The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
Fix typo where in spotVol, the stochastic periodicity was erroneously written as stochper instead of stochPer.
Better consistency with the choices in spot* functions
Add warning instead of print in detPer in spotVol. The periodic component is no longer set to 1 either, just warned that results may be weird.
Implement Beta-Adjusted realized covariance estimation in the rBACov function
Add plotTQData function to plot trades and quotes.
Add ICov and IVar documentation pages that work as lists of implemented estimators of the integrated covariance and the integrated variance, respectively.
Deprecated loads of realized measure estimators and added new versions, so we have a higher degree of uniformity in function names.
More or less complete rework of HEAVY model and related functions
Fix bug in HARCJ model, thanks to @SKMASON (Zhixi Shao) for reporting the bug and providing pointers for the fix.
Better formatting of NEWS.md
aggregateTS now accept both data.table and xts objects
Version 0.9.0 is now ready for release.
This versions entry in NEWS.md:
Changes in version 0.9.0
Fix typo where in spotVol, the stochastic periodicity was erroneously written as stochper instead of stochPer.
Better consistency with the choices in spot* functions
Add warning instead of print in detPer in spotVol. The periodic component is no longer set to 1 either, just warned that results may be weird.
Implement Beta-Adjusted realized covariance estimation in the rBACov function
Add plotTQData function to plot trades and quotes.
Add ICov and IVar documentation pages that work as lists of implemented estimators of the integrated covariance and the integrated variance, respectively.
Deprecated loads of realized measure estimators and added new versions, so we have a higher degree of uniformity in function names.
More or less complete rework of HEAVY model and related functions
Fix bug in HARCJ model, thanks to @SKMASON (Zhixi Shao) for reporting the bug and providing pointers for the fix.
Better formatting of NEWS.md
aggregateTS now accept both data.table and xts objects