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 paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).
The DOI in the CITATION is for a new Journal of Statistical Software publication that will be registered after publication on CRAN.
A working paper version can be found on SSRN: <doi:10.2139/ssrn.3917548>.
| Version: |
1.0.0 |
| 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: |
2022-10-26 |
| 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 |