Tools for Highfrequency Data Analysis
Plotting method for HEAVYmodel objects
Plotting method for DBH objects
Plotting method for HARmodel objects
Plot Trade and Quote data
Predict method for objects of type HARmodel
Iterative multi-step-ahead forecasting for HEAVY models
Printing method for DBH objects
Printing method for HARmodel objects
Cleans quote data
Rank jump test
Realized covariances via subsample averaging
rBACov
Aggregate a time series but keep first and last observation
Aggregate a data.table or xts object containing quote data
Aggregate a data.table or xts object containing trades data´
Aggregate a time series
Ait-Sahalia and Jacod (2009) tests for the presence of jumps in the pr...
Retain only data from the stock exchange with the highest volume
Retain only data from the stock exchange with the highest trading volu...
Internal HEAVY functions
Barndorff-Nielsen and Shephard (2006) tests for the presence of jumps ...
Business time aggregation
#' @keywords internal zgamma <- function (x, y, gamma_power) if (x^2 <...
Inference on drift burst hypothesis
Extract data from an xts object for the exchange hours only
Make TAQ format
Get high frequency data from Alpha Vantage
Get critical value for the drift burst hypothesis t-statistic
Compute Liquidity Measure
Get trade direction
Heterogeneous autoregressive (HAR) model for realized volatility model...
HEAVY model estimation
highfrequency: Tools for Highfrequency Data Analysis
Estimators of the integrated covariance
Intraday jump tests
Estimators of the integrated variance
Function returns the value, the standard error and the confidence band...
Jiang and Oomen (2008) tests for the presence of jumps in the price se...
ReMeDI tuning parameter
Lead-Lag estimation
Available kernels
Utility function listing the available estimators for the CholCov esti...
Make Open-High-Low-Close-Volume bars
Returns the positive semidefinite projection of a symmetric matrix usi...
Compute log returns
DEPRECATED use spreadPrices
Match trade and quote data
Merge multiple quote entries with the same time stamp
Merge multiple transactions with the same time stamp
to use when p,k different from range [4,6]
Delete the observations where the price is zero
Delete the observations where the bid or ask is zero
Realized beta
Realized bipower covariance
CholCov estimator
Realized covariance
Synchronize (multiple) irregular timeseries by refresh time
ReMeDI
Asymptotic variance of ReMeDI estimator
Hayashi-Yoshida covariance
Realized kernel estimator
Realized kurtosis of highfrequency return series.
DEPRECATED
An estimator of integrated quarticity from applying the median operato...
DEPRECATED
rMedRVar
DEPRECATED
An estimator of integrated quarticity from applying the minimum operat...
DEPRECATED
rMinRVar
Delete entries for which the spread is more than maxi times the medi...
Delete entries for which the spread is negative
Remove outliers in quotes
Remove outliers in trades without using quote data
DEPRECATED
Realized multipower variation
DEPRECATED rMRC
Modulated realized covariance
Delete transactions with unlikely transaction prices
Realized outlyingness weighted covariance
Realized quad-power variation of intraday returns
Realized quarticity
Robust two time scale covariance estimation
An estimator of realized variance.
Realized semicovariance
Realized skewness
DEPRECATED
Realized semivariance of highfrequency return series
Threshold Covariance
Realized tri-power quarticity
Two time scale covariance estimation
DEPRECATED DEPRECATED USE rRVar
salesCondition is deprecated. Use tradesCondition instead.
Retain only data from a single stock exchange
Spot Drift Estimation
Spot volatility estimation
Convert to format for realized measures
Summary for HARmodel objects
Cleans trade data
Perform a final cleaning procedure on trade data
Delete entries with abnormal trades condition.
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>).
Useful links