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, doi:10.18637/jss.v104.i08).
- Version1.0.1
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- highfrequency citation info
- Last release10/04/2023
Documentation
Team
Kris Boudt
Emil Sjoerup
Show author detailsRolesAuthorOnno Kleen
Show author detailsRolesAuthorJonathan Cornelissen
Show author detailsRolesAuthorScott Payseur
Show author detailsRolesAuthorGiang Nguyen
Show author detailsRolesContributor
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- Imports10 packages
- Suggests7 packages
- Linking To2 packages