Tools For Highfrequency Data Analysis

Description

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.

Details

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

Author(s)

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.

Examples

1
# see users manual

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