highfrequency
swMATH25146CRANhighfrequencyMaRDI QIDQ36888FDOQ36888
Tools for Highfrequency Data Analysis
Onno Kleen, Scott Payseur, Leopoldo Catania, Emil Sjoerup, Jonathan Cornelissen
Last update: 4 October 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.0.0, 0.1, 0.2, 0.4, 0.5.1, 0.5.2, 0.5.3, 0.5, 0.6.0, 0.6.1, 0.6.2, 0.6.3, 0.6.4, 0.6.5, 0.7.0.1, 0.7.0, 0.8.0.1, 0.8.0, 0.9.0, 0.9.1, 0.9.2, 0.9.3, 0.9.4, 0.9.5, 1.0.1
Source code repository: https://github.com/cran/highfrequency
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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