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highfrequency (version 0.4)

Tools For Highfrequency Data Analysis

Description

Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate 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

0.4

License

GPL (>= 2)

Maintainer

Kris Boudt

Last Published

November 28th, 2014

Functions in highfrequency (0.4)

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

aggregateTrades

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.

matchTradesQuotes

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

rScatterReturns

Scatterplot of aligned returns

exchangeHoursOnly

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.

autoSelectExchangeQuotes

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.

getTradeDirection

Get trade direction

autoSelectExchangeTrades

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

HEAVY Model estimation

HEAVY Model estimation using C code

Hayashi-Yoshida Covariance

highfrequency-package

Tools For Highfrequency Data Analysis

sample_tdataraw

Sample of raw trades for stock XXX for 1 day

previoustick (internal function)

Sample of cleaned quotes for stock XXX for 1 day

rmTradeOutliers

Delete transactions with unlikely transaction prices

sample_5minprices

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

tradesCleanupFinal

Perform a final cleaning procedure on trade data

check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data

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

mergeTradesSameTimestamp

Merge multiple transactions with the same time stamp

Plot cummulative returns

realized_library

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_5min

Sample returns data

Delete the observations where the price is zero

sample_5minprices_jumps

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

Calculate numerous (23) liquidity measures

rKernel.available

Available Kernels

aggregateQuotes

Aggregate an xts object containing quote data

Synchronize (multiple) irregular timeseries by refresh time

Delete entries with abnormal Sale Condition.

rmNegativeSpread

Delete entries for which the spread is negative

mergeQuotesSameTimestamp

Merge multiple quote entries with the same time stamp

Realized Outlyingness Weighted Covariance

sample_qdataraw

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_real5minprices

Sample of imaginary price data for 61 days