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

Global functions | |
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ABDJumptest | Source code |

CPRlocalvol | Source code |

ExchangeHoursOnly | Source code |

HRweight | Source code |

LeeMyklandCV | Source code |

MedRV | Man page Source code |

MinRV | Man page Source code |

RBPCov | Man page Source code |

RBPCov_bi | Source code |

RBPVar | Source code |

RCov | Man page Source code |

ROWCov | Man page Source code |

ROWVar | Source code |

RTAQ | Man page |

RTAQ-package | Man page |

RTSCov | Man page Source code |

RTSCov_bi | Source code |

RTSRV | Source code |

RV | Source code |

TAQLoad | Man page Source code |

TAQload | Source code |

TQfun | Source code |

TSCov | Man page Source code |

TSCov_bi | Source code |

TSRV | Source code |

adjtime | Source code |

aggJ | Source code |

aggRV | Source code |

aggY | Source code |

agg_price | Source code |

agg_quotes | Source code |

agg_trades | Source code |

agg_volume | Source code |

aggregatePrice | Man page Source code |

aggregateQuotes | Man page Source code |

aggregateTrades | Man page Source code |

aggregatets | Man page Source code |

autoSelectExchangeQuotes | Man page Source code |

autoSelectExchangeTrades | Man page Source code |

autoselectexchange | Source code |

autoselectexchangeq | Source code |

center | Source code |

cfactor_RTSCV | Source code |

conHR | Source code |

conhuber | Source code |

convert | Man page Source code |

convert_quotes | Source code |

convert_trades | Source code |

correctedTrades | Source code |

countzeroes | Source code |

dataformatc | Source code |

di_diff | Source code |

di_div | Source code |

diurnal | Source code |

diurnalfit | Source code |

es | Source code |

estimhar | Source code |

exchangeHoursOnly | Man page Source code |

filtered_variance | Source code |

getHarmodelformula | Source code |

getTradeDirection | Man page Source code |

gettradedir | Source code |

harModel | Man page Source code |

huberweight | Source code |

logqs | Source code |

logqslope | Source code |

logsize | Source code |

makePsd | Man page Source code |

makeReturns | Man page Source code |

makeXtsQuotes | Source code |

makeXtsTrades | Source code |

matchTradesQuotes | Man page Source code |

matchtq | Source code |

maxvol | Source code |

medianN | Man page Source code |

mergeQuotesSameTimestamp | Man page Source code |

mergeTradesSameTimestamp | Man page Source code |

mergequotessametimestamp | Source code |

mergesametimestamp | Source code |

mq_return | Source code |

mq_return_abs | Source code |

mq_return_sqr | Source code |

noZeroPrices | Man page Source code |

noZeroQuotes | Man page Source code |

nozeroprices | Source code |

nozeroquotes | Source code |

onLoad | Source code |

p_return_abs | Source code |

p_return_sqr | Source code |

period.apply2 | Source code |

period.apply3 | Source code |

pes | Source code |

plot.harModel | Source code |

pqs | Source code |

previoustick | Man page Source code |

price_impact | Source code |

print.harModel | Source code |

prop_price_impact | Source code |

prs | Source code |

pts | Source code |

qdatacheck | Source code |

qs | Source code |

qslope | Source code |

quotesCleanup | Man page Source code |

quotescleanup | Source code |

rdatacheck | Source code |

readdata | Source code |

realized_library | Man page |

refreshTime | Man page Source code |

rmLargeSpread | Man page Source code |

rmNegativeSpread | Man page Source code |

rmOutliers | Man page Source code |

rmTradeOutliers | Man page Source code |

rmlargespread | Source code |

rmnegspread | Source code |

rmoutliers | Source code |

rmtradeoutliers | Source code |

rs | Source code |

salesCondition | Man page Source code |

salescond | Source code |

sample_5minprices | Man page |

sample_5minprices_jumps | Man page |

sample_qdata | Man page |

sample_qdataraw | Man page |

sample_real5minprices | Man page |

sample_tdata | Man page |

sample_tdataraw | Man page |

selectExchange | Man page Source code |

selectexchange | Source code |

shorthscale | Source code |

signed_trade_size | Source code |

signed_value_trade | Source code |

spotVol | Man page Source code |

sumN | Man page Source code |

summary.harModel | Source code |

tdatacheck | Source code |

thresholdBPCov | Source code |

thresholdCov | Man page Source code |

thresholdcov | Source code |

tqLiquidity | Man page Source code |

tqdatacheck | Source code |

tradesCleanup | Man page Source code |

tradesCleanupFinal | Man page Source code |

tradescleanup | Source code |

tradescleanup_finalop | Source code |

tspread | Source code |

uniTAQload | Source code |

univariateoutlyingness | Source code |

value_trade | Source code |

waverage | Source code |

weightedaverage | Source code |

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