Re: [R] 回复: high-frequency data in R

On 11/24/2020 12:20 PM, Zixuan Qi wrote: DATESYMBOL price permno 10/1/2019 9:30 AA 93.26 24109 10/1/2019 9:31 AA 93.44 24109 10/1/2019 9:32 AA 93.44 24109 10/1/2019 9:33 AA 93.28 24109 10/1/2019 9:34 AA 93.37 24109 10/1/2019 9:35 AA 93.37 241

[R] 回复: high-frequency data in R

DATESYMBOL price permno 10/1/2019 9:30 AA 93.26 24109 10/1/2019 9:31 AA 93.44 24109 10/1/2019 9:32 AA 93.44 24109 10/1/2019 9:33 AA 93.28 24109 10/1/2019 9:34 AA 93.37 24109 10/1/2019 9:35 AA 93.37 24109 10/1/2019 9:36 AA 93.33 24109 10

[R] high-frequency data in R

Hello, I attach the sample data in the email and you can use the data to try my code. My code is as follow. library('highfrequency') library('xts') data=read.table("sample data.csv",header=F,skip = 1,stringsAsFactors=FALSE,sep="\t") colnames(data)=c(" ",'SYMBOL',"PRICE","PERMNO") id <- unique(da