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. A detailed vignette can be found in the open-access paper "Analyzing Intraday Financial Data in R: The highfrequency Package" by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).
| Version: | 1.0.2 |
| Depends: | R (≥ 3.5.0) |
| Imports: | xts,zoo,Rcpp, graphics, methods, stats, utils, grDevices,robustbase,data.table (≥ 1.12.0),RcppRoll,quantmod,sandwich,numDeriv,Rsolnp |
| LinkingTo: | Rcpp,RcppArmadillo |
| Suggests: | mvtnorm,covr,FKF,rugarch,testthat,knitr,rmarkdown |
| Published: | 2025-12-08 |
| DOI: | 10.32614/CRAN.package.highfrequency |
| Author: | Kris Boudt [aut, cre], Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Onno Kleen [aut], Emil Sjoerup [aut] |
| Maintainer: | Kris Boudt <kris.boudt at ugent.be> |
| BugReports: | https://github.com/jonathancornelissen/highfrequency/issues |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | https://github.com/jonathancornelissen/highfrequency |
| NeedsCompilation: | yes |
| Citation: | highfrequency citation info |
| Materials: | NEWS |
| In views: | Finance |
| CRAN checks: | highfrequency results |