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highfrequency (version 1.0.2)

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. 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, ).

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Install

install.packages('highfrequency')

Monthly Downloads

1,693

Version

1.0.2

License

GPL (>= 2)

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Repository

https://github.com/jonathancornelissen/highfrequency

Maintainer

Kris Boudt

Last Published

December 8th, 2025

Functions in highfrequency (1.0.2)

autoSelectExchangeQuotes

Retain only data from the stock exchange with the highest volume

ReMeDIAsymptoticVariance

Asymptotic variance of ReMeDI estimator

SPY realized measures

Aggregate a time series but keep first and last observation

autoSelectExchangeTrades

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

Aggregate a time series

aggregateTrades

Aggregate a data.table or xts object containing trades data´

aggregateQuotes

Aggregate a data.table or xts object containing quote data

businessTimeAggregation

Business time aggregation

Inference on drift burst hypothesis

exchangeHoursOnly

Extract data from an xts object for the exchange hours only

highfrequency-package

highfrequency: Tools for Highfrequency Data Analysis

getTradeDirection

Get trade direction

getCriticalValues

Get critical value for the drift burst hypothesis t-statistic

Compute log returns

getLiquidityMeasures

Compute Liquidity Measure

matchTradesQuotes

Match trade and quote data

mergeQuotesSameTimestamp

Merge multiple quote entries with the same time stamp

mergeTradesSameTimestamp

Merge multiple transactions with the same time stamp

ReMeDI tuning parameter

Make Open-High-Low-Close-Volume bars

intradayJumpTest

Intraday jump tests

listCholCovEstimators

Utility function listing the available estimators for the CholCov estimation

Lead-Lag estimation

DEPRECATED use spreadPrices

getAlphaVantageData

Get high frequency data from Alpha Vantage

Make TAQ format

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

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

listAvailableKernels

Available kernels

plot.HEAVYmodel

Plotting method for HEAVYmodel objects

Plotting method for HARmodel objects

predict.HEAVYmodel

Iterative multi-step-ahead forecasting for HEAVY models

Delete the observations where the price is zero

Delete the observations where the bid or ask is zero

Plotting method for DBH objects

CholCov estimator

Realized covariance

Plot Trade and Quote data

Realized covariances via subsample averaging

predict.HARmodel

Predict method for objects of type HARmodel

Realized kernel estimator

Realized kurtosis of highfrequency return series.

Hayashi-Yoshida covariance

Realized bipower covariance

Robust two time scale covariance estimation

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

Printing method for DBH objects

Realized semivariance of highfrequency return series

Printing method for HARmodel objects

An estimator of realized variance.

Modulated realized covariance

DEPRECATED rMRC

Realized quarticity

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

Realized quad-power variation of intraday returns

Realized semicovariance

Cleans quote data

Threshold Covariance

Realized multipower variation

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

Realized skewness

sampleOneMinuteData

One minute data

rmNegativeSpread

Delete entries for which the spread is negative

Realized tri-power quarticity

Realized outlyingness weighted covariance

rmOutliersQuotes

Remove outliers in quotes

sampleTDataEurope

rmOutliersTrades

Remove outliers in trades without using quote data

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

Sample of cleaned trades for stock XXX for 2 days

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

rmTradeOutliersUsingQuotes

Delete transactions with unlikely transaction prices

Sample of raw trades for stock XXX for 2 days

Two time scale covariance estimation

Spot Drift Estimation

Spot volatility estimation

summary.HARmodel

Summary for HARmodel objects

Synchronize (multiple) irregular timeseries by refresh time

Convert to format for realized measures

Retain only data from a single stock exchange

Cleans trade data

salesCondition is deprecated. Use tradesCondition instead.

sampleMultiTradeData

Multivariate tick by tick data

tradesCondition

Delete entries with abnormal trades condition.

tradesCleanupUsingQuotes

Perform a final cleaning procedure on trade data

Estimators of the integrated variance

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

HEAVY model estimation

DEPRECATED DEPRECATED USE rRVar

Estimators of the integrated covariance

Internal HEAVY functions

Heterogeneous autoregressive (HAR) model for realized volatility model estimation

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

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

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