highfrequency (0.5.3)

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

Released over 1 year ago.