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>).

Package details

AuthorKris 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]
MaintainerKris Boudt <kris.boudt@ugent.be>
LicenseGPL (>= 2)
URL https://github.com/jonathancornelissen/highfrequency
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the highfrequency package in your browser

Any scripts or data that you put into this service are public.

highfrequency documentation built on Oct. 4, 2023, 5:08 p.m.