highfrequency

highfrequency-package

The highfrequency package provides numerous tools for analyzing high-frequency financial data, including functionality to:<ul>
<li>Clean, handle, and manage high frequency trades and quotes data.</li>
<li>Calculate liquidity measures</li>
<li>Calculate (multivariate) realized measures of the distribution of high-frequency returns</li>
<li>Estimate models for realized measures of volatility and the corresponding forecasts</li>
<li>Detect jumps in prices</li>
<li>Analyze market microstructure noise in asset prices</li>
<li>Estimate spot volatility and drift as well as analyze intraday periodicity of spot volatility</li>
</ul>

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>).

Kris Boudt

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

highfrequency-package function

Kris Boudt, Jonathan Cornelissen, Onno Kleen, Scott Payseur, Emil Sjoerup
Maintainer: Kris Boudt &lt;Kris.Boudt@ugent.be&gt;
Contributors: Giang Nguyen
Thanks: We would like to thank Brian Peterson, Chris Blakely, Dirk Eddelbuettel, Maarten Schermer, and Eric Zivot

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highfrequency: Tools for Highfrequency Data Analysis — highfrequency-package

highfrequency: Tools for Highfrequency Data Analysis

highfrequency-package: highfrequency: Tools for Highfrequency Data Analysis

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