Thursday, February 11, 2016

New R Code for High-Frequency Financial Data Analysis

I looked through the manual (below). Looks well done.

From the email:

Package features estimators for working with high frequency market data.

Microstructure Noise:
- Autocovariance Noise Variance
- Realized Noise Variance
- Unbiased Realized Noise Variance
- Noise-to-Signal Ratio

Price Variance:
- Two Series Realized Variance
- Multiple Series Realized Variance
- Modulated Realized Variance
- Jump Robust Modulated Realized Variance
- Uncertainty Zones Realized Variance
- Kernel Realized Variance (Bartlett, Cubic, 5th/6th/7th/8th-order, Epanichnikov, Parzen, Tukey-Hanning kernels)

Price Quarticity:
- Realized Quarticity
- Realized Quad-power Quarticity
- Realized Tri-power Quarticity
- Modulated Realized Quarticity

- for R (@ CRAN):