tqdata: Data from Bien et al (2011).
In LeopoldoCatania/GAS: Generalized Autoregressive Score Models
Description
Usage
Format
References
Description
From the readme.bnp.txt file in the JAE Data Archive available at http://qed.econ.queensu.ca/jae/datasets/bien001/:
The high-frequency data used in the paper come from the Trades and Quotation
(TAQ) database. The data contains time-stamped quotations of Citicorp stock
traded at the NYSE over the period from 20th February to 23rd February 2001.
In the study, 30-second bid and ask quote changes are constructed from the
irregularly-spaced quote data. The study covers observations recorded from
9:35 EST until 16:00 EST.
The data contains 3080 rows and eight columns - in order:
1. year
2. month
3. day
4. time in number of seconds after the 9:35 EST
5. best ask quote
6. best bid quote
7. 30-second change of the ask quote in number of ticks
8. 30-second change of the bid quote in number of ticks.
Usage
1
data("tqdata")
Format
A data.frame object containing 3,080 observat. ions.
References
Bien K, Nolte, I, Pohlmeier W (2011).
"An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics".
Journal of Applied Econometrics, 26(4), 669-707.
doi: 10.1002/jae.1122
LeopoldoCatania/GAS documentation built on April 27, 2020, 1:43 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Format References
Description
From the readme.bnp.txt file in the JAE Data Archive available at http://qed.econ.queensu.ca/jae/datasets/bien001/:
The high-frequency data used in the paper come from the Trades and Quotation (TAQ) database. The data contains time-stamped quotations of Citicorp stock traded at the NYSE over the period from 20th February to 23rd February 2001.
In the study, 30-second bid and ask quote changes are constructed from the irregularly-spaced quote data. The study covers observations recorded from 9:35 EST until 16:00 EST.
The data contains 3080 rows and eight columns - in order:
1. year 2. month 3. day 4. time in number of seconds after the 9:35 EST 5. best ask quote 6. best bid quote 7. 30-second change of the ask quote in number of ticks 8. 30-second change of the bid quote in number of ticks.
Usage
1 | data("tqdata")
|
Format
A data.frame object containing 3,080 observat. ions.
References
Bien K, Nolte, I, Pohlmeier W (2011). "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics". Journal of Applied Econometrics, 26(4), 669-707. doi: 10.1002/jae.1122
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.