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: |
0.9.4 |
| 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: |
2022-05-03 |
| 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> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/jonathancornelissen/highfrequency |
| NeedsCompilation: |
yes |
| Materials: |
NEWS |
| In views: |
Finance |
| CRAN checks: |
highfrequency results |