The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
Onno and I have made some changes.
First, the drift burst hypothesis paper is now in print, so I changed the references.
We also made some changes to the heavy model, some code was refactored, and we switched to the Rsolnp solver to handle our parameter constraints in the model since these were handled inelegantly before.
We also enhanced the plot and predict methods for the heavy model.
Hi Kris,
Onno and I have made some changes. First, the drift burst hypothesis paper is now in print, so I changed the references.
We also made some changes to the heavy model, some code was refactored, and we switched to the Rsolnp solver to handle our parameter constraints in the model since these were handled inelegantly before. We also enhanced the plot and predict methods for the heavy model.