Package: highfrequency
Version: 1.0.2
Date: 2025-12-06
Title: Tools for Highfrequency Data Analysis
Authors@R: c(
    person("Kris", "Boudt", , "kris.boudt@ugent.be", role = c("aut", "cre"),
           comment = c(ORCID = "0000-0002-1000-5142")),
    person("Jonathan", "Cornelissen", role = "aut"),
    person("Scott", "Payseur", , "Scott.Payseur@gmail.com", role = "aut"),
    person("Giang", "Nguyen", role = "ctb"),
    person("Onno", "Kleen", role = "aut",
           comment = c(ORCID = "0000-0003-4731-4640")),
    person("Emil", "Sjoerup", role = "aut")
  )
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,
        <doi:10.18637/jss.v104.i08>).
License: GPL (>= 2)
Encoding: UTF-8
LazyData: true
URL: https://github.com/jonathancornelissen/highfrequency
BugReports: https://github.com/jonathancornelissen/highfrequency/issues
Depends: R (>= 3.5.0)
Imports: xts, zoo, Rcpp, graphics, methods, stats, utils, grDevices,
        robustbase, data.table (>= 1.12.0), RcppRoll, quantmod,
        sandwich, numDeriv, Rsolnp
LinkingTo: Rcpp, RcppArmadillo
Suggests: mvtnorm, covr, FKF, rugarch, testthat, knitr, rmarkdown
RoxygenNote: 7.3.3
Config/pak/sysreqs: libssl-dev
Repository: https://jonathancornelissen.r-universe.dev
Date/Publication: 2025-12-15 09:07:48 UTC
RemoteUrl: https://github.com/jonathancornelissen/highfrequency
RemoteRef: HEAD
RemoteSha: eb0e84898ce1c44142726412529bbcf9e296a066
NeedsCompilation: yes
Packaged: 2026-06-22 09:45:27 UTC; root
Author: Kris Boudt [aut, cre] (ORCID: <https://orcid.org/0000-0002-1000-5142>),
  Jonathan Cornelissen [aut],
  Scott Payseur [aut],
  Giang Nguyen [ctb],
  Onno Kleen [aut] (ORCID: <https://orcid.org/0000-0003-4731-4640>),
  Emil Sjoerup [aut]
Maintainer: Kris Boudt <kris.boudt@ugent.be>