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highfrequency (version 0.2)

highfrequency

Description

The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.

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Version

Install

install.packages('highfrequency')

Monthly Downloads

1,535

Version

0.2

License

GPL (>= 2)

Maintainer

Jonathan Cornelissen

Last Published

April 9th, 2013

Functions in highfrequency (0.2)

Compute log returns

Aggregate a time series but keep first and last observation

Convert trade or quote data into xts object saved in the RData format

mergeQuotesSameTimestamp

Merge multiple quote entries with the same time stamp

aggregateQuotes

Aggregate an xts object containing quote data

getTradeDirection

Get trade direction

HEAVY Model estimation

Load trade or quote data into R

Plot cummulative returns

sample_5minprices

Ten artificial time series for the NYSE trading days during January 2010

matchTradesQuotes

Match trade and quote data

Aggregate a time series

Returns the positive semidinite projection of a symmetric matrix using the eigenvalue method

sample_real5minprices

Sample of imaginary price data for 61 days

sample_5minprices_jumps

Ten artificial time series (including jumps) for the NYSE trading days during January 2010

previoustick (internal function)

HAR model estimation (Heterogeneous Autoregressive model for Realized volatility)

Synchronize (multiple) irregular timeseries by refresh time

rScatterReturns

Scatterplot of aligned returns

sample_tdataraw

Sample of raw trades for stock XXX for 1 day

sample_qdataraw

Sample of raw quotes for stock XXX for 1 day

realized_library

The realized library from the Oxford-Man Institute of Quantitative Finance

Sample of cleaned trades for stock XXX for 1 day

Calculates the percentage of co-zero returns at a specified sampling period

Realized Accumulation Plot

Maginal Contribution to Realized Estimate

Delete entries for which the spread is more than "maxi" times the median spread

mergeTradesSameTimestamp

Merge multiple transactions with the same time stamp

Delete the observations where the price is zero

Cleans quote data

Delete entries for which the mid-quote is outlying with respect to surrounding entries

autoSelectExchangeTrades

Retain only data from the stock exchange with the highest trading volume

autoSelectExchangeQuotes

Retain only data from the stock exchange with the highest volume

Cleans trade data

Delete entries with abnormal Sale Condition.

exchangeHoursOnly

Extract data from an xts object for the Exchange Hours Only

rmTradeOutliers

Delete transactions with unlikely transaction prices

rmNegativeSpread

Delete entries for which the spread is negative

Delete the observations where the bid or ask is zero

Retain only data from a single stock exchange

Realized Covariance: Kernel

Realized BiPower Covariance

Realized Covariance

Realized Outlyingness Weighted Covariance

Hayashi-Yoshida Covariance

Realized Covariance: Average Subsample

Calculate numerous (23) liquidity measures

Threshold Covariance

tradesCleanupFinal

Perform a final cleaning procedure on trade data

Sample of cleaned quotes for stock XXX for 1 day

rKernel.available

Available Kernels

aggregateTrades

Aggregate an xts object containing trade data

highfrequency-package

highfrequency: Toolkit for the analysis of highfrequency financial data in R.