R-Finance/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.

Getting started

Package details

AuthorJonathan Cornelissen, Kris Boudt
MaintainerJonathan Cornelissen <[email protected]>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
R-Finance/RTAQ documentation built on May 9, 2017, 9:41 p.m.