highfrequency

highfrequency-package

The highfrequency package provides numerous tools for analyzing high-frequency financial data, including functionality to:<ul>
<li>Clean, handle, and manage high frequency trades and quotes data.</li>
<li>Calculate liquidity measures</li>
<li>Calculate (multivariate) realized measures of the distribution of high-frequency returns</li>
<li>Estimate models for realized measures of volatility and the corresponding forecasts</li>
<li>Detect jumps in prices</li>
<li>Analyze market microstructure noise in asset prices</li>
<li>Estimate spot volatility and drift as well as analyze intraday periodicity of spot volatility</li>
</ul>

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.

Kris Boudt

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

highfrequency-package function

highfrequency: Tools for Highfrequency Data Analysis — highfrequency-package

highfrequency: Tools for Highfrequency Data Analysis

highfrequency-package: highfrequency: Tools for Highfrequency Data Analysis

Description

Arguments

See Also