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.
Package details |
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Author | Jonathan Cornelissen, Kris Boudt |
Maintainer | Jonathan Cornelissen <Jonathan.cornelissen@econ.kuleuven.be> |
License | GPL-2 |
Version | 0.3 |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
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