R: Tools for Highfrequency Data Analysis

# Tools for Highfrequency Data Analysis

## Documentation for package ‘highfrequency’ version 1.0.3

- DESCRIPTION file
- Package NEWS

## Help Pages

A B D E G H I J K L M N P Q R S T

highfrequency-package | highfrequency: Tools for Highfrequency Data Analysis

## -- A --

aggregatePrice | Aggregate a time series but keep first and last observation
aggregateQuotes | Aggregate a 'data.table' or 'xts' object containing quote data
aggregateTrades | Aggregate a 'data.table' or 'xts' object containing trades data´
aggregateTS | Aggregate a time series
AJjumpTest | Ait-Sahalia and Jacod (2009) tests for the presence of jumps in the price series.
autoSelectExchangeQuotes | Retain only data from the stock exchange with the highest volume
autoSelectExchangeTrades | Retain only data from the stock exchange with the highest trading volume

## -- B --

BNSjumpTest | Barndorff-Nielsen and Shephard (2006) tests for the presence of jumps in the price series.
businessTimeAggregation | Business time aggregation

## -- D --

driftBursts | Inference on drift burst hypothesis

## -- E --

exchangeHoursOnly | Extract data from an 'xts' object for the exchange hours only

## -- G --

gatherPrices | Make TAQ format
getAlphaVantageData | Get high frequency data from Alpha Vantage
getCriticalValues | Get critical value for the drift burst hypothesis t-statistic
getCriticalValues.DBH | Get critical value for the drift burst hypothesis t-statistic
getLiquidityMeasures | Compute Liquidity Measure
getTradeDirection | Get trade direction

## -- H --

HARmodel | Heterogeneous autoregressive (HAR) model for realized volatility model estimation
HEAVYmodel | HEAVY model estimation
highfrequency | highfrequency: Tools for Highfrequency Data Analysis

## -- I --

ICov | Estimators of the integrated covariance
intradayJumpTest | Intraday jump tests
IVar | Estimators of the integrated variance
IVinference | Function returns the value, the standard error and the confidence band of the integrated variance (IV) estimator.

## -- J --

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

## -- K --

knChooseReMeDI | ReMeDI tuning parameter

## -- L --

leadLag | Lead-Lag estimation
listAvailableKernels | Available kernels
listCholCovEstimators | Utility function listing the available estimators for the CholCov estimation

## -- M --

makeOHLCV | Make Open-High-Low-Close-Volume bars
makePsd | Returns the positive semidefinite projection of a symmetric matrix using the eigenvalue method
makeReturns | Compute log returns
makeRMFormat | DEPRECATED use 'spreadPrices'
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

## -- N --

noZeroPrices | Delete the observations where the price is zero
noZeroQuotes | Delete the observations where the bid or ask is zero

## -- P --

plot.DBH | Plotting method for 'DBH' objects
plot.HARmodel | Plotting method for HARmodel objects
plot.HEAVYmodel | Plotting method for HEAVYmodel objects
plotTQData | Plot Trade and Quote data
predict.HARmodel | Predict method for objects of type 'HARmodel'
predict.HEAVYmodel | Iterative multi-step-ahead forecasting for HEAVY models
print.DBH | Printing method for 'DBH' objects
print.HARmodel | Printing method for 'HARmodel' objects

## -- Q --

quotesCleanup | Cleans quote data

## -- R --

rankJumpTest | Rank jump test
rAVGCov | Realized covariances via subsample averaging
rBACov | rBACov
rBeta | Realized beta
rBPCov | Realized bipower covariance
rCholCov | CholCov estimator
rCov | Realized covariance
refreshTime | Synchronize (multiple) irregular timeseries by refresh time
ReMeDI | ReMeDI
ReMeDIAsymptoticVariance | Asymptotic variance of ReMeDI estimator
rHYCov | Hayashi-Yoshida covariance
rKernelCov | Realized kernel estimator
rKurt | Realized kurtosis of highfrequency return series.
rMedRQ | DEPRECATED
rMedRQuar | An estimator of integrated quarticity from applying the median operator on blocks of three returns
rMedRV | DEPRECATED
rMedRVar | rMedRVar
rMinRQ | DEPRECATED
rMinRQuar | An estimator of integrated quarticity from applying the minimum operator on blocks of two returns
rMinRV | DEPRECATED
rMinRVar | rMinRVar
rmLargeSpread | Delete entries for which the spread is more than 'maxi' times the median spread
rmNegativeSpread | Delete entries for which the spread is negative
rmOutliersQuotes | Remove outliers in quotes
rmOutliersTrades | Remove outliers in trades without using quote data
rMPV | DEPRECATED
rMPVar | Realized multipower variation
rMRC | DEPRECATED rMRC
rMRCov | Modulated realized covariance
rmTradeOutliersUsingQuotes | Delete transactions with unlikely transaction prices
rOWCov | Realized outlyingness weighted covariance
rQPVar | Realized quad-power variation of intraday returns
rQuar | Realized quarticity
rRTSCov | Robust two time scale covariance estimation
rRVar | An estimator of realized variance.
rSemiCov | Realized semicovariance
rSkew | Realized skewness
rSV | DEPRECATED
rSVar | Realized semivariance of highfrequency return series
rThresholdCov | Threshold Covariance
rTPQuar | Realized tri-power quarticity
rTSCov | Two time scale covariance estimation
RV | DEPRECATED DEPRECATED USE 'rRVar'

## -- S --

salesCondition | salesCondition is deprecated. Use tradesCondition instead.
sampleMultiTradeData | Multivariate tick by tick data
sampleOneMinuteData | One minute data
sampleQData | Sample of cleaned quotes for stock XXX for 2 days measured in microseconds
sampleQDataRaw | Sample of raw quotes for stock XXX for 2 days measured in microseconds
sampleTData | Sample of cleaned trades for stock XXX for 2 days
sampleTDataEurope | European data
sampleTDataRaw | Sample of raw trades for stock XXX for 2 days
selectExchange | Retain only data from a single stock exchange
spotDrift | Spot Drift Estimation
spotVol | Spot volatility estimation
spreadPrices | Convert to format for realized measures
SPYRM | SPY realized measures
summary.HARmodel | Summary for 'HARmodel' objects

## -- T --

tradesCleanup | Cleans trade data
tradesCleanupUsingQuotes | Perform a final cleaning procedure on trade data
tradesCondition | Delete entries with abnormal trades condition.