[Highfrequency-commits] r56 - in pkg/highfrequency: . R src
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Oct 14 14:08:30 CEST 2013
Author: kboudt
Date: 2013-10-14 14:08:29 +0200 (Mon, 14 Oct 2013)
New Revision: 56
Modified:
pkg/highfrequency/DESCRIPTION
pkg/highfrequency/NAMESPACE
pkg/highfrequency/R/highfrequencyGSOC.R
pkg/highfrequency/src/highfrequency.c
pkg/highfrequency/src/highfrequency.h
Log:
Previous upload contained polluted files. This update corrects these and also adds the corrected c-code.
Modified: pkg/highfrequency/DESCRIPTION
===================================================================
--- pkg/highfrequency/DESCRIPTION 2013-10-14 12:01:06 UTC (rev 55)
+++ pkg/highfrequency/DESCRIPTION 2013-10-14 12:08:29 UTC (rev 56)
@@ -1,11 +1,15 @@
-Package: highfrequency
-Version: 0.1
-Date: 2011-04-04
-Title: highfrequency
+Package: highfrequency
+Version: 0.1
+Date: 2011-04-04
+Title: highfrequency
Author: Jonathan Cornelissen, Kris Boudt, Scott Payseur
-Maintainer: Jonathan Cornelissen <Jonathan.Cornelissen at kuleuven.be>
+Maintainer: Jonathan Cornelissen
+ <Jonathan.cornelissen at econ.kuleuven.be>
+Contributor: Giang Nguyen, Chris Blakely
Description: 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.
License: GPL (>= 2)
Depends: R (>= 2.12.0), xts, zoo
-Suggests: realized, robustbase, cubature, mvtnorm, chron, timeDate, quantmod
+Suggests: realized, robustbase, cubature, mvtnorm, chron, timeDate,
+ quantmod
LazyLoad: yes
+Packaged: 2012-12-24 14:16:40 UTC; jonathancornelissen
Modified: pkg/highfrequency/NAMESPACE
===================================================================
--- pkg/highfrequency/NAMESPACE 2013-10-14 12:01:06 UTC (rev 55)
+++ pkg/highfrequency/NAMESPACE 2013-10-14 12:08:29 UTC (rev 56)
@@ -1,6 +1,6 @@
-useDynLib(highfrequency);
-import(zoo);
-import(xts);
+useDynLib(highfrequency);
+import(zoo);
+import(xts);
export(
minRV,
@@ -29,12 +29,12 @@
spotVol,
matchTradesQuotes,
getTradeDirection,
-tqLiquidity,
+tqLiquidity,
tradesCleanup,
quotesCleanup,
tradesCleanupFinal,
-autoSelectExchangeQuotes,
-autoSelectExchangeTrades,
+autoSelectExchangeQuotes,
+autoSelectExchangeTrades,
exchangeHoursOnly,
mergeQuotesSameTimestamp,
mergeTradesSameTimestamp,
@@ -52,24 +52,24 @@
aggregatets,
previoustick,
heavyModel,
- AJjumptest,
- BNSjumptest,
- ivInference,
- JOjumptest,
- medRQ,
- minRQ,
- MRC,
- rBeta,
- rKurt,
- rMPV,
- rQPVar,
- rQuar,
- rSkew,
- rSV,
- rTPVar
+AJjumptest,
+BNSjumptest,
+ivInference,
+JOjumptest,
+medRQ,
+minRQ,
+MRC,
+rBeta,
+rKurt,
+rMPV,
+rQPVar,
+rQuar,
+rSkew,
+rSV,
+rTPVar,
+heavyModelC
)#end exported function
S3method(print, harModel);
S3method(summary, harModel);
S3method(plot, harModel);
-
Modified: pkg/highfrequency/R/highfrequencyGSOC.R
===================================================================
--- pkg/highfrequency/R/highfrequencyGSOC.R 2013-10-14 12:01:06 UTC (rev 55)
+++ pkg/highfrequency/R/highfrequencyGSOC.R 2013-10-14 12:08:29 UTC (rev 56)
@@ -1,2008 +1,1661 @@
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