highfrequency

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, doi:10.18637/jss.v104.i08).

Last 30 days

This package has been downloaded 1,438 times in the last 30 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 46 times.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 20,019 times in the last 365 days. That's enough downloads to make it mildly famous in niche technical communities. A badge of honor! The day with the most downloads was Jul 21, 2024 with 182 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.