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.
Reported issue: "I have a clarifying question about the “pData” input used in some functions, e.g. my example the rCholCov-function:
The price series in pData must be logged from my understanding. Is this correct?
The documentation states that input should be “intraday price data”.
The code (realizedMeasures.R, function rCholCov, line 3284 defines returns as:
returns <- diff(dat)[-1,]
Testing suggests using log-prices as input. "
kboudt
commented
2 years ago
Reported issue: "I have a clarifying question about the “pData” input used in some functions, e.g. my example the rCholCov-function: The price series in pData must be logged from my understanding. Is this correct? The documentation states that input should be “intraday price data”. The code (realizedMeasures.R, function rCholCov, line 3284 defines returns as: returns <- diff(dat)[-1,] Testing suggests using log-prices as input. "