highfrequency

Authors 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

Official website https://cran.r-project.org/web/packages/highfrequency/index.html

Source code repository https://github.com/cran/highfrequency

Description

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>).

Cites work

Analyzing Intraday Financial Data in R: The highfrequency Package

Cited in

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