Highfrequency: add inferential methods to highfrequency
by giangnguyen for R Project for statistical Computing
The economic value of analyzing high-frequency financial data is now obvious, both in the academic and financial world. It is not only the basis of intraday and daily risk monitoring and forecasting, but high-frequency data based statistics are also an important input to the portfolio allocation process, and also for high-frequency trading. The highfrequency package was created last year as a merger of the RTAQ and Realized packages and is in progress of being extended. There are many functions have been created by users and authors of the package themselves. I wish to contribute to the success of the package and therefore apply for the project: “Highfrequency: add inferential methods to highfrequency”.