data from the stock exchange with the highest volume
autoSelectExchangeTrades Retain only data from the stock exchange with the highest trading volume
BNSjumptest Barndorff- Nielsen and Shephard (2006) tests for the presence of jumps in the price series.
convert Convert trade or quote data into xts object saved in the RData format
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 Realized volatility)
has.Ask check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
has.AskSize check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
has.Bid check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
has.BidSize check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
has.Price check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
has.Qty check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
has.Trade check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
heavyModel HEAVY Model estimation
heavyModelC HEAVY Model estimation using C code
highfrequency Tools For Highfrequency Data Analysis
is.BBO check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
is.TBBO check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
ivInference Function returns the value, the standard error and the confidence band of the integrated variance (IV) estimator.
JOjumptest Jiang and Oomen (2008) tests for the presence of jumps in the price series.
lltc.xts LLTC Data
makePsd Returns the positive semidinite projection of a symmetric matrix using the eigenvalue method
makeReturns Compute log returns
matchTradesQuotes Match trade and quote data
medRQ An estimator of integrated quarticity from applying the median operator on blocks of three returns.
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 minimum operator on blocks of two returns.
minRV minRV
MRC Modulated Realized Covariance (MRC): Return univariate or multivariate preaveraged estimator.
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 market.
rBPCov Realized BiPower Covariance
rCov Realized Covariance
rCumSum Plot cummulative returns
realized_library The realized library from the Oxford-Man Institute of Quantitative Finance
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 the median spread
rmNegativeSpread Delete entries for which the spread is negative
rmOutliers Delete entries for which the mid-quote is outlying with respect to surrounding entries
rMPV Realized multipower variation (MPV), an estimator of integrated power variation.
rmTradeOutliers Delete transactions with unlikely transaction prices
rOWCov Realized Outlyingness Weighted Covariance
rQPVar Realized quadpower 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 tripower variation of highfrequency return series.
rTSCov Two time scale covariance estimation
rZero Calculates the percentage of co-zero returns at a specified sampling period
salesCondition Delete entries with abnormal Sale Condition.
sample_5minprices Ten artificial time series for the NYSE trading days during January 2010
sample_5minprices_jumps Ten artificial time series (including jumps) for the NYSE trading days during January 2010
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