highfrequency

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. A detailed vignette can be found in the open-access paper "Analyzing Intraday Financial Data in R: The highfrequency Package" by Boudt, Kleen, and Sjoerup (2022, ).

Reference manual

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install.packages("highfrequency")

1.0.3 by Kris Boudt, 9 months ago

https://github.com/jonathancornelissen/highfrequency

Report a bug at https://github.com/jonathancornelissen/highfrequency/issues

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  

GPL (>= 2) license

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

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

Linking to Rcpp, RcppArmadillo

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