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.


Reference manual

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0.5.3 by Kris Boudt, a year ago

Browse source code at

Authors: Kris Boudt [aut, cre] , Jonathan Cornelissen [aut] , Scott Payseur [aut] , Giang Nguyen [ctb] , Maarten Schermer [ctb]

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Imports graphics, methods, stats, utils, grDevices, numDeriv, sandwich, robustbase, cubature, mvtnorm, chron, timeDate, MASS

Depends on xts, zoo

Suggests FKF, BMS, rugarch

See at CRAN