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

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

rSV function

<dl><dt>rData</dt>
<dd>DEPRECATED USE <code>rSVar</code></dd>
<dt>alignBy</dt>
<dd>DEPRECATED USE <code>rSVar</code></dd>
<dt>alignPeriod</dt>
<dd>DEPRECATED USE <code>rSVar</code></dd>
<dt>makeReturns</dt>
<dd>DEPRECATED USE <code>rSVar</code></dd></dl>

Arguments

DEPRECATED — rSV

<dl>

<dt>rData</dt>
<dd>DEPRECATED USE <code>rSVar</code></dd>


<dt>alignBy</dt>
<dd>DEPRECATED USE <code>rSVar</code></dd>


<dt>alignPeriod</dt>
<dd>DEPRECATED USE <code>rSVar</code></dd>


<dt>makeReturns</dt>
<dd>DEPRECATED USE <code>rSVar</code></dd>

</dl>

DEPRECATED

rSV: DEPRECATED

Description

Usage

Arguments