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")

0.5.3 by Kris Boudt, a year ago


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


Authors: Kris Boudt [aut, cre] , Jonathan Cornelissen [aut] , Scott Payseur [aut] , Giang Nguyen [ctb] , Maarten Schermer [ctb]


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Imports graphics, methods, stats, utils, grDevices, numDeriv, sandwich, robustbase, cubature, mvtnorm, chron, timeDate, MASS

Depends on xts, zoo

Suggests FKF, BMS, rugarch


See at CRAN