highfrequency (version 0.5.3)

highfrequency-package: Tools For Highfrequency Data Analysis

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.

Details

Package:	highfrequency
Type:	Package
Version:	0.5.2
Date:	2017-07-30
License:	GPL (>= 2)

Examples

# NOT RUN {
# see users manual
# }