Jiang and Oomen (2008) tests for the presence of jumps in the price series.
HAR model estimation (Heterogeneous Autoregressive model for Realized volatility)
Compute log returns
Calculates the percentage of co-zero returns at a specified sampling period
Aggregate an xts object containing trade data
Sample of cleaned trades for stock XXX for 1 day
Realized Accumulation Plot
Realized Covariance: Kernel
An estimator of integrated quarticity from applying the median operator on blocks of three returns.
Realized Covariance
Realized skewness of highfrequency return series.
Match trade and quote data
Function returns the value, the standard error and the confidence band of the integrated variance (IV) estimator.
Realized tripower variation of highfrequency return series.
Delete the observations where the bid or ask is zero
Scatterplot of aligned returns
Extract data from an xts object for the Exchange Hours Only
Aggregate a time series but keep first and last observation
Realized quadpower variation of highfrequency return series.
Realized beta: a tool in measuring risk with respect to the market.
Retain only data from a single stock exchange
Modulated Realized Covariance (MRC): Return univariate or multivariate preaveraged estimator.
get price column(s) from a timeseries
Realized semivariance of highfrequency return series.
Realized Covariance: Average Subsample
Convert trade or quote data into xts object saved in the RData format
Aggregate a time series
Realized quarticity of highfrequency return series.
Retain only data from the stock exchange with the highest volume
Barndorff- Nielsen and Shephard (2006) tests for the presence of jumps in the price series.
Get trade direction
Retain only data from the stock exchange with the highest trading volume
HEAVY Model estimation
HEAVY Model estimation using C code
Hayashi-Yoshida Covariance
minRV
Tools For Highfrequency Data Analysis
LLTC Data
Sample of raw trades for stock XXX for 1 day
previoustick (internal function)
Sample of cleaned quotes for stock XXX for 1 day
Delete transactions with unlikely transaction prices
Ten artificial time series for the NYSE trading days during January 2010
Perform a final cleaning procedure on trade data
check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
medRV
Ait- Sahalia and Jacod (2009) tests for the presence of jumps in the price series.
Load trade or quote data into R
Cleans trade data
Merge multiple transactions with the same time stamp
Plot cummulative returns
Starbucks Data
The realized library from the Oxford-Man Institute of Quantitative Finance
Realized multipower variation (MPV), an estimator of integrated power variation.
Delete entries for which the mid-quote is outlying with respect to surrounding entries
Threshold Covariance
Cleans quote data
Sample returns data
Delete the observations where the price is zero
Ten artificial time series (including jumps) for the NYSE trading days during January 2010
Calculate numerous (23) liquidity measures
Available Kernels
Aggregate an xts object containing quote data
Synchronize (multiple) irregular timeseries by refresh time
Delete entries with abnormal Sale Condition.
Delete entries for which the spread is negative
Merge multiple quote entries with the same time stamp
Realized Outlyingness Weighted Covariance
Sample of raw quotes for stock XXX for 1 day
Spot volatility estimation
Maginal Contribution to Realized Estimate
Realized kurtosis of highfrequency return series.
Returns the positive semidinite projection of a symmetric matrix using the eigenvalue method
An estimator of integrated quarticity from applying the minimum operator on blocks of two returns.
Realized BiPower Covariance
Delete entries for which the spread is more than "maxi" times the median
spread
Sample of imaginary price data for 61 days