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.


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


Jonathan Cornelissen, Kris Boudt, Scott Payseur

Maintainer: Kris Boudt <>

Contributors: Giang Nguyen, Maarten Schermers.

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


# see users manual

Want to suggest features or report bugs for Use the GitHub issue tracker. Vote for new features on Trello.

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