AJjumptest              Ait-Sahalia and Jacod (2009) tests for the
                        presence of jumps in the price series.
BNSjumptest             Barndorff-Nielsen and Shephard (2006) tests for
                        the presence of jumps in the price series.
JOjumptest              Jiang and Oomen (2008) tests for the presence
                        of jumps in the price series.
MRC                     Modulated Realized Covariance (MRC): Return
                        univariate or multivariate preaveraged
                        estimator.
RTQ                     Calculate the realized tripower quarticity
RV                      An estimator of realized variance.
SP500RM                 SP500 Realized Measures calculated with 5
                        minute sampling
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
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
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-package   highfrequency: Tools for Highfrequency Data
                        Analysis
ivInference             Function returns the value, the standard error
                        and the confidence band of the integrated
                        variance (IV) estimator.
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
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
rBPCov                  Realized BiPower Covariance
rBeta                   Realized beta: a tool in measuring risk with
                        respect to the market.
rCov                    Realized Covariance
rHYCov                  Hayashi-Yoshida Covariance
rKernelCov              Realized Covariance: Kernel
rKurt                   Realized kurtosis of highfrequency return
                        series.
rMPV                    Realized multipower variation (MPV), an
                        estimator of integrated power variation.
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
rSV                     Realized semivariance of highfrequency return
                        series.
rSkew                   Realized skewness of highfrequency return
                        series.
rTPVar                  Realized tri-power variation estimator of
                        quarticity for a highfrequency return series.
rTSCov                  Two time scale covariance estimation
rThresholdCov           Threshold Covariance
realized_library        The realized library from the Oxford-Man
                        Institute of Quantitative Finance
refreshTime             Synchronize (multiple) irregular timeseries by
                        refresh time
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
rmTradeOutliers         Delete transactions with unlikely transaction
                        prices
rmTradeOutliersUsingQuotes
                        Delete transactions with unlikely transaction
                        prices
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_qdata_microseconds
                        Sample of cleaned quotes for stock XXX for 2
                        days measured in microseconds
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_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_tdata_microseconds
                        Sample of cleaned trades for stock XXX for 2
                        days
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
sbux                    Starbucks Data
selectExchange          Retain only data from a single stock exchange
spotDrift               Spot Drift Estimation
spotvol                 Spot volatility estimation
tradesCleanup           Cleans trade data
tradesCleanupUsingQuotes
                        Perform a final cleaning procedure on trade
                        data
