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highfrequency 1.0.1
- New function: rmOutliersTrades
- Bug fix: exchangeHoursOnly doesn’t work for xts
- Bug fix: rMinRVar and rMPVar didn’t work with data.table
highfrequency 1.0.0
- Updated citation as a paper on our package will be published in the
Journal of Statistical Software
highfrequency 0.9.5
highfrequency 0.9.4
- Fixing reverse dependency issues w.r.t. FKF
- Removed option based on BMS package because it got removed from
CRAN
highfrequency 0.9.3
- HEAVY model test less strict
- Corrected bitwise ‘&’ with boolean operand
highfrequency 0.9.2
highfrequency 0.9.1
- Bug fix in ReMeDI estimator
highfrequency 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
highfrequency 0.8.0
- Various bugfixes and performance improvements
- Added lowercase “r” in front of realized measures that did not have
it, so it can easily be found in IDEs with highfrequency::
- Added drift burst code
- Added Backwards - Forwards matching algorithm to cleaning step.
Thanks to Kim Christensen for providing his Matlab code.
- removed various datasets, outdated TAQ format, simulated 5-minute
prices, returns, and prices with jumps
- Added European sample data, anonymized one-minute data with
anonymous stock and market data, as well as home-grown dataset with
realized measures
- The arguments “on” and “k” in data handling is now “alignBy” and
“alignPeriod” respectively. This means that the realized measures and
data handling functions have similar notation
- Improved UX in data cleaning functions by having more clear report
on the trades when prompted and adding defaults that follow the standard
in the literature
- Added data.table support to (most) realized measures
- Added functions makeRMFormat and makeOHLCV to convert data from a
long format to a format that can be used for realized measures, and to
make arbitrary period bars.
- HARmodel has less ‘RV’ in the types - much easier to type and read,
also it now supports an external regressor and has robust standard
errors reported in the summary.
- add asymptotic variance estimator for ReMeDI estimation - thanks to
Merrick Li for contributing his Matlab code
- In general, improved documentation. Also, better documentation of
methods which were, in most cases undocumented and not clearly
exported
highfrequency 0.7.0
- New naming convention
- Bugfix in BNSjumpTest, JOjumpTest, AJjumpTest. These functions
behaved in an unexpected and inconsistent manner when the input spanned
more than one day
- Bugfix in aggregateTS function which in edge cases returned data
from AFTER the input data
- Implement intradayJumpTest function which allows for flexible
Lee-Mykland style jump tests
- Implement rankJumpTest to test for the rank of the jump matrix
- Implement new features in spotVol. Now the local volatility can be
estimated with realized measures, they can also be used with
pre-averaged realized measures.
- Implement a wrapper around quantmod’s getSymbols.av function
- harModel now includes Newey-West standard errors in the output
- Bugfix for refreshTime function and large performance
improvement
- Implement CholCov estimator in rCholCov
- Bugfixes in data handling functions, which sometimes produced
different results depending on the options(digits.secs) setting. Most
data handling functions now run considerably faster as a consequence of
internally using numerics for timestamps.
- Implemented new realized semi-covariance estimator in rSemiCov
- Implemented new lead-lag estimation in leadLag
- Implemented ReMeDI estimation in ReMeDI
- More transparently handle the lagging of quotes when matching these
with trades, now the user has control of this.
- Add business time sampling
- Changes to the included datasets. The microseconds quote datasets
have been thinned out aggressively for exchanges != “N”
highfrequency 0.6.5
- bug fix for kernelCov if cor = TRUE
- compatibility with lubridate 1.7.8
highfrequency 0.6.4
- bug fix in refreshTime (affected rMRC for n > 2)
- one additional test for rMRC
- updated realized library file until end of 2019
highfrequency 0.6.3
- aggregateTrades size aggregation bug fix
highfrequency 0.6.2
- spotVol and spotDrift do not assume naming convention for univariate
time series anymore
- bug fix tpv and finite sample corrections
highfrequency 0.6.1
- bug fix for Fedora compilation
highfrequency 0.6.0
- all new backend
- documentation via roxygen2
- testing via test_that
- covr integration on github
- microsecond compatibility for WRDS files
- improved documentation
- new options in harModel
- updated data sets
- updated references
- cleanup of code basis
highfrequency 0.5
- converted so that it would work with Cran
- added missing data files
- compressed data files
highfrequency 0.4
- update package code github to version on rforge
- to do: print more output in tradesCleanup about the different
filters
- correction to implementation AJjumptest by Giang
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