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highfrequency (version 0.5)

highfrequency-package:

Description

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.

Arguments

Details

Package:
highfrequency
Type:
Package
Version:
0.4
Date:
2014-08-31
License:
GPL (>= 2)

Examples

Run this code
# see users manual

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