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. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).
| Version: |
1.0.1 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
xts, zoo, Rcpp, graphics, methods, stats, utils, grDevices, robustbase, data.table (≥ 1.12.0), RcppRoll, quantmod, sandwich, numDeriv, Rsolnp |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
mvtnorm, covr, FKF, rugarch, testthat, knitr, rmarkdown |
| Published: |
2023-10-04 |
| DOI: |
10.32614/CRAN.package.highfrequency |
| Author: |
Kris Boudt  [aut,
cre],
Jonathan Cornelissen [aut],
Scott Payseur [aut],
Giang Nguyen [ctb],
Onno Kleen [aut],
Emil Sjoerup [aut] |
| Maintainer: |
Kris Boudt <kris.boudt at ugent.be> |
| BugReports: |
https://github.com/jonathancornelissen/highfrequency/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/jonathancornelissen/highfrequency |
| NeedsCompilation: |
yes |
| Citation: |
highfrequency citation info |
| Materials: |
NEWS |
| In views: |
Finance |
| CRAN checks: |
highfrequency results |
Documentation:
Downloads:
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