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.

Documentation

Manual: highfrequency.pdf
Vignette: None available.

Maintainer: Kris Boudt <Kris.Boudt at econ.kuleuven.be>

Author(s): Kris Boudt*, Jonathan Cornelissen*, Scott Payseur*, Giang Nguyen*, Maarten Schermer*

Install package and any missing dependencies by running this line in your R console:

install.packages("highfrequency")

Depends R (>= 2.12.0), xts, zoo
Imports graphics, methods, stats, utils, grDevices, numDeriv, sandwich, robustbase, cubature, mvtnorm, chron, timeDate, MASS, FKF, BMS, rugarch
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Package highfrequency
Materials
URL
Task Views Finance
Version 0.5.2
Published 2017-07-30
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks highfrequency check results
Package source highfrequency_0.5.2.tar.gz