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 SjΓΈrup, 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 [email protected].
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.