jonathancornelissen/highfrequency: Tools for Highfrequency Data Analysis
Version 0.5.3

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.

Getting started

Package details

AuthorKris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
MaintainerKris Boudt <[email protected]>
LicenseGPL (>= 2)
Version0.5.3
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("jonathancornelissen/highfrequency")
jonathancornelissen/highfrequency documentation built on May 31, 2018, 1:17 p.m.