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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>).
Getting started
Browse package contents
Package details |
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| Author | Kris Boudt [aut, cre] (<https://orcid.org/0000-0002-1000-5142>), Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Onno Kleen [aut] (<https://orcid.org/0000-0003-4731-4640>), Emil Sjoerup [aut] |
| Maintainer | Kris Boudt <kris.boudt@ugent.be> |
| License | GPL (>= 2) |
| Version | 1.0.1 |
| URL | https://github.com/jonathancornelissen/highfrequency |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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