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

• Features

  • Allow external regressors, e.g. the VIX, in models that are implemented in the package, e.g. harModel
  • Add generic functions to models included in the package, e.g. for HEAVY models
  • 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

Mentors, please explain how this project will produce a useful package for the R community.

Mentors

Kris Boudt, Dirk Eddelbuettel.

Tests

Solutions of tests