highfrequency


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Documentation for package ‘highfrequency’ version 0.2

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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