Tools for Highfrequency Data Analysis

Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, detect price jumps and investigate microstructure noise and intraday periodicity.


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Reference manual

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install.packages("highfrequency")

0.9.0 by Kris Boudt, 3 months ago


https://github.com/jonathancornelissen/highfrequency


Browse source code at https://github.com/cran/highfrequency


Authors: Kris Boudt [aut, cre] , Jonathan Cornelissen [aut] , Scott Payseur [aut] , Giang Nguyen [ctb] , Onno Kleen [aut] , Emil Sjoerup [aut]


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Imports xts, zoo, Rcpp, RcppArmadillo, graphics, methods, stats, utils, grDevices, robustbase, cubature, mvtnorm, data.table, RcppRoll, quantmod, sandwich, numDeriv, Rsolnp

Suggests covr, FKF, BMS, rugarch, testthat, knitr, rmarkdown

Linking to Rcpp, RcppArmadillo


Imported by rumidas.


See at CRAN