highfrequency-package {highfrequency}

highfrequency: Tools for Highfrequency Data Analysis

Description

The highfrequency package provides numerous tools for analyzing high-frequency financial data, including functionality to:

• Clean, handle, and manage high frequency trades and quotes data.

• Calculate liquidity measures

• Calculate (multivariate) realized measures of the distribution of high-frequency returns

• Estimate models for realized measures of volatility and the corresponding forecasts

• Detect jumps in prices

• Analyze market microstructure noise in asset prices

• Estimate spot volatility and drift as well as analyze intraday periodicity of spot volatility

Author(s)

Kris Boudt, Jonathan Cornelissen, Onno Kleen, Scott Payseur, Emil Sjoerup Maintainer: Kris Boudt <[e-mail]>

Contributors: Giang Nguyen

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

See Also

Useful links:

• https://github.com/jonathancornelissen/highfrequency

• Report bugs at https://github.com/jonathancornelissen/highfrequency/issues