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: NA
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>
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:

Reference manual: highfrequency.pdf

Downloads:

Package source: highfrequency_1.0.1.tar.gz
Windows binaries: r-devel: highfrequency_1.0.1.zip, r-release: highfrequency_1.0.1.zip, r-oldrel: highfrequency_1.0.1.zip
macOS binaries: r-release (arm64): highfrequency_1.0.1.tgz, r-oldrel (arm64): highfrequency_1.0.1.tgz, r-release (x86_64): highfrequency_1.0.1.tgz, r-oldrel (x86_64): highfrequency_1.0.1.tgz
Old sources: highfrequency archive

Linking:

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