Analyzing intraday financial data in R: The highfrequency package

Abstract

The highfrequency package for the R programming language provides functionality for pre-processing financial high-frequency data, analyzing intraday stock returns, and forecasting stock market volatility. For academics and practitioners alike, it provides a tool chain required to work with such datasets and to conduct statistical analyses dedicated to spot volatility, jumps, realized measures, and many more. We showcase our implemented routines and models on raw high-frequency data from large US-American stock exchanges.

Onno Kleen
Onno Kleen

I am an Assistant Professor at the Erasmus University Rotterdam. My focus in research is upon time series analysis and its applications in macro-finance and distribution forecasting.

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