RTAQ (0.2)

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


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 almost 8 years ago.