RTAQ (0.2)

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RTAQ: Tools for the analysis of trades and quotes in R.

http://cran.r-project.org/web/packages/RTAQ

The Trades and Quotes data of the New York Stock Exchange is a popular input for the implementation of intraday trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among others. This package contains a collection of R functions to carefully clean and match the trades and quotes data, calculate ex post liquidity and volatility measures and detect price jumps in the data.

Maintainer: Jonathan Cornelissen
Author(s): Jonathan Cornelissen, Kris Boudt

License: GPL

Uses: timeDate, xts, chron, mvtnorm, realized, robustbase, cubature

Released about 7 years ago.


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