├── .DS_Store ├── .Rbuildignore ├── .Rprofile ├── .Rproj.user └── 26DEB82 │ ├── build_options │ ├── pcs │ ├── debug-breakpoints.pper │ ├── files-pane.pper │ ├── packages-pane.pper │ ├── source-pane.pper │ ├── windowlayoutstate.pper │ └── workbench-pane.pper │ ├── persistent-state │ └── sdb │ └── prop │ ├── 3905B024 │ ├── 449D713E │ ├── 6AC4CE7F │ ├── 9B55BBB2 │ ├── E0C1AC83 │ ├── F547102B │ └── INDEX ├── .gitignore ├── .httr-oauth ├── .travis.yml ├── DESCRIPTION ├── HighFreq.Rproj ├── LICENSE ├── NAMESPACE ├── R ├── .DS_Store ├── HighFreq.R ├── RcppExports.R └── hf_data.R ├── README.Rmd ├── README.md ├── Read-and-delete-me ├── ToDoList.txt ├── data └── hf_data.RData ├── demo ├── .DS_Store └── demo_HighFreq.R ├── man ├── .DS_Store ├── agg_ohlc.Rd ├── agg_stats_r.Rd ├── calc_covar.Rd ├── calc_cvar.Rd ├── calc_eigen.Rd ├── calc_eigenp.Rd ├── calc_endpoints.Rd ├── calc_hurst.Rd ├── calc_hurst_ohlc.Rd ├── calc_inv.Rd ├── calc_invrec.Rd ├── calc_invref.Rd ├── calc_invsvd.Rd ├── calc_kurtosis.Rd ├── calc_lm.Rd ├── calc_mean.Rd ├── calc_ranks.Rd ├── calc_ranks_stl.Rd ├── calc_reg.Rd ├── calc_scale.Rd ├── calc_season.Rd ├── calc_skew.Rd ├── calc_startpoints.Rd ├── calc_var.Rd ├── calc_var_ag.Rd ├── calc_var_ohlc.Rd ├── calc_var_ohlc_ag.Rd ├── calc_var_ohlc_r.Rd ├── calc_varvec.Rd ├── calc_weights.Rd ├── decode_it.Rd ├── diff_vec.Rd ├── diffit.Rd ├── encode_it.Rd ├── hf_data.Rd ├── lag_vec.Rd ├── lagit.Rd ├── lik_garch.Rd ├── mult_mat.Rd ├── mult_mat_ref.Rd ├── ohlc_returns.Rd ├── ohlc_sharpe.Rd ├── ohlc_skew.Rd ├── ohlc_variance.Rd ├── param_portf.Rd ├── param_reg.Rd ├── push_cov2cor.Rd ├── push_covar.Rd ├── push_eigen.Rd ├── push_sga.Rd ├── random_ohlc.Rd ├── random_taq.Rd ├── remove_jumps.Rd ├── roll_apply.Rd ├── roll_backtest.Rd ├── roll_conv.Rd ├── roll_count.Rd ├── roll_hurst.Rd ├── roll_kurtosis.Rd ├── roll_mean.Rd ├── roll_moment.Rd ├── roll_ohlc.Rd ├── roll_portf.Rd ├── roll_reg.Rd ├── roll_scale.Rd ├── roll_sharpe.Rd ├── roll_skew.Rd ├── roll_stats.Rd ├── roll_sum.Rd ├── roll_sumep.Rd ├── roll_sumw.Rd ├── roll_var.Rd ├── roll_var_ohlc.Rd ├── roll_varvec.Rd ├── roll_vwap.Rd ├── roll_zscores.Rd ├── run_autocovar.Rd ├── run_covar.Rd ├── run_max.Rd ├── run_mean.Rd ├── run_min.Rd ├── run_reg.Rd ├── run_scale.Rd ├── run_var.Rd ├── run_var_ohlc.Rd ├── run_zscores.Rd ├── save_rets.Rd ├── save_rets_ohlc.Rd ├── save_scrub_agg.Rd ├── save_taq.Rd ├── scrub_agg.Rd ├── scrub_taq.Rd ├── sim_ar.Rd ├── sim_df.Rd ├── sim_garch.Rd ├── sim_ou.Rd ├── sim_portfoptim.Rd ├── sim_schwartz.Rd ├── which_extreme.Rd └── which_jumps.Rd ├── sandbox ├── .DS_Store ├── deprecated_fun.cpp ├── test_HighFreq.cpp └── test_fun.cpp ├── src ├── .DS_Store ├── HighFreq.cpp ├── HighFreq.dll ├── HighFreq.o ├── HighFreq.so ├── Makevars ├── Makevars.win ├── RcppExports.cpp └── RcppExports.o └── vignettes ├── .DS_Store ├── HighFreq.pdf ├── managing_time_series.R ├── managing_time_series.Rmd ├── managing_time_series.html ├── rolling_statistics.R ├── rolling_statistics.Rmd └── 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