# Tools for Highfrequency Data Analysis

## Documentation for package ‘highfrequency’ version 0.6.4

- DESCRIPTION file.
- User guides, package vignettes and other documentation.

## Help Pages

highfrequency-package | highfrequency: Tools for Highfrequency Data Analysis
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
BNSjumptest | Barndorff-Nielsen and Shephard (2006) tests for the presence of jumps in the price series.
exchangeHoursOnly | Extract data from an xts object for the Exchange Hours Only
getLiquidityMeasures | Compute Liquidity Measure Function returns an xts or data.table object containing 23 liquidity measures. Please see details below. Note that this assumes a regular time grid. The Lee + Ready measure uses two lags for the Tick Rule.
getPrice | Get price column(s) from a timeseries
getTradeDirection | Get trade direction
harModel | HAR model estimation (Heterogeneous Autoregressive model for Realized volatility)
hasQty | Check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data
heavyModel | HEAVY Model estimation
highfrequency | highfrequency: Tools for Highfrequency Data Analysis
ivInference | Function returns the value, the standard error and the confidence band of the integrated variance (IV) estimator.
JOjumptest | Jiang and Oomen (2008) tests for the presence of jumps in the price series.
listAvailableKernels | Available Kernels
lltc | LLTC Data
makePsd | Returns the positive semidinite projection of a symmetric matrix using the eigenvalue method
makeReturns | Compute log returns
matchTradesQuotes | Match trade and quote data
medRQ | An estimator of integrated quarticity from applying the median operator on blocks of three returns.
medRV | medRV
mergeQuotesSameTimestamp | Merge multiple quote entries with the same time stamp
mergeTradesSameTimestamp | Merge multiple transactions with the same time stamp
minRQ | An estimator of integrated quarticity from applying the minimum operator on blocks of two returns.
minRV | minRV
MRC | Modulated Realized Covariance (MRC): Return univariate or multivariate preaveraged estimator.
noZeroPrices | Delete the observations where the price is zero
noZeroQuotes | Delete the observations where the bid or ask is zero
quotesCleanup | Cleans quote data
rAVGCov | Realized Covariance: Average Subsample
rBeta | Realized beta: a tool in measuring risk with respect to the market.
rBPCov | Realized BiPower Covariance
rCov | Realized Covariance
realized_library | The realized library from the Oxford-Man Institute of Quantitative Finance
refreshTime | Synchronize (multiple) irregular timeseries by refresh time
rHYCov | Hayashi-Yoshida Covariance
rKernelCov | Realized Covariance: Kernel
rKurt | Realized kurtosis of highfrequency return series.
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 | Delete entries for which the mid-quote is outlying with respect to surrounding entries
rMPV | Realized multipower variation (MPV), an estimator of integrated power variation.
rmTradeOutliers | Delete transactions with unlikely transaction prices
rmTradeOutliersUsingQuotes | Delete transactions with unlikely transaction prices
rOWCov | Realized Outlyingness Weighted Covariance
rQPVar | Realized quad-power variation of highfrequency return series.
rQuar | Realized quarticity of highfrequency return series.
rRTSCov | Robust two time scale covariance estimation
rSkew | Realized skewness of highfrequency return series.
rSV | Realized semivariance of highfrequency return series.
rThresholdCov | Threshold Covariance
rTPVar | Realized tri-power variation estimator of quarticity for a highfrequency return series.
RTQ | Calculate the realized tripower quarticity
rTSCov | Two time scale covariance estimation
RV | An estimator of realized variance.
salesCondition | Delete entries with abnormal Sale Condition.
sample_5minprices | Ten artificial time series for the NYSE trading days during January 2010
sample_5minprices_jumps | Ten artificial time series (including jumps) for the NYSE trading days during January 2010
sample_qdata | Sample of cleaned quotes for stock XXX for 1 day
sample_qdataraw | Sample of raw quotes for stock XXX for 1 day
sample_qdataraw_microseconds | Sample of raw quotes for stock XXX for 2 days measured in microseconds
sample_qdata_microseconds | Sample of cleaned quotes for stock XXX for 2 days measured in microseconds
sample_real5minprices | Sample of imaginary price data for 61 days
sample_returns_5min | Sample returns data
sample_tdata | Sample of cleaned trades for stock XXX for 1 day
sample_tdataraw | Sample of raw trades for stock XXX for 1 day
sample_tdataraw_microseconds | Sample of raw trades for stock XXX for 2 days
sample_tdata_microseconds | Sample of cleaned trades for stock XXX for 2 days
sbux | Starbucks Data
selectExchange | Retain only data from a single stock exchange
SP500RM | SP500 Realized Measures calculated with 5 minute sampling
spotDrift | Spot Drift Estimation
spotvol | Spot volatility estimation
tradesCleanup | Cleans trade data
tradesCleanupUsingQuotes | Perform a final cleaning procedure on trade data