highfrequency: Tools for Highfrequency Data Analysis (original) (raw)
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 |
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