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highfrequency (version 0.8.0)

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, detect price jumps and investigate microstructure noise and intraday periodicity.

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Install

install.packages('highfrequency')

Monthly Downloads

1,728

Version

0.8.0

License

GPL (>= 2)

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Repository

https://github.com/jonathancornelissen/highfrequency

Maintainer

Kris Boudt

Last Published

January 9th, 2021

Functions in highfrequency (0.8.0)

HEAVY model estimation

Barndorff-Nielsen and Shephard (2006) tests for the presence of jumps in the price series.

ReMeDIAsymptoticVariance

Asymptotic variance of ReMeDI estimator

Internal HEAVY functions

An estimator of realized variance.

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

Heterogeneous autoregressive (HAR) model for realized volatility model estimation

Ait-Sahalia and Jacod (2009) tests for the presence of jumps in the price series.

Inference on drift burst hypothesis

Function returns the value, the standard error and the confidence band of the integrated variance (IV) estimator.

businessTimeAggregation

Business time aggregation

autoSelectExchangeTrades

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

Aggregate a time series but keep first and last observation

SPY realized measures

getAlphaVantageData

Get high frequency data from Alpha Vantage

getCriticalValues

Get critical value for the drift burst hypothesis t-statistic

exchangeHoursOnly

Extract data from an xts object for the exchange hours only

listCholCovEstimators

Utility function listing the available estimators for the CholCov estimation

Delete the observations where the bid or ask is zero

listAvailableKernels

Available kernels

Delete the observations where the price is zero

aggregateQuotes

Aggregate a data.table or xts object containing quote data

Aggregate a time series

intradayJumpTest

Intraday jump tests

Compute log returns

highfrequency-package

highfrequency: Tools for Highfrequency Data Analysis

Convert to format for realized measures

aggregateTrades

Aggregate a data.table or xts object containing trades data<U+00B4>

Lead-Lag estimation

ReMeDI tuning parameter

matchTradesQuotes

Match trade and quote data

getLiquidityMeasures

Compute Liquidity Measure Function returns an xts or data.table object containing 23 liquidity measures. Please see details below. Note that this assumes a regular time grid.

autoSelectExchangeQuotes

Retain only data from the stock exchange with the highest volume

Printing method for HARmodel objects

getTradeDirection

Get trade direction

mergeTradesSameTimestamp

Merge multiple transactions with the same time stamp

predict.HEAVYmodel

Iterative multi-step-ahead forecasting for HEAVY models

Printing method for DBH objects

Hayashi-Yoshida covariance

Realized covariance

to use when p,k different from range [4,6]

Realized bipower covariance

Realized covariances via subsample averaging

mergeQuotesSameTimestamp

Merge multiple quote entries with the same time stamp

Plotting method for DBH objects

Realized quad-power variation of intraday returns

Realized outlyingness weighted covariance

Modulated realized covariance

CholCov estimator

Realized multipower variation

Plotting method for HARmodel objects

Make Open-High-Low-Close-Volume bars

Robust two time scale covariance estimation

Realized quarticity

Cleans quote data

predict.HARmodel

Predict method for objects of type HARmodel

An estimator of integrated quarticity from applying the median operator on blocks of three returns

plot.HEAVYmodel

Plotting method for HEAVYmodel objects

Realized kernel estimator

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

Synchronize (multiple) irregular timeseries by refresh time

Realized tri-power quarticity

Realized kurtosis of highfrequency return series.

Realized skewness

Realized semivariance of highfrequency return series

salesCondition is deprecated. Use tradesCondition instead.

sampleOneMinuteData

One minute data

Two time scale covariance estimation

An estimator of integrated quarticity from applying the minimum operator on blocks of two returns

tradesCleanupUsingQuotes

Perform a final cleaning procedure on trade data

Sample of raw trades for stock XXX for 2 days

Retain only data from a single stock exchange

Spot volatility estimation

Realized semicovariance

Spot Drift Estimation

rmNegativeSpread

Delete entries for which the spread is negative

Threshold Covariance

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

Sample of cleaned quotes for stock XXX for 2 days measured in microseconds

summary.HARmodel

Summary for HARmodel objects

rmOutliersQuotes

Remove outliers in quotes

Sample of cleaned trades for stock XXX for 2 days

sampleTDataEurope

rmTradeOutliersUsingQuotes

Delete transactions with unlikely transaction prices

tradesCondition

Delete entries with abnormal trades condition.

Sample of raw quotes for stock XXX for 2 days measured in microseconds

Cleans trade data