highfrequency (0.6.5)

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Tools for Highfrequency Data Analysis.


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.

Maintainer: Kris Boudt
Author(s): Kris Boudt [aut, cre] (<https://orcid.org/0000-0002-1000-5142>), Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Onno Kleen [aut] (<https://orcid.org/0000-0003-4731-4640>)

License: GPL (>= 2)

Uses: cubature, data.table, lubridate, mvtnorm, Rcpp, RcppArmadillo, RcppRoll, readr, robustbase, xts, zoo, FKF, testthat, BMS, rugarch, knitr, rmarkdown, covr
Reverse suggests: PIN

Released about 1 month ago.

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