highfrequency (0.5)

Tools for Highfrequency Data Analysis.


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 about 3 years ago.