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 <[email protected]>

Contributors: Giang Nguyen, Maarten Schermers.

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


# see users manual

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

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