Package: highfrequency
Version: 0.6.5
Date: 2020-04-14
Title: Tools for Highfrequency Data Analysis
Authors@R: 
    c(person(given = "Kris",
             family = "Boudt",
             role = c("aut", "cre"),
             email = "kris.boudt@ugent.be",
             comment = c(ORCID = "0000-0002-1000-5142")),
      person(given = "Jonathan",
             family = "Cornelissen",
             role = "aut"),
      person(given = "Scott",
             family = "Payseur",
             role = "aut",
             email = "Scott.Payseur@gmail.com"),
      person(given = "Giang",
             family = "Nguyen",
             role = "ctb"),
      person(given = "Onno",
             family = "Kleen",
             role = "aut",
             comment = c(ORCID = "0000-0003-4731-4640")))
Maintainer: Kris Boudt
 <kris.boudt@ugent.be>
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.
License: GPL (>= 2)
Encoding: UTF-8
LazyData: true
URL: https://github.com/jonathancornelissen/highfrequency
Depends: R (>= 3.5.0)
Imports: xts, zoo, Rcpp, RcppArmadillo, graphics, methods, stats,
        utils, grDevices, robustbase, cubature, mvtnorm, data.table (>=
        1.12.0), RcppRoll, lubridate, readr
LinkingTo: Rcpp, RcppArmadillo
Suggests: covr, FKF, BMS, rugarch, testthat, knitr, rmarkdown
RoxygenNote: 7.0.2
VignetteBuilder: knitr
NeedsCompilation: yes
Packaged: 2020-04-15 16:47:05 UTC; Arbeit
Author: Kris Boudt [aut, cre] (<https://orcid.org/0000-0002-1000-5142>),
  Jonathan Cornelissen [aut],
  Scott Payseur [aut],
  Giang Nguyen [ctb],
  Onno Kleen [aut] (<https://orcid.org/0000-0003-4731-4640>)
Repository: CRAN
Date/Publication: 2020-04-15 23:20:06 UTC
Built: R 4.1.0; x86_64-w64-mingw32; 2020-08-03 10:28:42 UTC; windows
Archs: i386, x64
