Package: highfrequency 1.0.0
Kris Boudt
highfrequency: Tools for Highfrequency Data Analysis
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 paper "Analyzing Intraday Financial Data in R: The highfrequency Package" by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>). The DOI in the CITATION is for a new Journal of Statistical Software publication that will be registered after publication on CRAN. A working paper version can be found on SSRN: <doi:10.2139/ssrn.3917548>.
Authors:
highfrequency_1.0.0.tar.gz
highfrequency_1.0.0.zip(r-4.5)highfrequency_1.0.0.zip(r-4.4)highfrequency_1.0.0.zip(r-4.3)
highfrequency_1.0.0.tgz(r-4.4-x86_64)highfrequency_1.0.0.tgz(r-4.4-arm64)highfrequency_1.0.0.tgz(r-4.3-x86_64)highfrequency_1.0.0.tgz(r-4.3-arm64)
highfrequency_1.0.0.tar.gz(r-4.5-noble)highfrequency_1.0.0.tar.gz(r-4.4-noble)
highfrequency_1.0.0.tgz(r-4.4-emscripten)highfrequency_1.0.0.tgz(r-4.3-emscripten)
highfrequency.pdf |highfrequency.html✨
highfrequency/json (API)
NEWS
| # Install 'highfrequency' in R: |
| install.packages('highfrequency', repos = c('https://jonathancornelissen.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/jonathancornelissen/highfrequency/issues
- SPYRM - SPY realized measures
- 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
Last updated 2 years agofrom:967dc40e0f. Checks:OK: 1 ERROR: 8. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 07 2024 |
| R-4.5-win-x86_64 | ERROR | Nov 07 2024 |
| R-4.5-linux-x86_64 | ERROR | Nov 07 2024 |
| R-4.4-win-x86_64 | ERROR | Nov 07 2024 |
| R-4.4-mac-x86_64 | ERROR | Nov 07 2024 |
| R-4.4-mac-aarch64 | ERROR | Nov 07 2024 |
| R-4.3-win-x86_64 | ERROR | Nov 07 2024 |
| R-4.3-mac-x86_64 | ERROR | Nov 07 2024 |
| R-4.3-mac-aarch64 | ERROR | Nov 07 2024 |
Exports:aggregatePriceaggregateQuotesaggregateTradesaggregateTSAJjumpTestautoSelectExchangeQuotesautoSelectExchangeTradesBNSjumpTestbusinessTimeAggregationdriftBurstsexchangeHoursOnlygatherPricesgetAlphaVantageDatagetCriticalValuesgetLiquidityMeasuresgetTradeDirectionHARmodelHEAVYmodelintradayJumpTestIVinferenceJOjumpTestknChooseReMeDIleadLaglistAvailableKernelslistCholCovEstimatorsmakeOHLCVmakePsdmakeReturnsmakeRMFormatmatchTradesQuotesmergeQuotesSameTimestampmergeTradesSameTimestampnoZeroPricesnoZeroQuotesplotTQDataquotesCleanuprankJumpTestrAVGCovrBACovrBetarBPCovrCholCovrCovrefreshTimeReMeDIReMeDIAsymptoticVariancerHYCovrKernelCovrKurtrMedRQrMedRQuarrMedRVrMedRVarrMinRQrMinRQuarrMinRVrMinRVarrmLargeSpreadrmNegativeSpreadrmOutliersQuotesrMPVrMPVarrMRCrMRCovrmTradeOutliersUsingQuotesrOWCovrQPVarrQuarrRTSCovrRVarrSemiCovrSkewrSVrSVarrThresholdCovrTPQuarrTSCovRVsalesConditionselectExchangespotDriftspotVolspreadPricestradesCleanuptradesCleanupUsingQuotestradesCondition
Dependencies:curldata.tableDEoptimRjsonlitelatticenumDerivquantmodRcppRcppArmadilloRcppRollrobustbaseRsolnpsandwichtruncnormTTRxtszoo
