highfrequency
swMATH25146CRANhighfrequencyMaRDI QIDQ36888
Tools for Highfrequency Data Analysis
Leopoldo Catania, Onno Kleen, Jonathan Cornelissen, Scott Payseur, Emil Sjoerup
Last update: 4 October 2023
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
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
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>).
