highfrequency: Tools for Highfrequency Data Analysis
Version 0.4-1

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.

Package details

AuthorKris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
Date of publication2015-07-10 10:41:02
MaintainerKris Boudt <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("highfrequency", repos="http://R-Forge.R-project.org")

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highfrequency documentation built on May 31, 2017, 4:34 a.m.