RTAQ: 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.

Version: 0.2
Depends: R (≥ 2.10), xts, timeDate
Suggests: realized, robustbase, cubature, mvtnorm, chron
Published: 2012-04-05
Author: Jonathan Cornelissen, Kris Boudt
Maintainer: Jonathan Cornelissen <Jonathan.cornelissen at econ.kuleuven.be>
License: GPL
In views: Finance
CRAN checks: RTAQ results

Downloads:

Package source: RTAQ_0.2.tar.gz
MacOS X binary: RTAQ_0.2.tgz
Windows binary: RTAQ_0.2.zip
Reference manual: RTAQ.pdf
Old sources: RTAQ archive