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.