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 |
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 |
Reference manual: | highfrequency.pdf |
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-devel (arm64): highfrequency_1.0.1.tgz, r-release (arm64): highfrequency_1.0.1.tgz, r-oldrel (arm64): highfrequency_1.0.1.tgz, r-devel (x86_64): 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 |
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