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>).
Version: 1.0.1 Depends: R (≥ 3.5.0) Imports: xts, zoo, Rcpp, graphics, methods, stats, utils, grDevices, robustbase, data.table (≥ 1.12.0), RcppRoll, quantmod, sandwich, numDeriv, Rsolnp LinkingTo: Rcpp, RcppArmadillo Suggests: mvtnorm, covr, FKF, rugarch, testthat, knitr, rmarkdown Published: 2023-10-04 DOI: 10.32614/CRAN.package.highfrequency Author: Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Onno Kleen [aut], Emil Sjoerup [aut] Maintainer: Kris Boudt <kris.boudt at ugent.be> BugReports: https://github.com/jonathancornelissen/highfrequency/issues License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] URL: https://github.com/jonathancornelissen/highfrequency NeedsCompilation: yes Citation: highfrequency citation info Materials: NEWS In views: Finance CRAN checks: highfrequency results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=highfrequency to link to this page.
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