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.


Reference manual

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0.9.2 by Kris Boudt, 13 days ago

Browse source code at

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, graphics, methods, stats, utils, grDevices, robustbase, data.table, RcppRoll, quantmod, sandwich, numDeriv, Rsolnp

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

Linking to Rcpp, RcppArmadillo

Imported by rumidas.

See at CRAN