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

Package details

AuthorJerzy Pawlowski (algoquant)
MaintainerJerzy Pawlowski <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
algoquant/HighFreq documentation built on Dec. 1, 2019, 11:36 a.m.