highfrequency (0.5.1)

0 users

Tools for Highfrequency Data Analysis.

http://cran.r-project.org/web/packages/highfrequency

Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.

Maintainer: Kris Boudt
Author(s): Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Maarten Schermer [ctb]

License: GPL (>= 2)

Uses: BMS, chron, cubature, FKF, MASS, mvtnorm, numDeriv, robustbase, rugarch, sandwich, timeDate, xts, zoo
Reverse suggests: PIN

Released about 1 month ago.


4 previous versions

Ratings

Overall:

  (0 votes)

Documentation:

  (0 votes)

Log in to vote.

Reviews

No one has written a review of highfrequency yet. Want to be the first? Write one now.


Related packages: ChainLadder, CreditMetrics, MSBVAR, PerformanceAnalytics, Rcmdr, TSdbi, TTR, Zelig, backtest, car, copula, dlm, dse, dyn, dynlm, fArma, fAsianOptions, fAssets, fBasics, fBonds(20 best matches, based on common tags.)


Search for highfrequency on google, google scholar, r-help, r-devel.

Visit highfrequency on R Graphical Manual.