highfrequency: highfrequency

The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.

Version: 0.2
Depends: R (≥ 2.12.0), xts, zoo
Suggests: timeDate, robustbase, cubature, mvtnorm, chron, quantmod
Published: 2013-04-09
Author: Jonathan Cornelissen, Kris Boudt, Scott Payseur
Maintainer: Jonathan Cornelissen <Jonathan.Cornelissen at kuleuven.be>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README
In views: Finance
CRAN checks: highfrequency results


Reference manual: highfrequency.pdf
Vignettes: User manual
Package source: highfrequency_0.2.tar.gz
Windows binaries: r-devel: highfrequency_0.2.zip, r-release: highfrequency_0.2.zip, r-oldrel: highfrequency_0.2.zip
OS X Snow Leopard binaries: r-release: highfrequency_0.2.tgz, r-oldrel: highfrequency_0.2.tgz
OS X Mavericks binaries: r-release: highfrequency_0.2.tgz
Old sources: highfrequency archive

Reverse dependencies:

Reverse suggests: PIN