highfrequency: Tools for Highfrequency Data Analysis
Version 0.5.2

Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.

Package details

AuthorKris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
Date of publication2017-07-30 22:52:35 UTC
MaintainerKris Boudt <Kris.Boudt@econ.kuleuven.be>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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highfrequency documentation built on July 31, 2017, 1:02 a.m.