Highfrequency financial data in R

A detailed overview of the functionality of this package can be found in our vignette:

Boudt, Kris and Kleen, Onno and Sjørup, Emil, Analyzing intraday financial data in R: The highfrequency package. Available at SSRN: (http://dx.doi.org/10.2139/ssrn.3917548)

The package is still under development and is distributed without warranty.

Thanks to report bugs or make suggestions to kris.boudt@ugent.be.

Installation

CRAN:

install.packages("highfrequency")

Development version:

# Install package via devtools
# install.packages("devtools")
library(devtools)
install_github("https://github.com/jonathancornelissen/highfrequency")

Special thanks

We would like to thank Brian Peterson, Chris Blakely, Dirk Eddelbuettel, Eric Zivot and Maarten Schermer.