algoquant/HighFreq: High Frequency Time Series Management
Functions for chaining and joining time series, scrubbing bad data, managing time zones and alligning time indices, converting TAQ data to OHLC format, aggregating data to lower frequency, estimating volatility, skew, and higher moments.
Getting started
Browse package contents
Package details |
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| Author | Jerzy Pawlowski (algoquant) |
| Maintainer | Jerzy Pawlowski <jp3900@nyu.edu> |
| License | MPL-2.0 |
| Version | 0.1 |
| URL | https://github.com/algoquant/HighFreq |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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