jonathancornelissen/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 paper "Analyzing Intraday Financial Data in R: The highfrequency Package" by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>). The DOI in the CITATION is for a new Journal of Statistical Software publication that will be registered after publication on CRAN. A working paper version can be found on SSRN: <doi:10.2139/ssrn.3917548>.
Getting started
Browse package contents
Package details |
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| Maintainer | |
| License | GPL (>= 2) |
| Version | 1.0.0 |
| URL | https://github.com/jonathancornelissen/highfrequency |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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