Tools for Highfrequency Data Analysis R package highfrequency version 1.0.3 CRAN Task View: Finance (https://CRAN.R-project.org/view=Finance) 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. A detailed vignette can be found in the open-access paper "Analyzing Intraday Financial Data in R: The highfrequency Package" by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>). Software Depends: R (>= 3.5.0) Imports: xts, zoo, Rcpp, graphics, methods, stats, utils, grDevices, robustbase, data.table (>= 1.12.0), RcppRoll, quantmod, sandwich, numDeriv, Rsolnp LinkingTo: Rcpp, RcppArmadillo Suggests: mvtnorm, covr, FKF, rugarch, testthat, knitr, rmarkdown Kris Boudt <kris.boudt@ugent.be> Comprehensive R Archive Network (CRAN) Kris Boudt [aut, cre] (ORCID: <https://orcid.org/0000-0002-1000-5142>), Jonathan Cornelissen [aut], Scott Payseur [aut], Giang Nguyen [ctb], Onno Kleen [aut] (ORCID: <https://orcid.org/0000-0003-4731-4640>), Emil Sjoerup [aut] GPL (>= 2) 2026-01-08 application/tgz https://CRAN.R-project.org/package=highfrequency doi:10.32614/CRAN.package.highfrequency