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, detect price jumps and investigate microstructure noise and intraday periodicity.

Version: 0.7.0
Depends: R (≥ 3.5.0)
Imports: xts, zoo, Rcpp, RcppArmadillo, graphics, methods, stats, utils, grDevices, robustbase, cubature, mvtnorm, data.table (≥ 1.12.0), RcppRoll, quantmod, sandwich
LinkingTo: Rcpp, RcppArmadillo
Suggests: covr, FKF, BMS, rugarch, testthat, knitr, rmarkdown
Published: 2020-09-15
Author: Kris Boudt ORCID iD [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Onno Kleen ORCID iD [aut], Emil Sjoerup [aut]
Maintainer: Kris Boudt <kris.boudt at ugent.be>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/jonathancornelissen/highfrequency
NeedsCompilation: yes
Materials: NEWS
In views: Finance
CRAN checks: highfrequency results

Downloads:

Reference manual: highfrequency.pdf
Vignettes: data_handing
Package source: highfrequency_0.7.0.tar.gz
Windows binaries: r-devel: highfrequency_0.7.0.zip, r-release: highfrequency_0.6.5.zip, r-oldrel: highfrequency_0.7.0.zip
macOS binaries: r-release: highfrequency_0.7.0.tgz, r-oldrel: highfrequency_0.7.0.tgz
Old sources: highfrequency archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=highfrequency to link to this page.