highfrequency
Tools for Highfrequency Data Analysis
v1.0.3
·
Jan 8, 2026
·
GPL (>= 2)
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>).
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Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
OK
r-devel-linux-x86_64-debian-clang
*
OK
r-devel-linux-x86_64-debian-gcc
*
OK
r-devel-linux-x86_64-fedora-clang
*
OK
r-devel-linux-x86_64-fedora-gcc
*
OK
r-devel-macos-arm64
*
OK
r-devel-windows-x86_64
*
NOTE
r-oldrel-macos-arm64
installed package size
installed size is 6.9Mb
sub-directories of 1Mb or more:
data 1.9Mb
libs 3.9Mb
NOTE
r-oldrel-macos-x86_64
installed package size
installed size is 7.4Mb
sub-directories of 1Mb or more:
data 2.4Mb
libs 4.0Mb
OK
r-oldrel-windows-x86_64
*
OK
r-patched-linux-x86_64
*
OK
r-release-linux-x86_64
*
OK
r-release-macos-arm64
*
OK
r-release-macos-x86_64
*
OK
r-release-windows-x86_64
*
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE
r-oldrel-macos-arm64
installed package size
installed size is 6.9Mb
sub-directories of 1Mb or more:
data 1.9Mb
libs 3.9Mb
NOTE
r-oldrel-macos-x86_64
installed package size
installed size is 7.4Mb
sub-directories of 1Mb or more:
data 2.4Mb
libs 4.0Mb
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Version History
new
1.0.3
Mar 9, 2026