highfrequency
Tools for Highfrequency Data Analysis
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>).
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.3 |
rolling source/ R- | highfrequency_1.0.3.tar.gz |
2.2 MiB |
1.0.3 |
rolling linux/jammy R-4.5 | highfrequency_1.0.3.tar.gz |
2.9 MiB |
1.0.3 |
rolling linux/noble R-4.5 | highfrequency_1.0.3.tar.gz |
2.9 MiB |
1.0.3 |
latest source/ R- | highfrequency_1.0.3.tar.gz |
2.2 MiB |
1.0.3 |
latest linux/jammy R-4.5 | highfrequency_1.0.3.tar.gz |
2.9 MiB |
1.0.3 |
latest linux/noble R-4.5 | highfrequency_1.0.3.tar.gz |
2.9 MiB |
1.0.3 |
2026-04-23 source/ R- | highfrequency_1.0.3.tar.gz |
2.2 MiB |
1.0.3 |
2026-04-09 windows/windows R-4.5 | highfrequency_1.0.3.zip |
3.3 MiB |
1.0.1 |
2025-04-20 source/ R- | highfrequency_1.0.1.tar.gz |
2.1 MiB |