highfrequency: 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.

Version: 0.4
Depends: R (≥ 2.12.0), xts, zoo
Suggests: robustbase, cubature, mvtnorm, chron, timeDate, quantmod, MASS, sandwich, numDeriv, FKF, BMS, rugarch
Published: 2014-11-28
Author: Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]
Maintainer: Kris Boudt <Kris.Boudt at econ.kuleuven.be>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
In views: Finance
CRAN checks: highfrequency results

Downloads:

Reference manual: highfrequency.pdf
Package source: highfrequency_0.4.tar.gz
Windows binaries: r-devel: highfrequency_0.4.zip, r-release: highfrequency_0.4.zip, r-oldrel: highfrequency_0.4.zip
OS X Snow Leopard binaries: r-release: highfrequency_0.4.tgz, r-oldrel: highfrequency_0.4.tgz
OS X Mavericks binaries: r-release: highfrequency_0.4.tgz
Old sources: highfrequency archive