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highfrequency  

Tools for Highfrequency Data Analysis
View on CRAN: Click here


Download and install highfrequency package within the R console
Install from CRAN:
install.packages("highfrequency")

Install from Github:
library("remotes")
install_github("cran/highfrequency")

Install by package version:
library("remotes")
install_version("highfrequency", "1.0.1")



Attach the package and use:
library("highfrequency")
Maintained by
Kris Boudt
[Scholar Profile | Author Map]
First Published: 2012-12-26
Latest Update: 2023-10-04
Description:
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, ).
How to cite:
Kris Boudt (2012). highfrequency: Tools for Highfrequency Data Analysis. R package version 1.0.1, https://cran.r-project.org/web/packages/highfrequency. Accessed 29 Apr. 2025.
Previous versions and publish date:
0.1 (2012-12-26 15:29), 0.2 (2013-04-09 18:26), 0.4 (2014-11-28 11:27), 0.5.1 (2017-05-13 00:46), 0.5.2 (2017-07-31 00:52), 0.5.3 (2018-03-03 09:00), 0.5 (2017-02-15 19:07), 0.6.0 (2019-08-20 14:10), 0.6.1 (2019-08-29 15:00), 0.6.2 (2019-12-14 00:20), 0.6.3 (2020-01-15 01:00), 0.6.4 (2020-02-26 15:20), 0.6.5 (2020-04-16 01:20), 0.7.0.1 (2020-09-28 15:40), 0.7.0 (2020-09-16 00:20), 0.8.0.1 (2021-01-15 11:10), 0.8.0 (2021-01-09 07:30), 0.9.0 (2021-06-11 10:50), 0.9.1 (2021-11-02 17:10), 0.9.2 (2022-01-13 12:02), 0.9.3 (2022-04-21 13:30), 0.9.4 (2022-05-03 21:50), 0.9.5 (2022-08-17 18:10), 1.0.0 (2022-10-26 13:15)
Other packages that cited highfrequency R package
View highfrequency citation profile
Other R packages that highfrequency depends, imports, suggests or enhances
Complete documentation for highfrequency
Functions, R codes and Examples using the highfrequency R package
Some associated functions: AJjumpTest . BNSjumpTest . Bj . HARmodel . HEAVYmodel . ICov . IVar . IVinference . JOjumpTest . MDtest . RBPCov_bi . RV . ReMeDI . ReMeDIAsymptoticVariance . SPYRM . aggregatePrice . aggregateQuotes . aggregateTS . aggregateTrades . autoSelectExchangeQuotes . autoSelectExchangeTrades . businessTimeAggregation . cholCovrMRCov . driftBursts . exchangeHoursOnly . gatherPrices . getAlphaVantageData . getCriticalValues . getLiquidityMeasures . getTradeDirection . highfrequency-package . intradayJumpTest . knChooseReMeDI . leadLag . listAvailableKernels . listCholCovEstimators . makeOHLCV . makePsd . makeRMFormat . makeReturns . matchTradesQuotes . mergeQuotesSameTimestamp . mergeTradesSameTimestamp . mukp . noZeroPrices . noZeroQuotes . plot.DBH . plot.HARmodel . plot.HEAVYmodel . plotTQData . predict.HARmodel . predict.HEAVYmodel . print.DBH . print.HARmodel . quotesCleanup . rAVGCov . rBACov . rBPCov . rBeta . rCholCov . rCov . rHYCov . rKernelCov . rKurt . rMPV . rMPVar . rMRC . rMRCov . rMedRQ . rMedRQuar . rMedRV . rMedRVar . rMinRQ . rMinRQuar . rMinRV . rMinRVar . rOWCov . rQPVar . rQuar . rRTSCov . rRVar . rSV . rSVar . rSemiCov . rSkew . rTPQuar . rTSCov . rThresholdCov . rankJumpTest . refreshTime . rmLargeSpread . rmNegativeSpread . rmOutliersQuotes . rmOutliersTrades . rmTradeOutliersUsingQuotes . salesCondition . sampleMultiTradeData . sampleOneMinuteData . sampleQData . sampleQDataRaw . sampleTData . sampleTDataEurope . sampleTDataRaw . selectExchange . spotDrift . spotVol . spreadPrices . summary.HARmodel . tradesCleanup . tradesCleanupUsingQuotes . tradesCondition . 
Some associated R codes: HARmodel.R . HEAVYmodel.R . RcppExports.R . data.R . dataHandling.R . driftBursts.R . getDataFromAlphaVantage.R . highfrequency.R . internal.R . internalDataHandling.R . internalHEAVY.R . internalJumpTests.R . internalPreaveringEstimators.R . internalRealizedMeasures.R . internalSpotVolAndDrift.R . jumpTests.R . leadLag.R . liquidityMeasures.R . plotTQData.R . rcpp_dynlib_call.R . realizedMeasures.R . realizedMeasuresInference.R . spotVolAndDrift.R .  Full highfrequency package functions and examples
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