highfrequency (Q36888)
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Tools for Highfrequency Data Analysis
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | highfrequency |
Tools for Highfrequency Data Analysis |
Statements
4 October 2023
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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>).
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expanded from: GPL (≥ 2) (English)
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