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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, and investigate microstructure noise and intraday periodicity.
Getting started
Browse package contents
Package details |
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| Author | Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb] |
| Maintainer | Kris Boudt <Kris.Boudt@econ.kuleuven.be> |
| License | GPL (>= 2) |
| Version | 0.4-1 |
| Package repository | View on R-Forge |
| Installation |
Install the latest version of this package by entering the following in R:
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