Contributor
Emil Sjørup

Expanding the highfrequency package


Mentors
Kris Boudt, Nabil Bouamara, Onno Kleen
Organization
R Project for Statistical Computing

The highfrequency package is the go-to package for the analysis of intraday price data. The package was created as a merger of the packages RTAQ and realized in 2012. The package underwent a major rewrite last year improving the process and stability of the package but is in need of additional functionality that reflects current developments in financial econometrics and empirical finance.