[aut,
cre],
Jonathan Cornelissen [aut],
Scott Payseur [aut],
Giang Nguyen [ctb],
Onno Kleen [aut]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.
| Version: | 0.6.4 |
| Depends: | R (≥ 3.5.0) |
| Imports: | xts, zoo, Rcpp, RcppArmadillo, graphics, methods, stats, utils, grDevices, robustbase, cubature, mvtnorm, data.table (≥ 1.12.0), RcppRoll, lubridate, readr |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | covr, FKF, BMS, rugarch, testthat, knitr, rmarkdown |
| Published: | 2020-02-26 |
| Author: | Kris Boudt [aut,
cre],
Jonathan Cornelissen [aut],
Scott Payseur [aut],
Giang Nguyen [ctb],
Onno Kleen [aut] |
| Maintainer: | Kris Boudt <kris.boudt at ugent.be> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Materials: | NEWS |
| In views: | Finance |
| CRAN checks: | highfrequency results |
| Reference manual: | highfrequency.pdf |
| Vignettes: |
data_handing |
| Package source: | highfrequency_0.6.4.tar.gz |
| Windows binaries: | r-devel: highfrequency_0.6.4.zip, r-devel-gcc8: highfrequency_0.6.4.zip, r-release: highfrequency_0.6.4.zip, r-oldrel: highfrequency_0.6.4.zip |
| OS X binaries: | r-release: highfrequency_0.6.4.tgz, r-oldrel: highfrequency_0.6.4.tgz |
| Old sources: | highfrequency archive |
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