Other packages > Find by keyword >

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", "1.0.3")



Attach the package and use:
library("highfrequency")
Maintained by
Kris Boudt
[Scholar Profile | Author Map]
All associated links for this package
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 1.0.3, https://cran.r-project.org/web/packages/highfrequency. Accessed 18 Sep. 2026.
Previous versions and publish date:
(2026-07-09 07:47), 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), 1.0.1 (2023-10-04 17:20), 1.0.2 (2025-12-08 11:50)
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
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

injectoR  
R Dependency Injection
R dependency injection framework. Dependency injection allows a program design to follow the depend ...
Download / Learn more Package Citations See dependency  
data360r  
Wrapper for 'TCdata360' and 'Govdata360' API
Makes it easy to engage with the Application Program Interface (API) of the 'TCdata360' and 'Govdat ...
Download / Learn more Package Citations See dependency  
eyelinker  
Import ASC Files from EyeLink Eye Trackers
Imports plain-text ASC data files from EyeLink eye trackers into (relatively) tidy data frames for ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
downlit  
Syntax Highlighting and Automatic Linking
Syntax highlighting of R code, specifically designed for the needs of 'RMarkdown' packages like 'pk ...
Download / Learn more Package Citations See dependency  
hmeasure  
The H-Measure and Other Scalar Classification Performance Metrics
Classification performance metrics that are derived from the ROC curve of a classifier. The package ...
Download / Learn more Package Citations See dependency  

28,565

R Packages

239,283

Dependencies

75,677

Author Associations

28,566

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA