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.
Package details 


Author  Jerzy Pawlowski (algoquant) 
Maintainer  Jerzy Pawlowski <[email protected]> 
License  GPL (>= 2) 
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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