highfrequency (0.5)

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, quantmod, robustbase, rugarch, sandwich, timeDate, xts, zoo
Reverse suggests: PIN

Released 3 months ago.