Tools for Highfrequency Data Analysis

Documentation for package ‘highfrequency’ version 1.0.1

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highfrequency: Tools for Highfrequency Data Analysis

-- A --

aggregatePrice	Aggregate a time series but keep first and last observation
aggregateQuotes	Aggregate a 'data.table' or 'xts' object containing quote data
aggregateTrades	Aggregate a 'data.table' or 'xts' object containing trades 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

-- B --

BNSjumpTest	Barndorff-Nielsen and Shephard (2006) tests for the presence of jumps in the price series.
businessTimeAggregation	Business time aggregation

-- D --

driftBursts

Inference on drift burst hypothesis

-- E --

exchangeHoursOnly

Extract data from an 'xts' object for the exchange hours only

-- G --

gatherPrices	Make TAQ format
getAlphaVantageData	Get high frequency data from Alpha Vantage
getCriticalValues	Get critical value for the drift burst hypothesis t-statistic
getCriticalValues.DBH	Get critical value for the drift burst hypothesis t-statistic
getLiquidityMeasures	Compute Liquidity Measure
getTradeDirection	Get trade direction

-- H --

HARmodel	Heterogeneous autoregressive (HAR) model for realized volatility model estimation
HEAVYmodel	HEAVY model estimation
highfrequency	highfrequency: Tools for Highfrequency Data Analysis

-- I --

ICov	Estimators of the integrated covariance
intradayJumpTest	Intraday jump tests
IVar	Estimators of the integrated variance
IVinference	Function returns the value, the standard error and the confidence band of the integrated variance (IV) estimator.

-- J --

JOjumpTest

Jiang and Oomen (2008) tests for the presence of jumps in the price series.

-- K --

knChooseReMeDI

ReMeDI tuning parameter

-- L --

leadLag	Lead-Lag estimation
listAvailableKernels	Available kernels
listCholCovEstimators	Utility function listing the available estimators for the CholCov estimation

-- M --

makeOHLCV	Make Open-High-Low-Close-Volume bars
makePsd	Returns the positive semidefinite projection of a symmetric matrix using the eigenvalue method
makeReturns	Compute log returns
makeRMFormat	DEPRECATED use 'spreadPrices'
matchTradesQuotes	Match trade and quote data
mergeQuotesSameTimestamp	Merge multiple quote entries with the same time stamp
mergeTradesSameTimestamp	Merge multiple transactions with the same time stamp

-- N --

noZeroPrices	Delete the observations where the price is zero
noZeroQuotes	Delete the observations where the bid or ask is zero

-- P --

plot.DBH	Plotting method for 'DBH' objects
plot.HARmodel	Plotting method for HARmodel objects
plot.HEAVYmodel	Plotting method for HEAVYmodel objects
plotTQData	Plot Trade and Quote data
predict.HARmodel	Predict method for objects of type 'HARmodel'
predict.HEAVYmodel	Iterative multi-step-ahead forecasting for HEAVY models
print.DBH	Printing method for 'DBH' objects
print.HARmodel	Printing method for 'HARmodel' objects

-- Q --

quotesCleanup

Cleans quote data

-- R --

rankJumpTest	Rank jump test
rAVGCov	Realized covariances via subsample averaging
rBACov	rBACov
rBeta	Realized beta
rBPCov	Realized bipower covariance
rCholCov	CholCov estimator
rCov	Realized covariance
refreshTime	Synchronize (multiple) irregular timeseries by refresh time
ReMeDI	ReMeDI
ReMeDIAsymptoticVariance	Asymptotic variance of ReMeDI estimator
rHYCov	Hayashi-Yoshida covariance
rKernelCov	Realized kernel estimator
rKurt	Realized kurtosis of highfrequency return series.
rMedRQ	DEPRECATED
rMedRQuar	An estimator of integrated quarticity from applying the median operator on blocks of three returns
rMedRV	DEPRECATED
rMedRVar	rMedRVar
rMinRQ	DEPRECATED
rMinRQuar	An estimator of integrated quarticity from applying the minimum operator on blocks of two returns
rMinRV	DEPRECATED
rMinRVar	rMinRVar
rmLargeSpread	Delete entries for which the spread is more than 'maxi' times the median spread
rmNegativeSpread	Delete entries for which the spread is negative
rmOutliersQuotes	Remove outliers in quotes
rmOutliersTrades	Remove outliers in trades without using quote data
rMPV	DEPRECATED
rMPVar	Realized multipower variation
rMRC	DEPRECATED rMRC
rMRCov	Modulated realized covariance
rmTradeOutliersUsingQuotes	Delete transactions with unlikely transaction prices
rOWCov	Realized outlyingness weighted covariance
rQPVar	Realized quad-power variation of intraday returns
rQuar	Realized quarticity
rRTSCov	Robust two time scale covariance estimation
rRVar	An estimator of realized variance.
rSemiCov	Realized semicovariance
rSkew	Realized skewness
rSV	DEPRECATED
rSVar	Realized semivariance of highfrequency return series
rThresholdCov	Threshold Covariance
rTPQuar	Realized tri-power quarticity
rTSCov	Two time scale covariance estimation
RV	DEPRECATED DEPRECATED USE 'rRVar'

-- S --

salesCondition	salesCondition is deprecated. Use tradesCondition instead.
sampleMultiTradeData	Multivariate tick by tick data
sampleOneMinuteData	One minute data
sampleQData	Sample of cleaned quotes for stock XXX for 2 days measured in microseconds
sampleQDataRaw	Sample of raw quotes for stock XXX for 2 days measured in microseconds
sampleTData	Sample of cleaned trades for stock XXX for 2 days
sampleTDataEurope	European data
sampleTDataRaw	Sample of raw trades for stock XXX for 2 days
selectExchange	Retain only data from a single stock exchange
spotDrift	Spot Drift Estimation
spotVol	Spot volatility estimation
spreadPrices	Convert to format for realized measures
SPYRM	SPY realized measures
summary.HARmodel	Summary for 'HARmodel' objects

-- T --

tradesCleanup	Cleans trade data
tradesCleanupUsingQuotes	Perform a final cleaning procedure on trade data
tradesCondition	Delete entries with abnormal trades condition.