highfrequency

highfrequency-package

The highfrequency package provides numerous tools for analyzing financial (highfrequency) data. It has five main goals:<ul>
<li>Provide functionality to manage, clean and match highfrequency trades and quotes data,</li>
<li>calculate various liquidity measures,</li>
<li>estimate and forecast volatility,</li>
<li>detect price jumps and</li>
<li>investigate microstructure noise and intraday periodicity.</li>
</ul>To learn more about highfrequency, start with the vignettes:
`browseVignettes(package = "highfrequency")`

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.

Kris Boudt

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

highfrequency-package function

highfrequency: Tools for Highfrequency Data Analysis — highfrequency-package

highfrequency: Tools for Highfrequency Data Analysis

highfrequency-package: highfrequency: Tools for Highfrequency Data Analysis

Description

Arguments

See Also