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highfrequency (version 0.5.3)

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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Version

Install

install.packages('highfrequency')

Monthly Downloads

1,540

Version

0.5.3

License

GPL (>= 2)

Maintainer

Last Published

March 3rd, 2018

Functions in highfrequency (0.5.3)

get price column(s) from a timeseries

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

Aggregate a time series but keep first and last observation

Load trade or quote data into R

Delete the observations where the price is zero

HEAVY Model estimation

Hayashi-Yoshida Covariance

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

Plot cummulative returns

Compute log returns

Realized Outlyingness Weighted Covariance

rmTradeOutliers

Delete transactions with unlikely transaction prices

Delete entries for which the mid-quote is outlying with respect to surrounding entries

HEAVY Model estimation using C code

getTradeDirection

Get trade direction

Robust two time scale covariance estimation

matchTradesQuotes

Match trade and quote data

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

highfrequency-package

Tools For Highfrequency Data Analysis

sample_tdataraw

Sample of raw trades for stock XXX for 1 day

mergeTradesSameTimestamp

Merge multiple transactions with the same time stamp

rKernel.available

Available Kernels

realized_library

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

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

Realized Covariance: Kernel

Delete the observations where the bid or ask is zero

Realized Accumulation Plot

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

Realized BiPower Covariance

previoustick (internal function)

mergeQuotesSameTimestamp

Merge multiple quote entries with the same time stamp

Realized beta: a tool in measuring risk with respect to the market.

Synchronize (multiple) irregular timeseries by refresh time

Realized Covariance

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

rScatterReturns

Scatterplot of aligned returns

Threshold Covariance

Two time scale covariance estimation

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

HAR model estimation (Heterogeneous Autoregressive model for Realized volatility)

rmNegativeSpread

Delete entries for which the spread is negative

Calculate numerous (23) liquidity measures

Delete entries with abnormal Sale Condition.

sample_5minprices

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

tradesCleanupFinal

Perform a final cleaning procedure on trade data

sample_qdataraw

Sample of raw quotes for stock XXX for 1 day

sample_real5minprices

Sample of imaginary price data for 61 days

Retain only data from a single stock exchange

Cleans quote data

Realized Covariance: Average Subsample

Realized multipower variation (MPV), an estimator of integrated power variation.

Cleans trade data

Spot volatility estimation

Maginal Contribution to Realized Estimate

sample_5minprices_jumps

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

Sample of cleaned quotes for stock XXX for 1 day

sample_returns_5min

Sample returns data

Sample of cleaned trades for stock XXX for 1 day

Barndorff- Nielsen and Shephard (2006) 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.

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

exchangeHoursOnly

Extract data from an xts object for the Exchange Hours Only

Realized skewness of highfrequency return series.

Realized tri-power variation of highfrequency return series.

Realized quarticity of highfrequency return series.

Modulated Realized Covariance (MRC): Return univariate or multivariate preaveraged estimator.

Realized quad-power variation of highfrequency return series.

Realized kurtosis of highfrequency return series.

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

Aggregate a time series

aggregateTrades

Aggregate an xts object containing trade data

Realized semivariance of highfrequency return series.

aggregateQuotes

Aggregate an xts object containing quote data

autoSelectExchangeTrades

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

autoSelectExchangeQuotes

Retain only data from the stock exchange with the highest volume