Skip to content

The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise …

Notifications You must be signed in to change notification settings

jonathancornelissen/highfrequency

Repository files navigation

CRAN_Status_Badge Travis-CI Build Status Codecov test coverage Downloads

Highfrequency financial data in R

A detailed overview of the functionality of this package can be found in our vignette:

Boudt, Kris and Kleen, Onno and Sjørup, Emil, Analyzing intraday financial data in R: The highfrequency package. Available at SSRN: (http://dx.doi.org/10.2139/ssrn.3917548)

The package is still under development and is distributed without warranty.

Thanks to report bugs or make suggestions to [email protected].

Installation

CRAN:

install.packages("highfrequency")

Development version:

# Install package via devtools
# install.packages("devtools")
library(devtools)
install_github("https://github.com/jonathancornelissen/highfrequency")

Special thanks

We would like to thank Brian Peterson, Chris Blakely, Dirk Eddelbuettel, Eric Zivot and Maarten Schermer.

About

The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise …

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published