highfrequency-package | highfrequency: Toolkit for the analysis of highfrequency financial data in R. |
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 |
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 |
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 |
getTradeDirection | Get trade direction |
harModel | HAR model estimation (Heterogeneous Autoregressive model for Realized volatility) |
heavyModel | HEAVY Model estimation |
highfrequency | highfrequency: Toolkit for the analysis of highfrequency financial data in R. |
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 |
medRV | medRV |
mergeQuotesSameTimestamp | Merge multiple quote entries with the same time stamp |
mergeTradesSameTimestamp | Merge multiple transactions with the same time stamp |
minRV | minRV |
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 |
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 |
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 |
rmTradeOutliers | Delete transactions with unlikely transaction prices |
rOWCov | Realized Outlyingness Weighted Covariance |
rRTSCov | Robust two time scale covariance estimation |
rScatterReturns | Scatterplot of aligned returns |
rThresholdCov | Threshold Covariance |
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_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 |