highfrequency: Tools for Highfrequency Data Analysis

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 paper "Analyzing Intraday Financial Data in R: The highfrequency Package" by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>). The DOI in the CITATION is for a new Journal of Statistical Software publication that will be registered after publication on CRAN. A working paper version can be found on SSRN: <doi:10.2139/ssrn.3917548>.

Version: 1.0.0
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: 2022-10-26
Author: Kris Boudt ORCID iD [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Onno Kleen ORCID iD [aut], Emil Sjoerup [aut]
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_1.0.0.tar.gz
Windows binaries: r-devel: highfrequency_1.0.0.zip, r-release: highfrequency_1.0.0.zip, r-oldrel: highfrequency_1.0.0.zip
macOS binaries: r-release (arm64): highfrequency_1.0.0.tgz, r-oldrel (arm64): highfrequency_1.0.0.tgz, r-release (x86_64): highfrequency_1.0.0.tgz, r-oldrel (x86_64): highfrequency_1.0.0.tgz
Old sources: highfrequency archive

Reverse dependencies:

Reverse imports: rumidas


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