marino89
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| Total Posts: 16 |
| Joined: Jul 2012 |
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Hi everybody,
I would like to know whether R works well with high frequency time-series. I've heard about some packages such as Xts or R metrics. In any case, is R adapted to so high frequency econometric?
Thanks. |
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xts is highly tuned for dealing with tick data with up to microsecond timestamps (.000001 sec)
Many R packages rely on xts, and many high frequency trading firms use R extensively in their research environments. Some even use R on their analytics clusters in production, though this is significantly harder, and not nearly as common.
You'd have to say a little more about the analysis that you want to do before I could recommend more packages than just the time series class (xts).\
Regards,
- Brian |
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