makeReturns

Convenience function to calculate log-returns, also used extensively internally.
Accepts <code>xts</code> and <code>matrix</code>-like objects. If you use this with a <code>data.table</code> object, remember to not pass the <code>DT</code> column.
$$
\mbox{log return}_t = (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})).
$$

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. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

makeReturns function

<dl><dt>ts</dt>
<dd>a possibly multivariate matrix-like object containing prices in levels. If <code>ts</code> is an <code>xts</code> object, we return an <code>xts</code> object. Other types will result in a <code>matrix</code></dd></dl>

Arguments

Jonathan Cornelissen, Kris Boudt, and Emil Sjoerup

Author

Compute log returns — makeReturns

<dl>

<dt>ts</dt>
<dd>a possibly multivariate matrix-like object containing prices in levels. If <code>ts</code> is an <code>xts</code> object, we return an <code>xts</code> object. Other types will result in a <code>matrix</code></dd>

</dl>

makeReturns: Compute log returns

Description

Usage

Value

Arguments

Author

Details