highfrequency-package: Tools For Highfrequency Data Analysis

Description Details Author(s) Examples


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: highfrequency
Type: Package
Version: 0.4
Date: 2014-08-31
License: GPL (>= 2)


Jonathan Cornelissen, Kris Boudt, Scott Payseur

Maintainer: Kris Boudt <Kris.Boudt@econ.kuleuven.be>

Contributors: Giang Nguyen, Maarten Schermers.

Thanks: A special thanks for additional contributions from Chris Blakely, Brian Peterson, Eric Zivot and GSoC.


# see users manual

highfrequency documentation built on May 21, 2017, 3:40 a.m.

Search within the highfrequency package
Search all R packages, documentation and source code