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highfrequency (version 0.5)

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

1,349

Version

0.5

License

GPL (>= 2)

Maintainer

Kris Boudt

Last Published

February 15th, 2017

Functions in highfrequency (0.5)

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

aggregateQuotes

exchangeHoursOnly

autoSelectExchangeTrades

autoSelectExchangeQuotes

Aggregate a time series

aggregateTrades

Aggregate an xts object containing trade data

get price column(s) from a timeseries

getTradeDirection

highfrequency-package

HEAVY Model estimation using C code

HEAVY Model estimation

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

HAR model estimation (Heterogeneous Autoregressive model for Realized volatility)

mergeTradesSameTimestamp

mergeQuotesSameTimestamp

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

matchTradesQuotes

Match trade and quote data

Realized Covariance: Average Subsample

Plot cummulative returns

Realized Accumulation Plot

Realized BiPower Covariance

Hayashi-Yoshida Covariance

rmNegativeSpread

Synchronize (multiple) irregular timeseries by refresh time

Maginal Contribution to Realized Estimate

Realized Covariance: Kernel

realized_library

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

rKernel.available

Available Kernels

Realized Outlyingness Weighted Covariance

rmTradeOutliers

rScatterReturns

Scatterplot of aligned returns

Threshold Covariance

sample_returns_5min

Sample returns data

sample_5minprices

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

Sample of cleaned trades for stock XXX for 1 day

sample_5minprices_jumps

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

sample_real5minprices

Sample of imaginary price data for 61 days

Sample of cleaned quotes for stock XXX for 1 day

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

sample_qdataraw

Sample of raw quotes for stock XXX for 1 day

sample_tdataraw

Sample of raw trades for stock XXX for 1 day

Spot volatility estimation

tradesCleanupFinal

Calculate numerous (23) liquidity measures