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 |
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 |
Please use the canonical form https://CRAN.R-project.org/package=highfrequency to link to this page.