highfrequency

Background

The highfrequency package is the go-to package for the analysis of intraday price data. The package was created as a merger of the RTAQ and realized packages in 2012. The package is in need of a thorough update.

Related work

What other R packages with similar functionality already exist? Why aren't they good enough?

Details of your coding project

• Improve the basis of the package

  • Set up a test environment using the R-package 'testthat'
  • Clean-up different notations, e.g. camelCase vs. underscore vs. dot
  • Improve documentation throughout the package, possibly by using the R-package 'roxygen2'
  • Add vignettes

• Fixing bugs

  • Update examples and functions where needed to be compatible with the millisecond data from TAQ.
  • Support for millisecond data in 'mergeTradesSameTimestamp'

• Data

  • Allow other data formats than xts
    • data.table
    • tibbles, which allows purrr-like rolling-window forecasting
  • Support for other high-frequency providers than TAQ, e.g. Tick Data
  • Implement direct loading of the realized library of the oxford-man institute.
    • Because the current version of the realized library is in 'long‘-format, it would be a nice data set for using it in vignettes that describe a data.frame/data.table/dplyr-approach to financial analysis using the highfrequency package.
    • Given that realized measures are already calculated in this instance, people will first and foremost employ the models implemented in the highfrequency package, e.g. HAR, HEAVY and maybe others to be added through GSOC. However, the models that are included in the highfrequency package are among the most often employed ones on this data set. Hence, it will be of great help for researchers even though data cleaning and is not necessary.

• Features

  • Allow external regressors, e.g. the VIX, in models that are implemented in the package, e.g. harModel
  • Add generic functions, e.g. predict, to models included in the package, e.g. for HEAVY models
  • Simplify model evaluation by integrating models into broom
  • Include a spotdrift estimation function, already in contact with the author of DriftBurstHypothesis
  • Employing C++ implementations using Rcpp where current functions are slow

Expected impact

The changes to the package reflect the requests of different users of the highfrequency package. Addressing those needs will thus be useful for the R community.

Mentors

Kris Boudt, Dirk Eddelbuettel.

Tests

NA.

Solutions of tests

NA.