Tools for Highfrequency Data Analysis [R package highfrequency version 1.0.1]

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年10月04日

DOI: 10.32614/CRAN.package.highfrequency

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