The highfrequency package provides numerous tools for analyzing financial (highfrequency) data. It has five main goals:
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.
To learn more about highfrequency, start with the vignettes: `browseVignettes(package = "highfrequency")`